1. Motivation There are many ways that you might measure the typical horizon of a stock's demand shocks. For instance, Fourier methods might at first appear to be a promising approach, but first impressions can be deceiving. Here's why: spikes in … [Continue reading]
1. Introduction Important market events often have a variety of interpretations. For example, a recent Financial Times article outlined several different readings Facebook's "feeble showing... in the weeks since its $\mathdollar 16{\scriptstyle … [Continue reading]
1. Motivation It's absolutely essential that people ignore most contingencies when making predictions in everyday life. Dennett (1984) makes this point quite colorfully by asking: "How is it that I can get myself a midnight snack? I suspect there … [Continue reading]
1. Motivation This post shows how to solve for the equilibrium price impact and demand coefficients in a $2$ period Kyle (1985)-type model where informed traders see a noisy signal about the fundamental value of a single asset. There are various … [Continue reading]
1. Motivation This post describes Fano's inequality. It's not a particularly complicated result. After all, it first shows up on page 33 of Cover and Thomas (1991). However, I recently ran across the result again for the first time in a while, and … [Continue reading]