Trading, Profits, and Volatility in a Dynamic Information Network Model.

Seminários Acadêmicos
Insper Instituto de Ensino e Pesquisa

Palestrante: Johan Walden (School of Business / California)

We introduce a dynamic noisy rational expectations model, in which information diffuses through a general network of agents. In equilibrium, agents’ trading behavior and profits are determined by their position in the network. Agents who are more closely connected have more similar period-by-period trades, and an agent’s profitability is determined by a centrality measure that is closely related to so-called Katz centrality. The model generates rich dynamics of aggregate trading volume and volatility, beyond what can be generated by heterogeneous preferences in a symmetric information setting. An initial empirical investigation suggests that price and volume dynamics of small stocks may be especially well explained by such asymmetric information diffusion. The model could potentially be used to study individual investor behavior and performance, and to analyze endogenous network formation in financial markets.

Data: 05/12/2013 (quinta-feira)

Horário: 12h

Sala Paulo Renato de Souza – 2º andar 

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