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Price distortions under coarse reasoning with frequent trade
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SYSNO ASEP 0455392 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Price distortions under coarse reasoning with frequent trade Tvůrce(i) Steiner, Jakub (NHU-N) RID
Stewart, C. (CA)Zdroj.dok. Journal of Economic Theory. - : Elsevier - ISSN 0022-0531
159 A, September (2015), s. 574-595Poč.str. 22 s. Jazyk dok. eng - angličtina Země vyd. US - Spojené státy americké Klíč. slova categorization ; bounded rationality ; prices Vědní obor RIV AH - Ekonomie Institucionální podpora NHU-N - RVO:67985998 UT WOS 000361856900026 EID SCOPUS 84938942527 DOI 10.1016/j.jet.2015.07.011 Anotace We study the effect of frequent trading opportunities and categorization on pricing of a risky asset. Frequent opportunities to trade can lead to large distortions in prices if some agents forecast future prices using a simplified model of the world that fails to distinguish between some states. In the limit as the period length vanishes, these distortions take a particular form: the price must be the same in any two states that a positive mass of agents categorize together. Price distortions therefore tend to be large when different agents categorize states in different ways, even if each individual's categorization is not very coarse. Pracoviště Národohospodářský ústav Kontakt Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Rok sběru 2016
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