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Mathematics and Financial Economics OnlineFirst articles

Open Access 26-05-2022

Informational efficiency and welfare

In a continuous-time market with a safe rate and a risky asset that pays a dividend stream depending on a latent state of the economy, several agents make consumption and investment decisions based on public information–prices and dividends–and …

Authors:
Luca Bernardinelli, Paolo Guasoni, Eberhard Mayerhofer

Open Access 23-04-2022

Learning about latent dynamic trading demand

We present an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, investors filter the child order flow dynamically over time to estimate the …

Authors:
Xiao Chen, Jin Hyuk Choi, Kasper Larsen, Duane J. Seppi