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The Beauty Contest and Short-Term Trading

Citations

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Cited by:

  1. Dionne, Georges & Zhou, Xiaozhou, 2019. "Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency," Working Papers 19-3, HEC Montreal, Canada Research Chair in Risk Management, revised 04 Nov 2019.
  2. Nagel, Rosemarie & Bühren, Christoph & Frank, Björn, 2017. "Inspired and inspiring: Hervé Moulin and the discovery of the beauty contest game," Mathematical Social Sciences, Elsevier, vol. 90(C), pages 191-207.
  3. Albagli, Elias, 2015. "Investment horizons and asset prices under asymmetric information," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 787-837.
  4. David Russ, 2020. "Multidimensional Noise and Non-Fundamental Information Diversity," Working Papers 201, Bavarian Graduate Program in Economics (BGPE).
  5. Vladimir Asriyan & William Fuchs & Brett Green, 2017. "Information Spillovers in Asset Markets with Correlated Values," American Economic Review, American Economic Association, vol. 107(7), pages 2007-2040, July.
  6. Liang, Hanchao & Yang, Chunpeng & Cai, Chuangqun, 2017. "Beauty contest, bounded rationality, and sentiment pricing dynamics," Economic Modelling, Elsevier, vol. 60(C), pages 71-80.
  7. Bizzotto, Jacopo & Rüdiger, Jesper & Vigier, Adrien, 2020. "Testing, disclosure and approval," Journal of Economic Theory, Elsevier, vol. 187(C).
  8. Cespa, Giovanni & Vives, Xavier, 2017. "High frequency trading and fragility," Working Paper Series 2020, European Central Bank.
  9. Jia, Xue, 2016. "On the role of information disclosures in capital markets," Other publications TiSEM 9bacfbaa-2162-49fe-92e6-5, Tilburg University, School of Economics and Management.
  10. Giovanni Cespa & Xavier Vives, 2016. "Market Transparency and Fragility," CESifo Working Paper Series 6279, CESifo.
  11. Rossi, Stefano & Tinn, Katrin, 2021. "Rational quantitative trading in efficient markets," Journal of Economic Theory, Elsevier, vol. 191(C).
  12. Jean-Edouard Colliard, 2017. "Catching Falling Knives: Speculating on Liquidity Shocks," Management Science, INFORMS, vol. 63(8), pages 2573-2591, August.
  13. Sato, Yuki, 2016. "Delegated portfolio management, optimal fee contracts, and asset prices," Journal of Economic Theory, Elsevier, vol. 165(C), pages 360-389.
  14. Ho, Tu & Lv, Jin Roc & Schultz, Emma, 2021. "Market intraday momentum in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  15. Buss, Adrian & Sundaresan, Savitar, 2020. "More Risk, More Information: How Passive Ownership Can Improve Informational Efficiency," CEPR Discussion Papers 14843, C.E.P.R. Discussion Papers.
  16. Benhabib, Jess & Wang, Pengfei, 2015. "Private information and sunspots in sequential asset markets," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 558-584.
  17. Lenkey, Stephen L., 2017. "Insider trading and the short-swing profit rule," Journal of Economic Theory, Elsevier, vol. 169(C), pages 517-545.
  18. Gao, Lei & Han, Yufeng & Zhengzi Li, Sophia & Zhou, Guofu, 2018. "Market intraday momentum," Journal of Financial Economics, Elsevier, vol. 129(2), pages 394-414.
  19. Shiyang Huang & Bart Zhou Yueshen, 2021. "Speed Acquisition," Management Science, INFORMS, vol. 67(6), pages 3492-3518, June.
  20. Onishchenko, Olena & Zhao, Jing & Kuruppuarachchi, Duminda & Roberts, Helen, 2021. "Intraday time-series momentum and investor trading behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
  21. Pavan, Alessandro & Vives, Xavier, 2015. "Information, Coordination, and Market Frictions: An Introduction," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 407-426.
  22. Chen, Binbin & Liu, Shancun & (John) Liu, Zhiyong, 2021. "The more myopic, the more chaos? How the degree of traders’ short-termism affects the financial market equilibrium," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 596-608.
  23. Breedon, Francis & Chen, Louisa & Ranaldo, Angelo & Vause, Nicholas, 2023. "Judgment day: Algorithmic trading around the Swiss franc cap removal," Journal of International Economics, Elsevier, vol. 140(C).
  24. Peress, Joel & Schmidt, Daniel, 2021. "Noise traders incarnate: Describing a realistic noise trading process," Journal of Financial Markets, Elsevier, vol. 54(C).
  25. Yao, Yuan & Zhao, Yang & Li, Yan, 2022. "A volatility model based on adaptive expectations: An improvement on the rational expectations model," International Review of Financial Analysis, Elsevier, vol. 82(C).
  26. Han, Bing & Tang, Ya & Yang, Liyan, 2016. "Public information and uninformed trading: Implications for market liquidity and price efficiency," Journal of Economic Theory, Elsevier, vol. 163(C), pages 604-643.
  27. Russ, David, 2022. "Multidimensional noise and non-fundamental information diversity," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  28. Liu, Hong & Wang, Yajun, 2016. "Market making with asymmetric information and inventory risk," Journal of Economic Theory, Elsevier, vol. 163(C), pages 73-109.
  29. Jukka Ilomäki & Hannu Laurila, 2018. "The Noise Trader Effect In A Walrasian Financial Market," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 405-419, December.
  30. Avdis, Efstathios, 2016. "Information tradeoffs in dynamic financial markets," Journal of Financial Economics, Elsevier, vol. 122(3), pages 568-584.
  31. Zhou, Tong, 2021. "Ambiguity, asset illiquidity, and price variability," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 280-292.
  32. Angeletos, G.-M. & Lian, C., 2016. "Incomplete Information in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1065-1240, Elsevier.
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