‘Noise-trader risk’ and Bayesian market making in FX derivatives: rolling loaded dice?
نویسندگان
چکیده
منابع مشابه
Noise Trader Risk in Financial Markets
We present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns. The unpredictability of noise traders’ beliefs creates a risk in the price of the asset that deters rational arbitrageurs from aggressively betting against them. As a result, prices can diverge significantly...
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ژورنال
عنوان ژورنال: International Journal of Finance & Economics
سال: 2009
ISSN: 1076-9307,1099-1158
DOI: 10.1002/ijfe.373