In the U.S. stock and options markets from January 1996 to December 2013, we examine whether information uncertainty … the portfolios held by one month. In our results, changes in information uncertainty are in tandem with changes in implied …, we provide novel evidence that the uncertainty of information concerning a firm's fundamental underlying volatility …

Asset price processes are completely described by information processes and investors´ preferences. In this paper we … stylized facts that look at first hand like financial market anomalies may be explained by an information process with …

Asset price processes are completely described by information processes and investors´ preferences. In this paper we … stylized facts that look at first hand like financial market anomalies may be explained by an information process with …

Asset price processes are completely described by information processes and investors' preferences. In this paper we … stylized facts that look at first hand like financial market anomalies may be explained by an information process with …

This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non …-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are …

parameters. The risk-neutral dynamics are obtained for a general setting and its weak limit is derived. We show how several GARCH …