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.
Document type :
Journal articles
Complete list of metadatas

https://hal-pjse.archives-ouvertes.fr/halshs-00754485
Contributor : Caroline Bauer <>
Submitted on : Tuesday, November 20, 2012 - 9:44:01 AM
Last modification on : Tuesday, April 24, 2018 - 5:20:14 PM

Links full text

Identifiers

Collections

Citation

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⟩

Share

Metrics

Record views

295