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Information aggregation in a financial market with general signal structure

文献类型：期刊论文

作者Lou, Youcheng1; Parsa, Sahar2; Ray, Debraj3,4; Li, Duan5; Wang, Shouyang1,6,7
刊名JOURNAL OF ECONOMIC THEORY
出版日期2019-09-01
卷号183页码:594-624
ISSN号0022-0531
关键词Multidimensional signals Asymmetric information Information aggregation Rational expectations equilibrium
DOI10.1016/j.jet.2019.05.004
英文摘要We study a financial market with asymmetric, multidimensional trader signals that have general correlation structure. Each of a continuum of traders belongs to one of finitely many "information groups." There is a multidimensional aggregate signal for each group. Each trader observes an idiosyncratic signal about the fundamental, built from this group signal. Correlations across group signals are arbitrary. Several existing models serve as special cases, and new applications become possible. We establish existence and regularity of linear equilibrium, and demonstrate that the equilibrium price aggregates information perfectly as noise trade vanishes. (C) 2019 Elsevier Inc. All rights reserved.
资助项目Hong Kong Research Grants Council[14204514] ; Hong Kong Scholars Program[XJ2015049] ; NSF[SES-1629370]
WOS研究方向Business & Economics
语种英语
出版者ACADEMIC PRESS INC ELSEVIER SCIENCE
WOS记录号WOS:000488421700017
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/35857]  
专题系统科学研究所
通讯作者Ray, Debraj
作者单位1.Chinese Acad Sci, Acad Math & Syst Sci, MDIS, Beijing, Peoples R China
2.Tufts Univ, Dept Econ, Medford, MA 02155 USA
3.NYU, Dept Econ, New York, NY 10012 USA
4.Univ Warwick, Dept Econ, Coventry, W Midlands, England
5.City Univ Hong Kong, Sch Data Sci, Hong Kong, Peoples R China
6.Chinese Acad Sci, Ctr Forecasting Sci, Beijing, Peoples R China
7.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China
推荐引用方式
GB/T 7714		 Lou, Youcheng,Parsa, Sahar,Ray, Debraj,et al. Information aggregation in a financial market with general signal structure[J]. JOURNAL OF ECONOMIC THEORY,2019,183:594-624.
APA Lou, Youcheng,Parsa, Sahar,Ray, Debraj,Li, Duan,&Wang, Shouyang.(2019).Information aggregation in a financial market with general signal structure.JOURNAL OF ECONOMIC THEORY,183,594-624.
MLA Lou, Youcheng,et al."Information aggregation in a financial market with general signal structure".JOURNAL OF ECONOMIC THEORY 183(2019):594-624.

入库方式： OAI收割

来源：数学与系统科学研究院

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