| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9551438 | Finance Research Letters | 2005 | 8 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
John P. Owens,