Information and Learning in Markets: The Impact of Market Microstructure

By Leon Zolotoy. 2011

192 citations recorded by the source corpus.

Subfields: Political Science and International Relations

View Paper: https://www.semanticscholar.org/paper/d8f5d5e7fa311266b225389d8724791c089df45d

How researchers see this paper

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In Political Science and International Relations

1. Marzena Rostek
2. Peter Cramton
3. M. Cipriani
4. John J. Shim
5. Marek Weretka
6. Antonio Guarino
7. Eric Budish

Citations in the corpus

• Estimating a Structural Model of Herd Behavior in Financial Markets (2010, background): “For recent surveys of herding in financial markets see Bikhchandani and Sharma (2001), Vives (2008) and Hirshleifer and Teoh (2009).”
• Why Do Individual Investors Disregard Accounting Information? The Roles of Information Awareness and Acquisition Costs (2018, unknown): “Whatever information set an investor is using, incorporating an incrementally informative signal improves the accuracy or precision of their valuations (Blackwell 1951; Vives 2008).”
• PRICE INFERENCE IN SMALL MARKETS (2012, background): “By the law of iterated expectations, the unconditional expected price is equal to E(p ) = E( i), 11More precisely, takes values from a countable subset of [0; 1] given by f 2 [0; 1]j = (I 2) = (I 1) for I = 2; 3; :::g : (11) Commonality function maps  ( ) : ! [ 1; 1].”
• Do I Follow My Friends or the Crowd? Information Cascades in Online Movie Ratings (2015, unknown): “WOM effect is a different social force to impact consumer action compared to informational cascading in which users rationally ignore, or weigh less on, their private information (any quality inference) and generate similar actions of others (Bikhchandani et al. 1992; Vives 2008 ).”
• The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2015, methodology): “Our data cover the period of Jan 1, 2005 - Dec 31, 2011, with the exception of a three-month gap from 5/30/2007-8/28/2007 resulting from data issues acknowledged to us by the NYSE data team.”