Divergent behavior in markets with idiosyncratic private information

Goldbaum, D

Divergent behavior in markets with idiosyncratic private information

Goldbaum, D

Permalink

Publication Type:: Journal Article
Citation:: Critical Finance Review, 2017, 4 (2), pp. 181 - 213
Issue Date:: 2017-01-01

Open Access

Copyright Clearance Process

Recently Added
In Progress
Open Access

This item is open access.

Adobe PDF

Download full textAdobe PDF (1.93 MB)

View on publisher's site

View statistics

Full metadata record

Field	Value	Language
dc.contributor.author	Goldbaum, D https://orcid.org/0000-0002-4228-1408	en_US
dc.date.issued	2017-01-01	en_US
dc.identifier.citation	Critical Finance Review, 2017, 4 (2), pp. 181 - 213	en_US
dc.identifier.issn	2164-5744	en_US
dc.identifier.uri	http://hdl.handle.net/10453/117804
dc.description.abstract	© 2017 D. Goldbaum. A state of perpetually evolving divergent trading strategies is the natural consequence of a market with idiosyncratic private information. In the face of intrinsic uncertainty about other traders' strategies, participants resort to learning and adaptation to identify and exploit profitable trading opportunities. Model-consistent use of market-based information generally improves price performance but can inadvertently produce episodes of sudden mispricing. The paper examines the impact of trader's use of information and bounded rationality on price efficiency.	en_US
dc.relation.ispartof	Critical Finance Review	en_US
dc.relation.isbasedon	10.1561/105.00000064	en_US
dc.title	Divergent behavior in markets with idiosyncratic private information	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	4	en_US
utslib.for	1401 Economic Theory	en_US
utslib.for	1402 Applied Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	4	en_US

Abstract:

© 2017 D. Goldbaum. A state of perpetually evolving divergent trading strategies is the natural consequence of a market with idiosyncratic private information. In the face of intrinsic uncertainty about other traders' strategies, participants resort to learning and adaptation to identify and exploit profitable trading opportunities. Model-consistent use of market-based information generally improves price performance but can inadvertently produce episodes of sudden mispricing. The paper examines the impact of trader's use of information and bounded rationality on price efficiency.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/117804