Asset pricing with social interactions, adaptive learning, and differences in opinion. This project seeks to understand how social interactions and adaptive learning of investors affect asset prices in highly competitive and adaptive financial markets. It will develop an evolutionary asset pricing theory, novel empirical hypotheses and tests of financial market characteristics and provide implications for policy and market regulation.
Double auction markets with heterogeneous boundedly rational traders. The project will study limit order markets for the formation of security prices in modern exchanges, allowing heterogeneity and bounded rationality of the economic agents who will engage in various trading strategies. The model developed will be of interest to market participants seeking to design more efficient and transparent markets.