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A market microstructure model with random overlapping information asymmetries [An article from: Finance Research Letters]
Book Details
Author(s)J.P. Owens
PublisherElsevier
ISBN / ASINB000RR386Y
ISBN-13978B000RR3867
AvailabilityAvailable for download now
Sales Rank99,999,999
MarketplaceUnited States 🇺🇸
Description
This digital document is a journal article from Finance Research Letters, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
This note modifies the popular market microstructure model of Easley and O'Hara [1992. Time and the process of security price adjustment. Journal of Finance 47, 577-605] by including random overlapping information asymmetries in continuous time. This modification allows expected adverse selection costs to vary according to the random arrival and assimilation of information.
Description:
This note modifies the popular market microstructure model of Easley and O'Hara [1992. Time and the process of security price adjustment. Journal of Finance 47, 577-605] by including random overlapping information asymmetries in continuous time. This modification allows expected adverse selection costs to vary according to the random arrival and assimilation of information.
