Price crashes, information aggregation, and market-making

DOI10.1006/jeth.1997.2261zbMath0888.90041OpenAlexW1982667353MaRDI QIDQ1367761

Vicente Madrigal, José Alexandre Scheinkman

Publication date: 21 May 1998

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jeth.1997.2261

zbMATH Keywords

equilibrium pricemarket-makingprivate and heterogeneous information

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (4)

Stock market crashes and dynamics of aftershocks ⋮ Rational panics and stock market crashes. ⋮ Social interactions, product differentiation and discontinuity of demand ⋮ Learning, rare events, and recurrent market crashes in frictionless economies without intrinsic uncertainty

Cites Work

• Rational expectations with imperfect competition: a Bertrand-Edgeworth example
• On the aggregation of information in competitive markets
• Information, trade and common knowledge
• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
• Continuous Auctions and Insider Trading
• Informed Speculation with Imperfect Competition
• Games with Incomplete Information Played by “Bayesian” Players, I–III Part I. The Basic Model

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