6533b830fe1ef96bd1297c92
RESEARCH PRODUCT
The role of information in a two-traders market
Emmanuel HavenFabio Bagarellosubject
Statistics and Probabilitymedia_common.quotation_subjectComputational Finance (q-fin.CP)Stock marketsCondensed Matter PhysicsAffect (psychology)MicroeconomicsFOS: Economics and businessQuantitative Finance - Computational FinanceOpen systemInformationStock marketQuality (business)BusinessSettore MAT/07 - Fisica MatematicaSimple (philosophy)media_commondescription
In a very simple stock market, made by only two \emph{initially equivalent} traders, we discuss how the information can affect the performance of the traders. More in detail, we first consider how the portfolios of the traders evolve in time when the market is \emph{closed}. After that, we discuss two models in which an interaction with the outer world is allowed. We show that, in this case, the two traders behave differently, depending on \textbf{i)} the amount of information which they receive from outside; and \textbf{ii)}the quality of this information.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2014-01-01 |