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Optimal research in financial markets with heterogeneous private information; a rational expectations model. (2005). Tinn, Katrin.
In: Money Macro and Finance (MMF) Research Group Conference 2005.
RePEc:mmf:mmfc05:6.

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  1. Admati, A. (1985), A Noisy Rational Expectations Equilibrium for MultiAsset Securities Markets, Econometrica 43, 629-658.

  2. Allen, F., S. Morris and H. S. Shin (2004), Beauty Contests, Bubbles and Iterated Expectations in Asset Markets, mimeo.

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  8. Froot, K. and E. Dabora (1999), How Are Stock Prices Aected by the Location of Trade? Journal of Financial Economics 53, 189-216.

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  10. He, H. and J. Wang (1995), Dierential Information and Dynamic Behavior of Stock Trading Volume Review of Financial Studies 8, 914-972.

  11. Menkho, L. (1998). The Noise Trading Approach - a Questionnaire Evidence from Foreign Exchange Journal of International Money and Finance 17, 547-564.
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    In: Temi di discussione (Economic working papers).
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  2. Noise and aggregation of information in large markets. (2013). Uroevi, Branko ; Garcia, Diego .
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  3. Rational expectations equilibrium with uncertain proportion of informed traders. (2013). Gao, Feng ; Wang, Jun ; Song, Fengming .
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  5. Liquidity and asset prices in rational expectations equilibrium with ambiguous information. (2011). Werner, Jan ; Ozsoylev, Han.
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  6. The Real Effects of Financial Markets. (2011). Edmans, Alex ; Bond, Philip ; Goldstein, Itay.
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  7. Equilibrium Information Acquisition, Prediction Abilities and Asset Prices. (2011). Guo, Wen-Chung.
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  8. Higher order expectations, illiquidity, and short-term trading. (2011). Vives, Xavier ; Cespa, Giovanni.
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  11. Rational Attention Allocation Over the Business Cycle. (2009). Veldkamp, Laura ; Van Nieuwerburgh, Stijn ; Kacperczyk, Marcin.
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  13. Testing Asymmetric-Information Asset Pricing Models. (2009). Ljungqvist, Alexander ; Kelly, Bryan.
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  16. Dynamic Trading and Asset Prices: Keynes vs. Hayek. (2008). Vives, Xavier ; Cespa, Giovanni.
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  17. Amplification and asymmetry in crashes and frenzies. (2008). Ozsoylev, Han.
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  18. Are More Risk-Averse Agents More Optimistic? Insights from a Simple Rational Expectations Equilibrium Model. (2008). NAPP, Clotilde ; Jouini, Elyès.
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  19. Information Sales and Insider Trading with Long-lived Information. (2007). Cespa, Giovanni.
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  20. Sudden Flight and True Sudden Stops. (2007). Warnock, Francis ; Rothenberg, Alexander D..
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  24. Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?. (2006). van Wincoop, Eric ; Bacchetta, Philippe.
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  25. Optimal research in financial markets with heterogeneous private information; a rational expectations model. (2005). Tinn, Katrin.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:6.

    Full description at Econpapers || Download paper

  26. Informational asymmetries and a multiplier effect on price correlation and trading. (2005). Pinheiro, Marcelo.
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  27. Characterizing Asymmetric Information in International Equity Markets. (2004). Schneider, Martin ; Bauer, Gregory ; Albuquerque, Rui.
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  28. Noise and aggregation of information in large markets. (2004). Urosevic, Branko ; Garcia, Diego .
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  39. A rational expectations model of financial contagion. (1998). Kodres, Laura E. ; Pritsker, Matthew.
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  40. Learning the True Index Level: Index Return Autocorrelation in an REE Auction Market. (1997). Safvenblad, Patrik.
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  41. Lead-Lag Effects When Prices Reveal Cross-Security Information. (1997). Safvenblad, Patrik.
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  42. Information quality, performance measurement, and security demand in rational expectations economies. (1995). Noe, Thomas ; Ramamurtie, Buddhavarapu Sailesh.
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  43. Bid-Ask Spreads with Indirect Competition Among Specialists. (1994). Jackson, Matthew ; Gehrig, Thomas.
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  44. Differential information and dynamic behavior of stock trading volume. (1994). He, Hua ; He, Hua., .
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  45. Insider trading and market manipulations--existence and uniqueness of equilibrium. (1991). Rochet, Jean ; Vila, Jean-Luc., .
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  46. Expectativas racionales, competencia perfecta y comportamiento estratégico en los mercados financieros. (1991). Caballe, Jordi.
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  47. Crash Testing the Efficient Market Hypothesis. (1988). French, Kenneth .
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  48. Banking panics, information, and rational expectations equilibrium. (1988). Aiyagari, S..
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  49. Speculative Behavior of Institutional Investors. (1986). Shiller, Robert ; Pound, John .
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  50. Asset Prices in a Time Series Model with Disparately Informed, Competative Traders. (1986). Singleton, Kenneth.
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