Efficient market hypothesis suggests that prices move when there is new information about the fundamentals of an asset. However, not everybody access the same information at the same time. This results in investors, who, for a period of time, are more informed than others. They can profitably exploit their information advantage at the expense of other, less informed, market participants. They reveal their information by interacting with the market. Consequently, an uninformed trader can observe market activity, learn and become more informed compared to the remaining uninformed. The market activity is the collection of the actions of all traders, more or less informed. The major question that arises is whether different agents (with respect to information) can be identified by their actions. Potential research topics could include the following:
a) Are there any non-price signals that reveal the presence of price unresolved information?
b) How can we extract an informational signal (identify informed transactions) from noisy observations (uninformed trades)
c) Can we identify different market agents that exhibit different behavioral biases (herding, familiarity, etc.) by focusing on non-pricing signals.
d) Modelling and identification of information dissemination cycles and/or systematic deviation cycles due to behavioral biases.
Pre-requisites: a) Fluency in English; b) Solid knowledge of econometrics and statistics.
Directeur du GAINS (Groupe d'Analyse des Itinéraires et Niveaux Salariaux)
LMM (Laboratoire Manceau de Mathématiques)
Chargée de gestion administrative et d'aide au pilotage
Tel. (33) (0)2 43 83 31 11