Event

Dynamic Information Acquisition and Entry into New Markets

  • Conférencier  Snehal Banerjee – University of California

  • Lieu

    Faculty of Law, Economics and Finance JFK Building 29, avenue Kennedy L-1855 Luxembourg Ground Floor, Nancy-Metz Room

    LU

  • Thème(s)
    Finance

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.

Please find the entire paper here

 

Supported by the Fonds National de la Recherche, Luxembourg (18/12970325)