Trifan, Emanuela (2009)
Decision Rules and their Influence on Asset Prices.
Report, Erstveröffentlichung
Kurzbeschreibung (Abstract)
This paper develops a market microstructure model with asymmetric information in order to quantify the influence which practical decision rules have on asset process. The users of practical decision rules have incomplete information at their disposal and trade in a market with both fully informed and uninformed investors, as well as with a competitive market maker. The users of practical decision rules affect the periodical ask and bid prices in two ways: by means of the precision of their information and through their share in the totality of investors, respectively. The resulting bid-ask spread is positive and proportional to the c.p. variation of these two influencing factors and is attributable to the adverse selection costs.
| Typ des Eintrags: | Report |
|---|---|
| Erschienen: | 2009 |
| Autor(en): | Trifan, Emanuela |
| Art des Eintrags: | Erstveröffentlichung |
| Titel: | Decision Rules and their Influence on Asset Prices |
| Sprache: | Englisch |
| Publikationsjahr: | 2009 |
| Ort: | Darmstadt |
| Reihe: | Darmstadt Discussion Papers in Economics |
| Band einer Reihe: | 139 |
| URL / URN: | http://tuprints.ulb.tu-darmstadt.de/4787 |
| Kurzbeschreibung (Abstract): | This paper develops a market microstructure model with asymmetric information in order to quantify the influence which practical decision rules have on asset process. The users of practical decision rules have incomplete information at their disposal and trade in a market with both fully informed and uninformed investors, as well as with a competitive market maker. The users of practical decision rules affect the periodical ask and bid prices in two ways: by means of the precision of their information and through their share in the totality of investors, respectively. The resulting bid-ask spread is positive and proportional to the c.p. variation of these two influencing factors and is attributable to the adverse selection costs. |
| URN: | urn:nbn:de:tuda-tuprints-47876 |
| Zusätzliche Informationen: | Erstellt September 2004 |
| Sachgruppe der Dewey Dezimalklassifikatin (DDC): | 300 Sozialwissenschaften > 330 Wirtschaft |
| Fachbereich(e)/-gebiet(e): | 01 Fachbereich Rechts- und Wirtschaftswissenschaften 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete |
| Hinterlegungsdatum: | 31 Jan 2016 20:59 |
| Letzte Änderung: | 25 Okt 2023 08:31 |
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