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Firm-specific information and systemic risk
Clements, Adam; Liao, Yin - In: Economic modelling 90 (2020), pp. 480-493
Persistent link: https://www.econbiz.de/10012428956
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High-dimensional statistical learning techniques for time-varying limit order book networks
Chen, Shi; Härdle, Wolfgang; Schienle, Melanie - 2021
structure of price interdependencies across stocks. For correct empirical network determination of such dynamic liquidity price … bootstrap procedure. We document the importance of LOB liquidity network spillovers even for a small blue-chip NASDAQ portfolio. …
Persistent link: https://www.econbiz.de/10012614016
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Information Networks : Evidence from Illegal Insider Trading Tips
Ahern, Kenneth R. - 2016
after three links in the network. Inside traders earn prodigious returns of 35% over 21 days, with more central traders …
Persistent link: https://www.econbiz.de/10013005786
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Dynamic patterns of daily lead-lag networks in stock markets
Li, Yongli; Liu, Chao; Wang, Tianchen; Sun, Baiqing - In: Quantitative finance 21 (2021) 12, pp. 2055-2068
Persistent link: https://www.econbiz.de/10012696814
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Dynamic Networks and Asset Pricing
Buraschi, Andrea - 2012
In the context of an equilibrium model with multiple risky assets, we map the characteristics of the network connecting … firms' fundamentals to the cross-section of expected returns. We interpret network connectivity as the ability to transfer a … the model to the data and estimate the network structure. In accordance with theoretical predictions, we find evidence of …
Persistent link: https://www.econbiz.de/10013108999
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Rational belief bubbles
Sohn, Hyun-U; Sornette, Didier - 2020
We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, among an heterogenous population of agents, it is possible to hold more than one...
Persistent link: https://www.econbiz.de/10012181099
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Contrarian Behavior, Information Networks and Heterogeneous Expectations in an Asset Pricing Market
Makarewicz, Tomasz - 2016
The paper studies the emergence of contrarian behavior in information networks in an asset pricing market. Financial traders coordinate on similar behavior, but have heterogeneous price expectations and are influenced by friends. According to a popular belief, they are prone to herding. However,...
Persistent link: https://www.econbiz.de/10012995192
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Networks, beliefs, and asset prices
Hatcher, Michael; Hellmann, Tim - 2022
We set out a behavioural model of the stock market in which investors are connected through a social network. Agents … neighbours depending on past performance. Our main analytical results highlight the separate roles of the network and the … performance effect in shaping type and price dynamics and relate the dynamics to concrete features of the network and market …
Persistent link: https://www.econbiz.de/10013295969
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Shareholding networks and centrality : an application to the Italian financial market
D'Errico, M.; Grassi, R.; Stefani, S.; Torriero, Anna - In: Networks, topology and dynamics : theory and …, (pp. 215-228). 2009
Persistent link: https://www.econbiz.de/10003774333
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Identification of information networks in stock markets
Baltakienė, Margarita; Kanniainen, Juho; Baltakys, … - In: Journal of economic dynamics & control 131 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012818145