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Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective
Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective
Speaker: Prof. Karen Grigorian, Department of Statistics and Applied Probability, UC Santa Barbara Abstract: We apply the theory of McKean-Vlasov-type SDEs to study several problems related to market efficiency in the context of partial information and partially observable financial markets: (i) convergence of reduced-information market price processes to the true price process under an increasing […]