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Mots-clés
Endogenous information Short-term gain Microstructure Strategic complementarity Multiple equilibria Strongly Rational-Expectations Equilibrium Trading frenzies D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D53 - Financial Markets D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D82 - Asymmetric and Private Information • Mechanism Design D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D83 - Search • Learning • Information and Knowledge • Communication • Belief • Unawareness G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider TradingSujets proches
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Christophe Chamley, « Complementarities in Information Acquisition with Short-Term Trades », Archive Ouverte d'INRAE, ID : 10670/1.hhn7rv
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This item is a preserved copy. In a financial market where agents trade for short-term profit and where news can increase the uncertainty of the public belief, there are strategic complementarities in the acquisition of private information and, if the cost of information is sufficiently small, a continuum of equilibrium strategies. Imperfect observation of past prices reduces the continuum of Nash equilibria to a Strongly Rational-Expectations Equilibrium. In that equilibrium, there are two sharply different regimes for the evolution of the price, the volume of trade, and information acquisit