Information Acquisition, Noise Trading and Speculation in Double Auction Markets*
نویسنده
چکیده
This paper analyzes information acquisition in double auction markets and shows that for any finite information cost, if the number of traders and the units a trader is allowed to trade are sufficiently large, then an efficient equilibrium allocation fails to exist. For a large set of parameter values any equilibrium with positive volume of trade has the following properties. Ex ante identically informed, rational traders evolve endogenously to noise traders, speculators, and defensive traders. Because of defensive trading the allocation is inefficient, i.e. not all gains from trade are realized. Because of endogenous noise trading the price is not fully revealing. Journal of Economic Literature Classification Numbers: G14, D82, D83
منابع مشابه
On Information Acquisition , Noise Trading , and Speculation *
This paper provides a micro foundation for the behavior assumptions as well as outcomes in noisy rational expectations equilibrium models. If there are gains from trade, and all agents are rational and can acquire costly information, then equilibria in double auction markets may have the following properties. (i) Ex ante identically informed agents evolve endogenously to noise traders, speculat...
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