ICEF/LFE Research Seminar by Bradyn Breon-Drish (UCSD)

On Thursday, October 11 at 4.40 pm, room 3211 (Shabolovka str. 26) ICEF and LFE held the Research Seminar.
Speaker: Bradyn Breon-Drish (UCSD)
Theme: "Dynamic Information Acquisition and Entry into New Markets" joint with Snehal Banerjee

Venue: Shabolovka st., 26, room 3211

Abstract: We model dynamic information acquisition and entry by a strategic trader into a new trading opportunity. Instead of restricting the trader to make her choices before the market opens, we allow her to optimally choose when to enter in response to public news. We show that there exists a unique equilibrium in which optimal entry exhibits delay. The model provides novel implications for how the likelihood and timing of entry, and choice of precision, depend on news volatility and the trading horizon. Our results shed light on the entry behavior of institutional investors into new asset classes like cryptocurrencies.

 

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ICEF seminars