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Learning specialists and market resilience

dc.contributor.authorContreras Eitner, Alfredospa
dc.date.accessioned2023-06-21T22:22:56Z
dc.date.available2023-06-21T22:22:56Z
dc.date.issued2023-03
dc.identifier.issn1544-6123
dc.identifier.urihttp://hdl.handle.net/10726/5027
dc.language.isoeng
dc.publisherElsevier Inc.
dc.subjectMarket microstructure
dc.subjectMarket resilience
dc.subjectInsider trading
dc.subjectDynamic rational inattention
dc.subjectEntropy learning
dc.titleLearning specialists and market resilienceeng
dc.typearticle
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.rights.localAcceso Restringido
dc.type.versioninfo:eu-repo/semantics/acceptedVersion
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.description.abstractenglishIn this paper, I address the stochastic behavior of asset prices set by an imperfectly informed specialist who uses learning technology to refine her knowledge of the order flow. The specialist’s endogenous choice of an information structure is analyzed which fully characterizes her responses to large orders in the market. Specifically, large orders can either be of structural origin, i.e., a disturbance in the asset’s payoff, or an exogenous one associated with noise trading. A specialist with a large learning capacity optimally chooses a pricing function where structural shocks display high persistence, whereas exogenous shocks disappear rapidly. This market structure provides a natural setup to address market resilience, in the sense of the recovery speed of prices.eng
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.relation.citationvolume52
dc.contributor.orcidContreras Eitner, Alfredo [0000-0003-3041-3271]
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.contributor.scopusContreras Eitner, Alfredo [58080792300]
dc.description.orcidhttps://orcid.org/0000-0003-3041-3271
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=58080792300
dc.identifier.eissn1544-6131
dc.relation.ispartofjournalFinance Research Letters
dc.identifier.doihttps://doi.org/10.1016/j.frl.2022.103516
dc.rights.coarhttp://vocabularies.coar-repositories.org/access_rights/c_16ec/


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