Information Percolation, Momentum and Reversal
By D. Andrei, Julien Cujean. 2014
116 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Statistical and Nonlinear Physics
View Paper: https://www.semanticscholar.org/paper/5ce30663c895a054c7c495f5c2a2ecc62b88a70c
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Lasse Heje Pedersen
- Kenneth R. Ahern
- Arvind Krishnamurthy
- Darrell Duffie
- Nicolae Gârleanu
- Francis A. Longstaff
- Zhiguo He
- Tobias J. Moskowitz
In Finance
- Lasse Heje Pedersen
- Kenneth R. Ahern
- Arvind Krishnamurthy
- Darrell Duffie
- Nicolae Gârleanu
- Hyun Song Shin
- Zhiguo He
- Tobias Adrian
In Statistical and Nonlinear Physics
Citations in the corpus
- Game On: Social Networks and Markets (2021, background): “(2009), Andrei and Cujean (2017), and Hirshleifer (2020), where the latter paper assumes that the sender of information adds a bias in each random interaction termed a “social transmission bias.”
- Information Networks: Evidence from Illegal Insider Trading Tips (2017, background): “More recent papers model the transmission of information through direct communication between investors (Stein, 2008; Han and Yang, 2013; Andrei and Cujean, 2015).”
- Presidential Address: Social Transmission Bias in Economics and Finance (2020, unknown): “The social nature of this explanation implies that return predictability depends on features of the social interaction process, such as how heavily in- 19 Andrei and Cujean (2017) derive momentum and reversal in a fully rational information percolation setting.”