34 citations · 34 across the 1 of their papers we have counts for
2 papers
q-fin.PR2009
Information of Interest
Dorje C. Brody, Robyn L. Friedman
A pricing formula for discount bonds, based on the consideration of the market perception of future liquidity risk, is established. An information-based model for liquidity is then…
q-fin.TR2008★ 34 cited
Informed Traders
Dorje C. Brody, Mark H. A. Davis, Robyn L. Friedman +1
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general ma…