In a multi-asset market where agents have both payoff and supply signals, the rational expectations equilibria with partially revealing prices are characterized by an algebraic Riccati equation. The equation states that asset prices’ payoff informativeness equals the aggregation of...

This study proposes a tractable imperfectly competitive economy where traders are socially connected with each other via an information network. We investigate the impact of information linkages on market equilibrium outcomes. In the linear-quadratic-normal framework, we establish the existence...

The activity of any economic entity is associated with a certain level of risk. The risk factor influences the strategic behavior of entities, the potential return on assets and the development of individual economic units. In recent years, two external factors that have destabilized the...

This paper studies how the social transmission of information with echo chambers affects financial markets. In an equilibrium model, investors trade competitively in the market based on public information revealed by asset prices and private information accumulated through word-of-mouth...

We study learning and uncertainty under the factor investing paradigm using an endogenous information model with correlated assets. As investors shift attention from firms towards systematic risk factors, stock prices become less informative, increasing systematic uncertainty and incentivizing...

Model-Free Reinforcement Learning has achieved meaningful results in stable environments but, to this day, it remains problematic in regime changing environments like financial markets. In contrast, model-based RL is able to capture some fundamental and dynamical concepts of the environment but...

Emotional finance introduces the notion that financial markets may be driven by the co-existence of fully-rational and emotional investors, driven by phantasy. The analysis of emotional finance is informed with reference to a Freudian psychoanalytical framework. In this paper, we add to the...

We study the effects of quantitative equity investing, an increasingly popular investment style, on financial market quality. Within a noisy REE model of strategic speculation with two informed market participants, we define discretionary investing as fully strategic trading and quantitative...