Data di Pubblicazione:
2010
Abstract:
The ambition of this paper is to provide an explanation to the empirically observed phenomenon of specialization in asset trading and portfolio holding. To this end, the time complexity of information processing is in-
troduced in a nancial microstructure model of sequential trading a là
Glosten - Milgrom. Preliminary results, supported by numerical simulations, show that the slower the information processing on the part of a trader, the fewer the assets in his portfolio.
troduced in a nancial microstructure model of sequential trading a là
Glosten - Milgrom. Preliminary results, supported by numerical simulations, show that the slower the information processing on the part of a trader, the fewer the assets in his portfolio.
Tipologia CRIS:
2.1 Contributo in volume (Capitolo o Saggio)
Elenco autori:
Eboli, Mario
Link alla scheda completa:
Titolo del libro:
Proceedings of the 7th International Conference on Applied Financial Economics