The dynamics of strategic information flows in stock markets
type: Item
instance of: scholarly article
title: The dynamics of strategic information flows in stock markets
zbMATH Open document ID: 1150.91029
author: Elsie Sterbin Gottlieb
published in: Finance and Stochastics
publication date: 2008-06-18T00:00:00Z
review text: The authors model a stock market with multiple stocks. The stock values evolve stochastically in discrete time, over an infinite horizon, and are mutually and serially correlated. There are multiple informed traders who maximize profits that are discounted over the infinite horizon. These traders use price information about all assets dynamically. The decay rate of this cross-price information is quantified. The goal is to characterize equilibrium dynamics of such system. For this purpose the authors exploit stationarity, transform the model to the frequency domain so that the solutions are matrices of functions, which are then found in a direct way with a variational method. The equilibrium dynamics is characterized by iterating the informed traders' best responses in some function space. The interaction between new and old information is described.
reviewed by: Yuliya S. Mishura
Mathematics Subject Classification ID: 91B44
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 47N10
zbMATH DE Number: 5290177
zbMATH Keywords: Multi-asset pricing
zbMATH Keywords: strategic information
zbMATH Keywords: information dynamics
zbMATH Keywords: frequency-domain methods
MaRDI profile type: Publication
full work available at URL: s00780-007-0046-4
OpenAlex ID: W2041257994
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DOI: 10.1007/S00780-007-0046-4
description: scientific article; zbMATH DE number 5290177