A market microstructure model with random overlapping information asymmetries |
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| Institution: | 1. ESSCA School of Management, 55 Quai Alphonse Le Gallo, 92513, Boulogne-Billancourt, Paris, France;2. Economist, Varese, Italy.\n;1. Centro de Finanzas IESA - Caracas, Venezuela;2. Dept. of Mathematics and Physics, Faculty of Economics, University of Foods Technologies - Plovdiv, Bulgaria;3. Dept. of Economics and Management, University of Trento - Trento, Italy |
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| Abstract: | This note modifies the popular market microstructure model of Easley and O'Hara 1992. Time and the process of security price adjustment. Journal of Finance 47, 577–605] by including random overlapping information asymmetries in continuous time. This modification allows expected adverse selection costs to vary according to the random arrival and assimilation of information. |
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