On the Relation between Private Information and Non-Fundamental Volatility

被引：0

作者：

Shim, Myungkyu ^{[1
]}

Song, Doyoung ^{[1
,2
]}

机构：

[1] Yonsei Univ, Sch Econ, Seoul, South Korea

[2] Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA

来源：

B E JOURNAL OF THEORETICAL ECONOMICS | 2023年 / 23卷 / 02期

关键词：

coordination game; financial prices; non-fundamental volatility; dispersed information; SOCIAL VALUE; MULTIPLICITY;

D O I：

10.1515/bejte-2021-0166

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

It is a well-established property that more precise private information leads to lower non-fundamental volatility in a coordination economy with dispersed information. In this note, we identify conditions under which such an argument holds or does not hold. In particular, we show that the opposite relationship holds when (1) there is a strong positive correlation between private information of different agents and (2) public information is endogenously generated.

引用

页码：809 / 821

页数：13

共 50 条

[41] The relation between implied and realized volatility
Christensen, BJ
Prabhala, NR
JOURNAL OF FINANCIAL ECONOMICS, 1998, 50 (02) : 125 - 150
[42] Influence of Non-fundamental Modes on Mid-infrared Spectra: Anharmonic DFT Study of Aliphatic Ethers
Bec, Krzysztof B.
Grabska, Justyna
Ozaki, Yukihiro
Hawranek, Jerzy P.
Huck, Christian W.
JOURNAL OF PHYSICAL CHEMISTRY A, 2017, 121 (07): : 1412 - 1424
[43] The dynamic relation between returns and idiosyncratic volatility
Jiang, Xiaoquan
Lee, Bong-Soo
FINANCIAL MANAGEMENT, 2006, 35 (02) : 43 - 65
[44] Non-Fundamental Low Frequency Noise Theory: Drain Noise-Current Modeling of AlGaN/GaN HFETs
Manouchehri, F.
Valizadeh, P.
Kabir, M. Z.
2011 21ST INTERNATIONAL CONFERENCE ON NOISE AND FLUCTUATIONS (ICNF), 2011, : 220 - 222
[45] A relation between the fundamental constants of physics
Haas, A
PHYSICAL REVIEW, 1936, 49 (08): : 0636 - 0636
[46] Comment on the Relation between Representation and Information The Relation between Representation and Information
Millikan, Ruth Garrett
BIOSEMIOTICS, 2021, 14 (03) : 581 - 582
[47] Exploiting Non-Volatility for Information Processing
Perricone, Robert
Tang, Li
Niemier, Michael
Hu, X. Sharon
PROCEEDINGS OF THE GREAT LAKES SYMPOSIUM ON VLSI 2017 (GLSVLSI' 17), 2017, : 305 - 310
[48] Fundamental Limits of Private Information Retrieval With Unknown Cache Prefetching
Seo, Hyowoon
Lee, Hojung
Choi, Wan
IEEE TRANSACTIONS ON COMMUNICATIONS, 2021, 69 (12) : 8132 - 8144
[49] Public information, private information, inventory control, and volatility of intraday NTD/USD exchange rates
Gau, YF
Hau, M
APPLIED ECONOMICS LETTERS, 2004, 11 (04) : 263 - 266
[50] Study on Non-fundamental Frequency Components in the Output Current of DFIG-based wind turbines during faults
Jin, Wei
Lu, Yuping
Huang, Tao
2018 CHINA INTERNATIONAL CONFERENCE ON ELECTRICITY DISTRIBUTION (CICED), 2018, : 1638 - 1644

← 1 2 3 4 5 →