This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so...

We study the efficiency of the equilibrium price in a centralized, order-driven market where many asymmetrically informed traders are active for many periods. We show that asymmetries of information can lead to sub-optimal information revelation with respect to the symmetric case. In particular,...

This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so...

This paper provides an up-to-date review and summary of the existing literature on the informational aspects of price processes. A common feature of these models is that prices reflect information that is dispersed among many traders. The paper begins by contrasting the Rational Expectation...

In this paper, I develop a measure of the difference in the amount of information that investors expect a forthcoming disclosure to contain should it reveal good news versus bad news (the disclosure's "asymmetry"). I derive this measure from a model of option prices leading up to an asymmetric...

We derive a general expression for the value of information to a price-taking investor in a dynamic environment and provide a framework for its estimation. We study the value of both private and public information and break it down into its instrumental and psychic parts. To illustrate, we...

We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium (VRP) for option returns. In the model, a representative agent follows a rational Bayesian learning process in an economy under incomplete information with the objective of pricing...

A Principal-Agent model is examined in which the principal and the agent are ambiguity averse. With a risk neutral principal and a risk averse agent the presence of ambiguity aversion implies that the principal will not always fully insure the agent when effort is observable. Instead, risk may...

Agents with heterogeneous beliefs about fundamental growth do not perfectly share risks but instead speculate with each other on the relative accuracy of their models' predictions. They face the risk that market prices move more in line with the trading models of competing agents rather than...

I show that a simple asset pricing equilibrium model can explain many salient features of index option prices if one allows for small deviations from rational expectations. A representative investor holds subjective beliefs about the underlying asset returns, which he optimally learns from past...