Browsing by Author Nadi Serhan Aydın

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  • TVS.003667.(Contributions to Management Science) Nadi Serhan Aydın (auth.) - Financial Modelling with Forward-looking Information_ An Intuitive Approa-TT.pdf.jpg
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  • Authors: Nadi Serhan Aydın (2017)

  • This book focuses on modelling financial information flows and information-based asset pricing framework. After introducing the fundamental properties of the framework, it presents a short information-theoretic perspective with a view to quantifying the information content of financial signals, and links the present framework with the literature on asymmetric information and market microstructure by means of a dynamic, bipartite, heterogeneous agent network. Numerical and explicit analyses shed light on the effects of differential information and information acquisition on the allocation of profit and loss as well as the pace of fundamental price discovery. The dynamic programming met...