Trading under uncertainty about other market participants

I present an asymmetric information model of financial markets in which there is uncertainty and learning not only about fundamentals but also about the proportion of informed‐to‐noise traders in the market. Extreme news leads to an increase in both types of uncertainty, while it decreases price inf...

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Veröffentlicht in:	The Financial review (Buffalo, N.Y.) N.Y.), 2023-05, Vol.58 (2), p.343-367
1. Verfasser:	Papadimitriou, Dimitris
Format:	Artikel
Sprache:	eng
Schlagworte:	asymmetric information Liquidity market composition noise trading price informativeness Securities markets Securities trading Volatility volume
Online-Zugang:	Volltext
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