Titelaufnahme

Titel
Booms, busts and informational cascades in a sequential trade model / von Clemens Possnig
VerfasserPossnig, Clemens
Begutachter / BegutachterinRitzberger, Klaus
ErschienenWien 2016
Umfang28 Blätter : Diagramme
HochschulschriftTechnische Universität Wien, Univ., Master Thesis, 2016
HochschulschriftIHS Wien, Univ., Master Thesis, 2016
SpracheEnglisch
DokumenttypMasterarbeit
Schlagwörter (EN)Informational Cascades / Herding / Sequential Trade
URNurn:nbn:at:at-ubtuw:1-5680 Persistent Identifier (URN)
Zugriffsbeschränkung
 Das Werk ist frei verfügbar
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Booms, busts and informational cascades in a sequential trade model [0.35 mb]
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Zusammenfassung (Englisch)

This paper analyzes a security market with sequential trade and a specialist dealer. I study how heterogeneous Bayes-rational agents with private signals interact if allowed to decide multiple times. I show that in this setting, informational cascades can occur. That is, all agents choose to follow public information over their private signal. I introduce a shortselling constraint on the dealer side, i.e. finite supply of the traded asset. When this constraint binds, cascades can be terminated endogenously in the model.