Models of information aggregation in financial markets: a review

DOI10.1080/13504869600000008zbMath1097.91536OpenAlexW2082859460MaRDI QIDQ4541526

Narayan Y. Naik, Michel A. Habib

Publication date: 1996

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504869600000008

Mathematics Subject Classification ID

Economics of information (91B44)

Cites Work

• Equilibrium with signal extraction from endogenous variables
• An expository note on individual risk without aggregate uncertainty
• The law of large numbers with a continuum of i.i.d. random variables
• A monopolistic market for information
• Martingales and arbitrage in multiperiod securities markets
• Rational expectations equilibrium with conditioning on past prices: A mean-variance example
• Market efficiency and inefficiency in rational expectations equilibria. Dynamic effects of heterogeneous information and noise
• Further results on the informational efficiency of competitive stock markets
• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
• A Note On Utility Maximization Under Partial Observations¹

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