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High Speed of Learning in Financial Markets

Germain, Laurent High Speed of Learning in Financial Markets. (2003) Finance, vol. 24 . pp. 79-86. ISSN 0752-6180

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Abstract

We analyze the role of liquidity and collection of information in order to measure the speed of revelation of information during the preopening of order-driven markets. We extend Vives (1995) model to the case where risk averse traders receive a new private signal before each round of quotation of the preopening. We show that price discovery takes place at high speed which is consistent with the empirical studies of Biais, Hillion and Spatt (1999).

Item Type:Article
Audience (journal):Special issue journal
Uncontrolled Keywords:
Institution: Université de Toulouse > Institut Supérieur de l'Aéronautique et de l'Espace - ISAE
Université de Toulouse > Groupe École Supérieure de Commerce de Toulouse - ESCT
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Deposited By: odile huynh

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