On the Informational Efficiency of Decentralized Price Formation

This paper addresses the issue of how insider trading rules affect price formation in securities markets and suggests the application of information theory to market microstructure theory. We analyze a variant of the setting in [20] by simply introducing a more general criterion for informational efficiency borrowed from information theory — namely maximum information transmission. The analysis shows that both the insider's optimal trading strategy and the market price of the risky security depend on the insider trading restriction. Insider trading restrictions are reported to be detrimental to the liquidity of the securities market. We find that a unique insider trading rule exists which implements semi-strong form informational efficiency of the securities market. Alternative restrictions on insider trading give rise to either underreaction or overreaction in securities prices. Too strict insider trading rules are shown to account for excess volatility in securities prices. Contrary to common notion, the uninformed investors are shown to be hurt by too restrictive insider trading rules. We conclude that loose insider trading rules are preferred by the group of investors as a whole.

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Factors of Price Formation for Art Objects With the Application of Text Analysis of Twitter News

Экономическая наука современной России ◽

10.33293/1609-1442-2020-2(89)-114-131 ◽

2020 ◽

pp. 114-131

Author(s):

Elena A. Fedorova ◽

Diana V. Zaripova ◽

Igor S. Demin

Keyword(s):

Text Analysis ◽

Price Formation ◽

Works Of Art ◽

Art Objects ◽

Online Resource ◽

The Difference

This work confirmed the hypotheses about the influence of the mood index on Twitter on the pricing of art objects and the difference between the experts' estimations and the final price of the auction. The hypotheses were tested with the use of a sample of 83 paintings selected on the basis of ratings of ARTNET's online resource about the most expensive works of art ever sold in the last 10–15 years. The sample consisted of 25 artists, for each of them was made an index of moods on Twitter. This index was created by a sentimental analysis of each tweet about the artist on the hashtag for a period of 2 to 4 months between the announcements of sales in the open sources and the direct sale of the work with the use of the two dictionaries AFINN and NRC.

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Intraday Price Formation in U.S. Equity Index Markets

CFA Digest ◽

10.2469/dig.v34.n3.1523 ◽

2004 ◽

Vol 34 (3) ◽

pp. 56-57

Author(s):

Robert A. McLean

Keyword(s):

Price Formation ◽

Equity Index

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The impact of exchange rate on price and export of agricultural production

American Journal of Economics and Business Management ◽

10.31150/ajebm.vol1.iss4.37 ◽

2018 ◽

Vol 1 (4) ◽

pp. 9-18

Author(s):

Rasulov Tulkin Sattarovich ◽

Khushvaktov Kuvonchbek Ravshanovich

Keyword(s):

International Trade ◽

Exchange Rate ◽

Agricultural Production ◽

Global Economy ◽

Agricultural Economics ◽

Agricultural Products ◽

Pivotal Role ◽

Price Formation ◽

International Trade Laws ◽

The Impact

In today’s world of swiftly increasing global economy and continuously changing international trade laws and technology exchange rate plays a pivotal role in the production, price formation, export and import of agricultural products. For many years exchange rate as an integral part of agricultural economics has been ignored. The present study was intended to investigate exchange rate as an impacting factor on the agricultural production. It also considers the researches that have been carried about the impact of the exchange rate on prices and export of agricultural products, theirs analyses and how much impact it has in the situation of Uzbekistan.

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