1 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.PR2011★ 1 cited
Theory of Information Pricing
Dorje C. Brody, Yan Tai Law
In financial markets valuable information is rarely circulated homogeneously, because of time required for information to spread. However, advances in communication technology mean…
q-fin.PR2010★ 1 cited
Asset pricing with random information flow
Dorje C. Brody, Yan Tai Law
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noi…