We present a model of multi-period continuous information diffusion in financial markets. We show that price and trading volume exhibit asymmetric term structures to information flow, where the diffusion rate accelerates more slowly at short horizons than it decelerates at long horizons. Bounded rationality is modelled by an endogenous trader confidence index which declines as stock price information becomes noisier, where lower confidence translates into lower trading volume and slower price accretion. Information diffusion slows and asymmetries are accentuated as traders lose confidence in information accuracy. Our empirical findings support the model's predictions of asymmetric momentum patterns and confidence effects.

中文翻译：

---

金融市场中具有不对称性和信心效应的信息扩散模型


我们提出了金融市场中多时期连续信息扩散的模型。我们表明，价格和交易量对信息流表现出不对称的期限结构，其中短期内的扩散速度比长期内的减速速度更慢。有限理性是通过内生交易者信心指数建模的，该指数随着股票价格信息变得更加嘈杂而下降，其中较低的信心转化为较低的交易量和较慢的价格上涨。随着交易者对信息准确性失去信心，信息传播速度减慢，不对称现象加剧。我们的实证研究结果支持模型对不对称动量模式和置信效应的预测。