The ambition of this paper is to provide an explanation to the empirically observed phenomenon of specialization in asset trading and portfolio holding. To this end, the time complexity of information processing is in- troduced in a nancial microstructure model of sequential trading a là Glosten - Milgrom. Preliminary results, supported by numerical simulations, show that the slower the information processing on the part of a trader, the fewer the assets in his portfolio.
Information processing and asset trading specialization
EBOLI, MARIO
2010-01-01
Abstract
The ambition of this paper is to provide an explanation to the empirically observed phenomenon of specialization in asset trading and portfolio holding. To this end, the time complexity of information processing is in- troduced in a nancial microstructure model of sequential trading a là Glosten - Milgrom. Preliminary results, supported by numerical simulations, show that the slower the information processing on the part of a trader, the fewer the assets in his portfolio.File in questo prodotto:
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