Dynamic Information Regimes in Financial Markets
Published Online:24 Oct 2023https://doi.org/10.1287/mnsc.2021.01213
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The replication files for this article are available HERE.
- Cited by
- 31 October 2023 | Journal of Financial and Quantitative Analysis, Vol. 3
Volume 70, Issue 9
September 2024
Pages 5627-6482, iii-v
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- Received:April 10, 2021
- Accepted:May 15, 2023
- Published Online:October 24, 2023
Copyright © 2023, INFORMS
Cite as
Paul Glasserman, Harry Mamaysky, Yiwen Shen (2023) Dynamic Information Regimes in Financial Markets. Management Science 70(9):6069-6092.
https://doi.org/10.1287/mnsc.2021.01213
Keywords
The authors thank the two referees, an associate editor, Kay Giesecke (the editor), Larry Glosten, Laura Veldkamp, and seminar participants at Boston University, Cornell, Columbia, Georgia State, London Business School, the Rutgers Equilibrium Theory Workshop, and the SIAM Conference on Financial Mathematics for valuable comments.
