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Information Percolation Driving Volatility

Andrei, Daniel - 2012

Sudden big price changes are followed by periods of high and persistent volatility. I develop a tractable dynamic rational expectations model consistent with this observation. An infinity of agents possess dispersed information about future dividends and trade in centralized markets. Information...

Persistent link: https://www.econbiz.de/10013109066

Information and Volatility

Bergemann, Dirk - 2014

In an economy of interacting agents with both idiosyncratic and aggregate shocks, we examine how the information structure determines aggregate volatility. We show that the maximal aggregate volatility is attained in a noise free information structure in which the agents confound idiosyncratic...

Persistent link: https://www.econbiz.de/10013052631

Information and Volatility

Bergemann, Dirk - 2014

In an economy of interacting agents with both idiosyncratic and aggregate shocks, we examine how the structure of private information influences aggregate volatility. The maximal aggregate volatility is attained in a noise free information structure in which the agents confound idiosyncratic...

Persistent link: https://www.econbiz.de/10013061893

Information and Volatility

Bergemann, Dirk - 2014

Persistent link: https://www.econbiz.de/10013045592

Information content of stocks in call auction of shorter duration in emerging market

Bag, Dinabandhu - In: Copernican Journal of Finance & Accounting : CJF&A 8 (2019) 4, pp. 113-132

Persistent link: https://www.econbiz.de/10012242098

Dispersed information and the origins of aggregate fluctuations

Grazzini, Jakob; Massaro, Domenico - 2016

In the presence of dispersed information, agents may decide to take into account the actions of other agents because of the possible additional information conveyed by these actions. We call the act of using other agents' actions in the individual decision process social learning. This paper...

Persistent link: https://www.econbiz.de/10011489440

Call Auction Mechanism and Closing Price Manipulation : Evidence from the Hong Kong Stock Exchange

Park, Seongkyu Gilbert - 2020

The Hong Kong Stock Exchange (HKEx) adopted a closing call auction in 2008 but suspended its operation ten months later … due to suspicion of widespread price manipulation. The Exchange relaunched the auction in 2016 with manipulation … call auction design on closing price manipulation. Our results indicate that a plain-vanilla call auction mechanism is …

Persistent link: https://www.econbiz.de/10012846904

Call auctions with contingent orders

Hafalir, Isa; Imisiker, Serkan - In: Games 13 (2022) 5, pp. 1-8

mechanism would be an improvement over the existing opening auction rules at stock exchanges. …

Persistent link: https://www.econbiz.de/10013368211

Modulated information flows in financial markets

Hoyle, Edward; Macrina, Andrea; Mengütürk, Levent Ali - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-35

Persistent link: https://www.econbiz.de/10012271037

Firm-specific information and systemic risk

Clements, Adam; Liao, Yin - In: Economic modelling 90 (2020), pp. 480-493

Persistent link: https://www.econbiz.de/10012428956