[go: up one dir, main page]

create a website
Man or Machine? Rational trading without information about fundamentals.. (2012). Tinn, Katrin ; Rossi, Stefano.
In: Working Papers.
RePEc:imp:wpaper:12194.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 28

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Back, K., and S. Baruch (2004): Information in Securities Markets: Kyle Meets Glosten and Milgrom, Econometrica, 72, 433-465.

  2. Bagnoli, M., and T. Bergstrom (2005): Log-Concave Probability and its Applications, Economic Theory, 26, 445-469.

  3. Barberis, N., and R. Thaler (2003): A Survey of Behavioral Finance. In Handbook of the Economics of Finance, ed. George M. Constantinides, Milton Harris, and Réné Stulz, 1053-1123, The Netherlands: Elsevier Science Biais, B., P. Hillion, and C. Spatt (1995): An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse, Journal of Finance, 50, 1655-1689.

  4. Brown, D.P., and R.H. Jennings (1989): On technical analysis, Review of Financial Studies, 2, 527-551.
    Paper not yet in RePEc: Add citation now
  5. Brunnermeier, M.K. (2001): Asset Pricing Under Asymmetric Information— Bubbles, Crashes, Technical Analysis and Herding. Oxford, England: Oxford University Press.

  6. Chamley, C. (2004): Rational Herds. Cambridge, U.K.: Cambridge University Press.

  7. Cho, K.H., and N. El Karoui (2000): Insider Trading and Nonlinear Equilibria: Single Auction Case, Annals of Economics and Statistics/Annales d’Economie et de Statistique, 60, 21-41.

  8. Clark-Joseph, A. (2012): Exploratory Trading, working paper, Harvard University.
    Paper not yet in RePEc: Add citation now
  9. Easley, D., and M. O’Hara (1991): Order Form and Information in Securities Markets, Journal of Finance, 46, 905-927.

  10. Edlin, A.S., and C. Shannon (1998): Strict Monotonicity in Comparative Statics, Journal of Economic Theory, 81, 201-219.

  11. Ellul, A., C. Holden, P. Jain, and R. Jennings (2007): Order Dynamics: Recent Evidence from the NYSE, Journal of Empirical Finance, 14, 636-661.

  12. Eqozcue, M., L. Fuentes García, and W. Wong (2009): On Some Covariance Inequalities for Monotonic and Non-Monotonic Functions, Journal of Inequalities in Pure and Applied Mathematics, 10, Article 75, 7pp.
    Paper not yet in RePEc: Add citation now
  13. Evans, M.D.D., and R.K. Lyons (2002): Order Flow and Exchange Rate Dynamics, Journal of Political Economy, 110, 170-180.

  14. Farmer, J. D., A. Gerig, F. Lillo, and H. Waelbroeck (2004): The Market Impact of Large Trading Orders: Correlated Order Flow, Asymmetric Liquidity and E cient Prices, working paper, Santa Fe Institute.
    Paper not yet in RePEc: Add citation now
  15. Glosten, L.R., and P.R. Milgrom (1985): Bid, Ask and Transaction Prices in a Specialist Market With Heterogeneously Informed Traders, Journal of Financial Economics, 14, 71-100.

  16. Hendershott, T., C.M. Jones, and A. Menkveld (2011): Does Algorithmic Trading Improve Liquidity? Journal of Finance, 66, 1-33.

  17. Holden, C.W., and A. Subrahmanyam (1992): Long-Lived Private Information and Imperfect Competition, Journal of Finance, 47, 247-270.

  18. Kyle, A.S., and S. Viswanathan (2008): How to De…ne Illegal Price Manipulation, American Economic Review Papers & Proceedings, 98, 274-279.
    Paper not yet in RePEc: Add citation now
  19. Lillo, F., and J.D. Farmer (2004): The Long Memory of the E cient Market, Studies in Nonlinear Dynamics & Econometrics, 8, 1-19.
    Paper not yet in RePEc: Add citation now
  20. Milgrom, P.R. (1981): Good News and Bad News: Representation Theorems and Applications, The Bell Journal of Economics, 12, 380-391.

  21. Mitrinovic, D., J.E. Pecaric, and A.M. Fink (1993): Classical and New Inequalities in Analysis, Dordrecht, The Netherlands: Kluwer.
    Paper not yet in RePEc: Add citation now
  22. Osler, C. L. (2003): Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis, Journal of Finance, 58, 1791-1819.

  23. Park, A., and H. Sabourian (2011): Herding and Contrarian Behavior in Financial Markets, Econometrica, 79, 973-1026.

  24. Prékopa, A. (1973): On Logarithmic Concave Measures and Functions, Acta Scientiarum Mathematicarum, 34, 335-343.
    Paper not yet in RePEc: Add citation now
  25. Prékopa, A. (1980): Logarithmic Concave Measures and Related Topics. In: Stochastic Programming, Proceedings of the International Conference on Stochastic Programming, Oxford, England, 1974 (edited by M.A.H. Dempster). Academic Press, 63-82.
    Paper not yet in RePEc: Add citation now
  26. Quah, J.K.H., and B. Strulovici (2012): Aggregating the Single Crossing Property, Econometrica, 80, 2333-2348.

  27. Shleifer, A. (2000): Ine cient Markets: An Introduction to Behavioral Finance. Oxford, U.K.: Oxford University Press.

  28. Vives, X. (2008): Information and Learning in Markets. Princeton, NJ: Princeton University Press.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Path-dependent Kyle equilibrium model. (2020). Jos'e M. Corcuera, ; di Nunno, Giulia.
    In: Papers.
    RePEc:arx:papers:2006.06395.

    Full description at Econpapers || Download paper

  2. Trading on the Floor after Sweeping the Book. (2020). POLIMENIS, VASSILIS.
    In: Papers.
    RePEc:arx:papers:2001.06445.

    Full description at Econpapers || Download paper

  3. Kyle equilibrium under random price pressure. (2019). Fajardo, José ; Nunno, Giulia ; Corcuera, Jose Manuel.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00231-4.

    Full description at Econpapers || Download paper

  4. Tail expectation and imperfect competition in limit order book markets. (2019). Glosten, Lawrence R ; Baruch, Shmuel.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:183:y:2019:i:c:p:661-697.

    Full description at Econpapers || Download paper

  5. Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory. (2019). Huang, Nan-Jing ; He, Xinjiang ; Yang, Ben-Zhang.
    In: Papers.
    RePEc:arx:papers:1901.00345.

    Full description at Econpapers || Download paper

  6. KYLE–BACK’S MODEL WITH A RANDOM HORIZON. (2018). Corcuera, Jose Manuel ; di Nunno, Giulia.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500164.

    Full description at Econpapers || Download paper

  7. The semi-martingale equilibrium equity premium for risk-neutral investors. (2018). Offen, Elias R ; Mukupa, George M.
    In: International Journal of Financial Engineering (IJFE).
    RePEc:wsi:ijfexx:v:05:y:2018:i:04:n:s2424786318500354.

    Full description at Econpapers || Download paper

  8. Arbitrage pricing in non-Walrasian financial markets. (2018). Carvajal, Andrés.
    In: Economic Theory.
    RePEc:spr:joecth:v:66:y:2018:i:4:d:10.1007_s00199-017-1074-8.

    Full description at Econpapers || Download paper

  9. Financial equilibrium with asymmetric information and random horizon. (2018). Etin, Umut.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0348-0.

    Full description at Econpapers || Download paper

  10. Price Manipulation, Dynamic Informed Trading and Tame Equilibria: Theory and Computation. (2018). Takayama, Shino.
    In: Discussion Papers Series.
    RePEc:qld:uq2004:603.

    Full description at Econpapers || Download paper

  11. Financial equilibrium with asymmetric information and random horizon. (2018). Etin, Umut.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:84495.

    Full description at Econpapers || Download paper

  12. Belief-free price formation. (2018). Horner, Johannes ; Tomala, Tristan ; Lovo, Stefano.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:127:y:2018:i:2:p:342-365.

    Full description at Econpapers || Download paper

  13. On pricing rules and optimal strategies in general Kyle-Back models. (2018). Danilova, Albina ; Ccetin, Umut.
    In: Papers.
    RePEc:arx:papers:1812.07529.

    Full description at Econpapers || Download paper

  14. Early Birds and Second Mice in the Stock Market. (2017). Huang, Jin ; Crego, Julio A.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2018_1717.

    Full description at Econpapers || Download paper

  15. Early Birds and Second Mice in the Stock Market. (2017). Huang, Jin ; Crego, Julio A.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2017_1717.

    Full description at Econpapers || Download paper

  16. Option pricing for Informed Traders. (2017). Fabozzi, Frank ; Rachev, Svetlozar T ; Kim, Yong Shin ; Stoyanov, Stoyan V.
    In: Papers.
    RePEc:arx:papers:1711.09445.

    Full description at Econpapers || Download paper

  17. Financial equilibrium with asymmetric information and random horizon. (2017). Ccetin, Umut .
    In: Papers.
    RePEc:arx:papers:1603.08828.

    Full description at Econpapers || Download paper

  18. Time value of extra information against its timely value. (2016). Aydin, Serhan N.
    In: Papers.
    RePEc:arx:papers:1610.04051.

    Full description at Econpapers || Download paper

  19. Stock liquidity in forefront of anticipated announcements. (2015). Gelman, Sergey ; Lushchikov, Roman .
    In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
    RePEc:zbw:vfsc15:113176.

    Full description at Econpapers || Download paper

  20. High-Frequency Trading and Market Performance. (2015). Baldauf, Markus ; Mollner, Joshua .
    In: Discussion Papers.
    RePEc:sip:dpaper:15-017.

    Full description at Econpapers || Download paper

  21. Asymptotic Glosten-Milgrom equilibrium. (2015). Li, Cheng ; Xing, Hao.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:60579.

    Full description at Econpapers || Download paper

  22. Asymptotic Glosten Milgrom equilibrium. (2015). Li, Cheng ; Xing, Hao.
    In: Papers.
    RePEc:arx:papers:1310.4994.

    Full description at Econpapers || Download paper

  23. A model for a large investor trading at market indifference prices. II: Continuous-time case. (2015). Kramkov, Dmitry ; Bank, Peter.
    In: Papers.
    RePEc:arx:papers:1110.3229.

    Full description at Econpapers || Download paper

  24. Essays on asset trading. (2014). Dieler, T..
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:ea0c811e-e335-402f-a3e2-8f0af977af72.

    Full description at Econpapers || Download paper

  25. An information-based model of target stock price runup in the market for corporate control. (2014). Viale, Ariel ; Madura, Jeff ; Brigida, Matthew .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:14:y:2014:i:6:p:1019-1030.

    Full description at Econpapers || Download paper

  26. Man or machine? Rational trading without information about fundamentals. (2014). Rossi, Stefano ; Tinn, Katrin .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9958.

    Full description at Econpapers || Download paper

  27. Does order flow in the European Carbon Futures Market reveal information?. (2013). Ibrahim, Boulis M. ; Kalaitzoglou, Iordanis .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:3:p:604-635.

    Full description at Econpapers || Download paper

  28. Market Liquidity—Theory and Empirical Evidence *. (2013). Vayanos, Dimitri ; Wang, Jiang.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-1289-1361.

    Full description at Econpapers || Download paper

  29. Duration, trading volume and the price impact of trades in an emerging futures market. (2013). Hyde, Stuart ; McFarlane, Lavern ; Bowe, Michael .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:17:y:2013:i:c:p:89-105.

    Full description at Econpapers || Download paper

  30. Point process bridges and weak convergence of insider trading models. (2013). Xing, Hao ; Ccetin, Umut .
    In: Papers.
    RePEc:arx:papers:1205.4358.

    Full description at Econpapers || Download paper

  31. Insider Trading, Stochastic Liquidity and Equilibrium Prices. (2012). Collin-Dufresne, Pierre ; Fos, Vyacheslav.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18451.

    Full description at Econpapers || Download paper

  32. Price-Setting of Market Makers: A Filtering Problem with an Endogenous Filtration. (2012). Kuhn, Christoph ; Riedel, Matthias .
    In: Papers.
    RePEc:arx:papers:1210.4000.

    Full description at Econpapers || Download paper

  33. Does Order Flow in the European Carbon Allowances Market Reveal Information?. (2010). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis .
    In: CFI Discussion Papers.
    RePEc:hwe:cfidps:1003.

    Full description at Econpapers || Download paper

  34. The strategic specialist and imperfect competition in a limit order market. (2010). Dumitrescu, Ariadna.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:1:p:255-266.

    Full description at Econpapers || Download paper

  35. Price, trade size, and information revelation in multi-period securities markets. (2010). Takayama, Shino ; Ozsoylev, Han.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:13:y:2010:i:1:p:49-76.

    Full description at Econpapers || Download paper

  36. Herding and Contrarianism in a Financial Trading Experiment with Endogenous Timing. (2008). Sgroi, Daniel ; Park, Andreas.
    In: The Warwick Economics Research Paper Series (TWERPS).
    RePEc:wrk:warwec:868.

    Full description at Econpapers || Download paper

  37. Bid-Ask Spreads and Volume:The Role of Trade Timing. (2008). Park, Andreas.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-309.

    Full description at Econpapers || Download paper

  38. The dynamics of strategic information flows in stock markets. (2008). Taub, B ; Seiler, P.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:12:y:2008:i:1:p:43-82.

    Full description at Econpapers || Download paper

  39. Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk. (2008). Lehmann, Bruce .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13848.

    Full description at Econpapers || Download paper

  40. Private Information and the ‘Information Function’: A Survey of Possible Uses. (2008). Haven, Emmanuel.
    In: Theory and Decision.
    RePEc:kap:theord:v:64:y:2008:i:2:p:193-228.

    Full description at Econpapers || Download paper

  41. Risk-neutral investors do not acquire information. (2008). Muendler, Marc-Andreas.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:5:y:2008:i:3:p:156-161.

    Full description at Econpapers || Download paper

  42. Herding and Contrarianism in a Financial Trading Experiment with Endogenous Timing. (2008). Sgroi, Daniel ; Park, Andreas.
    In: Economic Research Papers.
    RePEc:ags:uwarer:269879.

    Full description at Econpapers || Download paper

  43. How to Define Illegal Price Manipulation. (2008). Viswanathan, S ; Kyle, Albert.
    In: American Economic Review.
    RePEc:aea:aecrev:v:98:y:2008:i:2:p:274-79.

    Full description at Econpapers || Download paper

  44. Predicting bubbles. (2006). HICKSON, CHARLES R. ; Thompson, Earl A..
    In: Global Business and Economics Review.
    RePEc:ids:gbusec:v:8:y:2006:i:3/4:p:217-246.

    Full description at Econpapers || Download paper

  45. Price, Trade Size, and Information Revelation in Multi-Period Securities Markets. (2005). Takayama, Shino ; Ozsoylev, Han.
    In: Finance.
    RePEc:wpa:wuwpfi:0510031.

    Full description at Econpapers || Download paper

  46. Optimal Trading Strategy and Supply/Demand Dynamics. (2005). Obizhaeva, Anna ; Wang, Jiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11444.

    Full description at Econpapers || Download paper

  47. Slow and fast markets. (2005). POLIMENIS, VASSILIS.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:57:y:2005:i:6:p:576-593.

    Full description at Econpapers || Download paper

  48. Risk Neutral Investors Do Not Acquire Information¤. (2005). Muendler, Marc-Andreas.
    In: University of California at San Diego, Economics Working Paper Series.
    RePEc:cdl:ucsdec:qt8fg5g853.

    Full description at Econpapers || Download paper

  49. Entscheidungsregeln und ihr Einfluss auf den Aktienkurs. (2004). Trifan, Emanuela .
    In: Darmstadt Discussion Papers in Economics.
    RePEc:zbw:darddp:dar_37282.

    Full description at Econpapers || Download paper

  50. Predicting Bubbles and Bubbles-Substitutes. (2004). Treussard, Jonathan ; HICKSON, CHARLES R. ; Thompson, Earl A..
    In: UCLA Economics Working Papers.
    RePEc:cla:uclawp:836.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-26 13:57:58 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.