Speculative dynamics
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Publication:976762
DOI10.1007/s00199-009-0456-yzbMath1231.91495OpenAlexW3192571676MaRDI QIDQ976762
Publication date: 16 June 2010
Published in: Economic Theory (Search for Journal in Brave)
Full work available at URL: http://dro.dur.ac.uk/8530/1/8530.pdf
frequency domainspeculationforecasting-the-forecastsmarket microstructure financestationary linear equilibrium
Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44) Actuarial science and mathematical finance (91G99)
Related Items (9)
Inconspicuousness and obfuscation: how large shareholders dynamically manipulate output and information for trading purposes ⋮ Solving generalized multivariate linear rational expectations models ⋮ Speculative attacks with multiple targets ⋮ Forecasting the forecasts of others: implications for asset pricing ⋮ Signal-jamming in the frequency domain ⋮ Do fundamentals shape the price response? A critical assessment of linear impact models ⋮ The dynamics of strategic information flows in stock markets ⋮ Confounding dynamics ⋮ A stationary Kyle setup: microfounding propagator models
Cites Work
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- Forecasting the forecasts of others: implications for asset pricing
- Kyle v. Kyle ('85 v. '89)
- The dynamics of strategic information flows in stock markets
- Spectral utility, Wiener-Hopf techniques, and rational expectations
- Interpolation of rational matrix functions
- Optimal policy in a model of endogenous fluctuations and assets
- Factoring spectral matrices in linear-quadratic models
- Continuous Auctions and Insider Trading
- Informed Speculation with Imperfect Competition
- Rational Expectations in Stationary Linear Models
- Extension of Stokes series for flow in a circular boundary
- A Model of Intertemporal Asset Prices Under Asymmetric Information
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