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Erschienen in:
Introduction Kapitel lesen Erstes Kapitel lesen

2017 | OriginalPaper | Buchkapitel

3. A Signal-Based Heterogeneous Agent Network

verfasst von : Nadi Serhan Aydın

Erschienen in: Financial Modelling with Forward-looking Information

Verlag: Springer International Publishing

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Abstract

This chapter introduces an interactive market setup where agents receive variegated information. This chapter, which is inspired by the remarks of authors in Brody et al. (Modelling information flows in financial markets, Springer, Berlin, 2011), is a significant addition to the literature on equilibrium with long-lived information. It not only vividly illustrates some interesting price discovery dynamics in the presence of heterogeneous information through numerical analysis, but also explores optimal strategies to exploit differential information by analytically characterising ex-ante gains from trade.

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Vorheriges Kapitel The Signal-Based Framework
Nächstes Kapitel Putting Signal-Based Model to Work
Fußnoten
1
Contrary to, e.g., [16, 19].
 
2
Here we emphasise the term ‘consolidate,’ since how information is consolidated will be one of the key questions in our algorithm.
 
3
In [11, p. 7], the authors elegantly elaborate why the real-world interpretation of the price posted by a Walrasian auctioneering computer is the bid-ask midpoint.
 
4
Note that the union of collection of sigma algebras is not always a σ-algebra or even an algebra.
 
5
Note that when ρ = 1, assuming σ 1 ≠ σ 2, the central planner will only need to solve two linear equations, with X and \(\beta _{t_{i-}}\) being the two unknowns, to get instant access to X.
 
6
Note that any binary payoff structure X ∈ {x 0, x 1}, x 1 > x 0 can be simplified as {0, x 1 − x 0}, a property which will simplify our calculations.
 
7
Note that, in Eq. (3.25), we inherently employ the basic relation \(P(x> b - a) = 1 - \Theta (b - a) = \Theta (a - b)\).
 
8
We use the property that the price process S t is Gaussian when X has a Gaussian terminal distribution.
 
9
As x > y implies x∕(x + 1) > y∕(y + 1).
 
10
In other words, whenever an agent refrains from trade in expectation of greater future profits, he should refrain on the basis that he has to recover immediate cost of refraining.
 
11
\(\mathbb{V}[\Pi \vert \xi ] = \mathbb{E}[\mathbb{E}[\Pi ^{2}\vert \xi,X]] - \mathbb{E}[\mathbb{E}[\Pi \vert \xi,X]]^{2}\).
 
12
There is no intertemporal consumption.
 
Literatur
1.
Admati A, Pfleiderer P (1988) A theory of intraday patterns: volume and price variability. Rev Financ Stud 1(1):3–40CrossRef
2.
Akerlof G (1970) The market for “lemons”: quality uncertainty and the market mechanism. Q J Econ 84(3):488–500.CrossRef
3.
Back K (1992) Insider trading in continuous time. Rev Financ Stud 5(3):387–409CrossRef
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Back K, Baruch S (2004) Information in securities markets: Kyle meets glosten and milgrom. Econometrica 72(2):433–465CrossRef
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Back K, Pedersen H (1998) Long-lived information and intra-day patterns. J Finan Markets 1:385–402CrossRef
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Bond P, Eraslan H (2010) Information-based trade. J Econ Theory 145:1675–1703CrossRef
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Brody D, Davis M, Friedman R, Hughston L (2009) Informed traders. Proc R Soc A 465:1103–1122CrossRef
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Brody D, Hughston L, Macrina A (2011) Modelling information flows in financial markets. Advanced mathematical methods for finance. Springer, Berlin, pp 133–153
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Brown A, Rogers L (2012) Diverse beliefs. Stochastics: Int J Probab Stoch Process 84(5–6):683–703
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Brunnermeier M (2001) Asset pricing under asymmetric information: bubbles, crashes, technical analysis, and herding. Oxford University Press, OxfordCrossRef
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Buss A, Dumas B (2013) Financial-market equilibrium with friction. Working Paper 19155, National Bureau of Economic Research (2013)
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Caldentey R, Stacchetti E (2010) Insider trading with a random deadline. Econometrica 78(1):245–283CrossRef
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Cvitanić J, Jouini E, Malamud S, Napp C (2012) Financial markets equilibrium with heterogeneous agents. Rev Financ 16(1):285–321CrossRef
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Dumas B, Lyasoff A (2012) Incomplete-market equilibria solved recursively on an event tree. J Financ 67(5):1897–1941CrossRef
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Glosten L, Milgrom P (1985) Bid, ask and transaction prices in specialist market with heterogeneously informed traders. J Financ Econ 14:71–100CrossRef
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Grossman S, Stiglitz J (1980) On the impossibility of informationally efficient markets. Am Econ Rev 70(3):393–408
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Inada K-I (1963) On a two-sector model of economic growth: comments and a generalization. Rev Econ Stud 30(2):119–127CrossRef
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Kyle A (1985) Continuous auctions and insider trading. Econometrica 53(6):1315–1335CrossRef
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Milgrom P, Stokey N (1982) Information, trade and common knowledge. J Econ Theory 26(1):17–27CrossRef
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Sharpe W (1966) Mutual fund performance. J Bus 39(1, Part 2: Supplement on Security Prices):119–138
Metadaten
Titel
A Signal-Based Heterogeneous Agent Network
verfasst von
Nadi Serhan Aydın
Copyright-Jahr
2017
Buch
Financial Modelling with Forward-looking Information

Print ISBN: 978-3-319-57146-1

Electronic ISBN: 978-3-319-57147-8

Copyright-Jahr: 2017

DOI
https://doi.org/10.1007/978-3-319-57147-8_3