Three essays on information risk
This dissertation contains three essays. The first essay develops an information risk measure that is based on the price discovery of large trades. This is motivated by the observation that informed traders prefer to trade in large size, so the price discovery of large trades would yield a more pr...
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| Main Author: | |
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| Other Authors: | |
| Format: | Theses and Dissertations |
| Language: | English |
| Published: |
2010
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/20859 |
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| Institution: | Nanyang Technological University |
| Language: | English |
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