Essays in Rational Inattention and Market Microstructure

Abstract

In my dissertation, I explain different asset price anomalies in the financial market by characterizing the information sets of those who interact within it. In particular, I study the effects of facing a restriction on the volume of information that an actor can process. For this purpose, I construct the analysis from a financial market microstructure perspective, where a group of investors has access to inside information about the traded assets. I find that these anomalies can originate when a rational agent faces a constraint on the information volume they can process. The dissertation contains results when investors and price-setting agents face this restriction.

Date of Award	30 Sept 2021
Original language	English
Supervisor	Jordi Caballé (Director)