Complementarities in Information Acquisition with Short-Term Trades

Abstract : 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
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Article dans une revue
Theoretical Economics, Econometric Society, 2007, 2 (4), pp.441-467
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Soumis le : mardi 20 novembre 2012 - 08:47:51
Dernière modification le : jeudi 11 janvier 2018 - 06:19:17

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  • HAL Id : halshs-00754190, version 1

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Christophe Chamley. Complementarities in Information Acquisition with Short-Term Trades. Theoretical Economics, Econometric Society, 2007, 2 (4), pp.441-467. 〈halshs-00754190〉

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