Objective
The project aims to study learning and volatility in financial markets. We will develop a theoretical market microstructure model to analyze how informational inefficiencies can arise in financial markets even though traders (who have non speculative reasons to trade) are allowed to buy or sell any quantity of an asset (in a continuous action space). In this theoretical framework, we will also analyze the case in which the asset value can change over time (e.g. because of shocks to the economy). We will study how learning occurs in this economy with changing fundamentals and how learning affects price volatility. This will create a bridge between the theoretical literature on learning and the empirical literature on time varying volatility (e.g. ARCH and GARCH). After developing the theoretical analyses, we will test the predictions in experiments, and proceed to a structural estimation of our models. We will run both field and laboratory experiments. The structural estimation will use transaction data in order to shed light on the process of information aggregation and volatility in different markets (e.g. more or less speculative) and different conditions (tranquil times versus financial crises).
Keywords
Project’s keywords as indicated by the project coordinator. Not to be confused with the EuroSciVoc taxonomy (Fields of science)
Project’s keywords as indicated by the project coordinator. Not to be confused with the EuroSciVoc taxonomy (Fields of science)
Programme(s)
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Topic(s)
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Call for proposal
Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
ERC-2007-StG
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Funding Scheme
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Host institution
WC1E 6BT LONDON
The total costs incurred by this organisation to participate in the project, including direct and indirect costs. This amount is a subset of the overall project budget.