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Title: Information networks, profits, and pricing in financial markets Authors:  Johan Walden - UC Berkeley, Haas School of Business (United States) [presenting]
Abstract: Information diffusion is studied within a network of investors in a financial market. In equilibrium, agents profits are closely related to their centrality in the network. Moreover, the network's topology affects asset pricing and trading volume dynamics. We take the model to the data, using account level datasets of all trades and traders in the stock market. Consistent with theory, we find that central investors earn higher profits and trade earlier than peripheral investors with respect to information events, and that network topology is related to asset price dynamics. Overall, our results support a very high-dimensional and decentralized view of how information is incorporated into asset prices.