Price distortions under coarse reasoning with frequent trade

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985998%3A_____%2F15%3A00455392" target="_blank" >RIV/67985998:_____/15:00455392 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11640/15:00447457
Result on the web
<a href="http://dx.doi.org/10.1016/j.jet.2015.07.011" target="_blank" >http://dx.doi.org/10.1016/j.jet.2015.07.011</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jet.2015.07.011" target="_blank" >10.1016/j.jet.2015.07.011</a>

Result language
angličtina
Original language name
Price distortions under coarse reasoning with frequent trade
Original language description
We study the effect of frequent trading opportunities and categorization on pricing of a risky asset. Frequent opportunities to trade can lead to large distortions in prices if some agents forecast future prices using a simplified model of the world thatfails to distinguish between some states. In the limit as the period length vanishes, these distortions take a particular form: the price must be the same in any two states that a positive mass of agents categorize together. Price distortions thereforetend to be large when different agents categorize states in different ways, even if each individual's categorization is not very coarse.
Czech name
—
Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
—

Project
<a href="/en/project/GA13-34759S" target="_blank" >GA13-34759S: Models of systemic uncertainty</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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