Most DSGE models and methods make inappropriate asymmetric information assumptions. They assume that all economic agents have full access to measurement of all variables and past shocks, whereas the econometricians have no access to this. An alternative assumption is that there is symmetry, in...

The purpose of this paper is to introduce the R package InfoTrad for estimating the proba- bility of informed trading (PIN) initially proposed by Easley et al. (1996). PIN is a popular information asymmetry measure that proxies the proportion of informed traders in the market. This study...

The term "information risk" or "information uncertainty" is defined as the risk of a misleading signal. This risk is understood Bayesianly in terms of the likelihood function f(S|φ). In Bayesian method, f(S|φ) captures the quality of signal S with respect to parameter φ. The Bayesian position...

This note provides the details of the estimation procedure in Br¨unner (2019). In Section 2 we derive the posterior distribution. Section 3 describes the MCMC algorithm used to obtain draws from the posterior distribution and in Section 4 we present the method for our model check. We conclude...

Market mechanisms are increasingly being used as a tool for allocating somewhat scarce but unpriced rights and resources, and the European Emission Trading Scheme is an example. By means of dynamic optimization in the contest of firms covered by such environmental regulations, this paper...

Although it is generally accepted that consumer confidence measures are informative signals about the state of the economy, theoretical macroeconomic models designed for the analysis of monetary policy typically do not provide a role for them. I develop a framework with asymmetric information in...

We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquidation occurs in a disorderly manner and negatively impacts the market price of the asset. We consider the perspective...

This paper studies an asset market where, as in major world exchanges, informed and liquidity investors continuously control the timing of orders and whether to take or provide liquidity. In equilibrium, investors demand and supply liquidity simultaneously, following distinctive time-varying...

A key feature of the 2007 financial crisis is that for some classes of securities trade has practically ceased. And where trade has occurred, it appears that market prices are well below their intrinsic values. This seems especially true for those securities where the payoff streams are...

A key feature of the 2007-2008 financial crisis is that for some classes of securities trade has ceased. And where trade does occur, it appears that market prices are well below what one might believe to be the intrinsic value for that class of security. This seems to be especially true for...