Price distortions under coarse reasoning with frequent trade
نویسندگان
چکیده
منابع مشابه
Price distortions under coarse reasoning with frequent trade
We study the effect of frequent trading opportunities and categorization on pricing of a risky asset. Frequent opportunities to trade can lead to large distortions in prices if some agents forecast future prices using a simplified model of the world that fails to distinguish between some states. In the limit as the period length vanishes, these distortions take a particular form: the price must...
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ژورنال
عنوان ژورنال: Journal of Economic Theory
سال: 2015
ISSN: 0022-0531
DOI: 10.1016/j.jet.2015.07.011