Complementarities in information acquisition with short-term trades

• 成果类型: Article
• 署名作者: Chamley, Christophe
• 署名单位: Universite PSL; Ecole Normale Superieure (ENS); Ecole des Hautes Etudes en Sciences Sociales (EHESS); Institut Polytechnique de Paris; Ecole des Ponts ParisTech; Centre National de la Recherche Scientifique (CNRS); Boston University
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• 发表日期: -2007
• 页码: 441-467
• 关键词: Endogenous information; short-term gain; microstructure; strategic complementarity; multiple equilibria; Strongly Rational-Expectations Equilibrium; trading frenzies

摘要

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 acquisition.