Rational quantitative trading in efficient markets

DOI10.1016/j.jet.2020.105127zbMath1458.91206OpenAlexW3122285308MaRDI QIDQ1995286

Katrin Tinn, Stefano Rossi

Publication date: 23 February 2021

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2020.105127

zbMATH Keywords

learningmarket efficiencyquantitative tradinguncertainty about informed trading

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

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• Information Acquisition and Under-Diversification
• Continuous Auctions and Insider Trading
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• Competing on Speed
• The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response *
• Manipulation and the Allocational Role of Prices
• Information in Securities Markets: Kyle Meets Glosten and Milgrom

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