Microstructure and Ambiguity

155 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Randomization and Ambiguity Aversion (2020, background): “23See, among others, Easley and O’Hara (2010); Epstein and Schneider (2010); Antić (2014); Easley et al. (2014); and Ilut, Kehrig, and Schneider (2018). randomization should render ambiguity irrelevant—and the other argues that the effect of ambiguity is unaffected by randomization.”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “Easley and O’Hara show that for each individual there exists an interval of prices for which she refrains from trading. Therefore, if the intersection of all J intervals is not empty, no trades will occur and the market will “freeze”. Moreover, a sufficient condition for trade to collapse is that th”