A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL

摘要: SUPPOSE AN ASSET MARKET exists where individuals receive information sequentially and in random order. Start with an initial equilibrium they all possess identical set of information. Then allow a single piece news to be generated. As each individual receives it, he reacts by shifting his demand curve. Finally, when have received the news, once again new is established. This paper analyzes asset trading world sequential arrival. The adjustment process unlike t&tonnement because it examines many possible incomplete equilibria between final sets It stochastic analysis magnitude direction curve shifts are known. Only order unknown. If there N people, different shift, then factorial orderings In arrival price change known certainty (The same true tatonnement). However, paths as well total volume shown variables. particular, model which developed uses probability theory (see section IIIC) express expected number trades generated given related absolute value changes.' depend on market, shares asset, strength information, percentage who react their curves upward. Not much literature has focused trading. determinants can help give better understanding operational efficiency markets. For example, plays important role concept liquidity, brokerage fees affected volume. Section II gives assumptions while III develops