Information aggregation in a financial market with general signal structure
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Publication:2324817
DOI10.1016/j.jet.2019.05.004zbMath1422.91807OpenAlexW2944980120MaRDI QIDQ2324817
Debraj Ray, Sahar Parsa, Youcheng Lou, Li, Duan, Shou-Yang Wang
Publication date: 12 September 2019
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: http://wrap.warwick.ac.uk/117545/1/WRAP-information-aggregation-financial-market-signal-Ray-2019.pdf
asymmetric informationrational expectations equilibriuminformation aggregationmultidimensional signals
Related Items (7)
Relative performance evaluation for dynamic contracts in a large competitive market ⋮ On the functional equivalence of two perfectly competitive economies with negative exponential utility and linear utility with a quadratic holding cost ⋮ Information linkages in a financial market with imperfect competition ⋮ A new approach to the existence and regularity of linear equilibrium in a noisy rational expectations economy ⋮ Efficiency in trading markets with multi-dimensional signals ⋮ The equivalence of two rational expectations equilibrium economies with different approaches to processing neighbors' information ⋮ On equilibrium existence in a finite-agent, multi-asset noisy rational expectations economy
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