Asset pricing in large information networks

DOI10.1016/j.jet.2011.10.003zbMath1229.91136OpenAlexW2136945022MaRDI QIDQ654508

Han Ozsoylev, Johan Walden

Publication date: 28 December 2011

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

Full work available at URL: https://doi.org/10.1016/j.jet.2011.10.003

zbMATH Keywords

power lawinformation networksnoisy rational expectations equilibrium

Mathematics Subject Classification ID

Economics of information (91B44)

Related Items

Network Influence Analysis ⋮ Liquidity Induced Asset Bubbles via Flows of ELMMs ⋮ Information linkages in a financial market with imperfect competition ⋮ MARKET FLUCTUATIONS EXPLAINED BY DIVIDENDS AND INVESTOR NETWORKS ⋮ A new approach to the existence and regularity of linear equilibrium in a noisy rational expectations economy ⋮ Identification of information networks in stock markets ⋮ The equivalence of two rational expectations equilibrium economies with different approaches to processing neighbors' information ⋮ Information aggregation in a financial market with general signal structure ⋮ A case study on the shareholder network effect of stock market data: an SARMA approach

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