AbstractWe then characterize analytically and numerically how the characteristics of private informationâits quantity, persistence and correlation, and division among speculatorsâaffect trading profits, pricing and trading strategies. In particular, we derive how speculators trade on new information versus old, and on private signals versus prices. We show via a frequency-domain argument that trading strategies emphasize new information versus old.
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Bibliographic InfoArticle provided by Springer in its journal Economic Theory.
Volume (Year): 44 (2010)
Issue (Month): 1 (July)
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Web page: http://link.springer.de/link/service/journals/00199/index.htm
Other versions of this item:
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- D4 - Microeconomics - - Market Structure and Pricing
- G1 - Financial Economics - - General Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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