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T-Space at The University of Toronto Libraries >
Theoretical Economics >
Volume 2, Number 4 (December 2007) >

Please use this identifier to cite or link to this item: http://hdl.handle.net/1807/10271

Title: Complementarities in information acquisition with short-term trades
Authors: Christophe Chamley; Paris-Jourdan Sciences Economiques and Boston University
Keywords: Endogenous information, short-term gain, microstructure, strategic complementarity, multiple equilibria, Strongly Rational-Expectations Equilibrium, trading frenzies
D53, D82, D83, G14
Issue Date: 13-Dec-2007
Publisher: Theoretical Economics
Citation: Theoretical Economics; Vol 2, No 4 (2007)
Abstract: [This item is a preserved copy. To view the original, visit http://econtheory.org/] 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.
URI: http://hdl.handle.net/1807/10271
Other Identifiers: http://econtheory.org/ojs/index.php/te/article/view/20070441
Rights: Authors who publish in <i>Theoretical Economics</i> will release their articles under the <a href="http://creativecommons.org/licenses/by-nc/2.5/">Creative Commons Attribution-NonCommercial license</a>. This license allows anyone to copy and distribute the article for non-commercial purposes provided that appropriate attribution is given.
Appears in Collections:Volume 2, Number 4 (December 2007)

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