Irrational confidence, imperfect and long-lived information
作者： Deqing Zhou
DOI: 10.1016/J.IREF.2012.11.004
关键词:
摘要: Abstract We analyze a dynamic framework where an informed agent overestimates or underestimates the precision of his noisy private signal. investigate effect insider's belief on equilibrium results such as price informativeness, liquidity cost, trading strategy and expected volume. Interestingly, we find that irrationality can yield contrarian in sense two successive order imbalances are negatively correlated. Thus, irrationality, distinguished from dissimulation manipulation, may underlie insiders' decisions.
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