Informational inefficiency in financial markets

DOI10.1007/s11579-012-0078-1zbMath1260.91254OpenAlexW2033759128WikidataQ56813062 ScholiaQ56813062MaRDI QIDQ1938988

Bernhard K. Meister, Dorje C. Brody, Matthew F. Parry

Publication date: 26 February 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-012-0078-1

zbMATH Keywords

information-based asset pricingstatistical arbitrageinformation pricingInternet-data extraction

Mathematics Subject Classification ID

Economics of information (91B44) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (1)

Pricing of Defaultable Bonds with Random Information Flow

Cites Work

• A monetary value for initial information in portfolio optimization
• Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
• The financial value of a weak information on a financial market
• A general stochastic calculus approach to insider trading
• Diverse beliefs
• INFORMATION-BASED ASSET PRICING
• An Anticipating Calculus Approach to the Utility Maximization of an Insider
• Modelling Information Flows in Financial Markets
• Dequantization of the Dirac monopole

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