A battle of informed traders and the market game foundations for rational expectations equilibrium

• 成果类型: Article
• 署名作者: Peck, James
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2014.09.004
• 发表日期: 2014
• 页码: 153-173
• 关键词: Price manipulation; rational expectations; market game; noise traders

摘要

Potential manipulation of prices and convergence to rational expectations equilibrium is studied in a game without noise traders. Informed players with initially long and short positions (bulls and bears) seek to manipulate consumer expectations in opposite directions. In equilibrium, period 1 prices reveal the state, so manipulation is unsuccessful. Bears and uninformed consumers sell up to their short-sale limits in period 1. Bulls buy in period 1 but receive arbitrage losses. When the number of bulls and bears approaches infinity, the equilibrium converges to the REE. Without short-sale constraints there is a non-revealing equilibrium but no revealing equilibrium. (C) 2014 Elsevier Inc. All rights reserved.