Learning from prices: information aggregation and accumulation in an asset market

DOI10.1007/s10436-020-00378-wzbMath1467.91193OpenAlexW3046408849MaRDI QIDQ2036003

Michele Berardi

Publication date: 28 June 2021

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-020-00378-w

zbMATH Keywords

uncertaintyinformationBayesian learningasset prices

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Unnamed Item
• Learning from private and public observations of others' actions
• Equilibrium with signal extraction from endogenous variables
• On the aggregation of information in competitive markets
• Further results on the informational efficiency of competitive stock markets
• The speed of information revelation in a financial market mechanism
• Continuous Auctions and Insider Trading
• Informed Speculation with Imperfect Competition
• Heterogeneous Beliefs and Tests of Present Value Models
• Uncertainty, Information Acquisition, and Price Swings in Asset Markets
• How Fast do Rational Agents Learn?

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