Strategic complementarity of information in financial markets with large shocks

Abstract : In a simple model of a frictionless financial market with rational agents, the value of private information increases when large discrete shocks independently affect the fundamental value of the asset and the exogenous trading. The complementarity in information gathering generates multiple equilibria.
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Annals of Finance, Springer Verlag, 2010, 6 (1), pp.137-145. 〈10.1007/s10436-009-0130-1〉
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Dernière modification le : mardi 24 avril 2018 - 17:20:14

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Christophe Chamley. Strategic complementarity of information in financial markets with large shocks. Annals of Finance, Springer Verlag, 2010, 6 (1), pp.137-145. 〈10.1007/s10436-009-0130-1〉. 〈halshs-00754485〉

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