Hierarchical information and the rate of information diffusion

DOI10.1016/J.JEDC.2012.03.001zbMath1345.91019OpenAlexW3121989633MaRDI QIDQ310930

Ramazan Gençay, Yi Xue

Publication date: 28 September 2016

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://www.rcea.org/RePEc/pdf/wp29_09.pdf

zbMATH Keywords

momentumprice discoveryinformation diffusion rateinformation hierarchies

Mathematics Subject Classification ID

Economics of information (91B44)

Cites Work

• Forecasting the forecasts of others: implications for asset pricing
• The market impact of a limit order
• Evolutionary dynamics in markets with many trader types
• An analysis of the effect of noise in a heterogeneous agent financial market model
• Informational differences and learning in an asset market with boundedly rational agents
• Call market book information and efficiency
• Asset prices, traders' behavior and market design
• Stochastic processes and filtering theory
• Continuous Auctions and Insider Trading

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