更新意识和信息聚合

IF 0.3 4区 经济学 Q4 ECONOMICS B E Journal of Theoretical Economics Pub Date : 2020-05-14 DOI:10.2139/ssrn.3305415
Spyros Galanis, Stelios Kotronis
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引用次数: 3

摘要

摘要市场通过价格聚合信息的能力是在不知情的动态环境中考察的。我们发现,如果所有交易员在观察到与他们的私人信息相反的价格时,都能够最低限度地更新他们的意识,他们最终会达成协议,从而概括了Geanakoplos和Polemarchakis(1982)的结果。此外,如果交易的证券是可分离的,则就正确的价格达成一致,并且存在信息聚合,从而将Ostrovsky(2012)的结果推广到非战略交易者。我们发现,只有当交易员能够意识到其他交易员已经意识到的事情,并且在温和的情况下,她再也没有意识到任何事情时,她才会提高自己的意识。换句话说,协议更多的是相互理解的结果,而不是无限的复杂。
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Updating Awareness and Information Aggregation
Abstract The ability of markets to aggregate information through prices is examined in a dynamic environment with unawareness. We find that if all traders are able to minimally update their awareness when they observe a price that is counterfactual to their private information, they will eventually reach an agreement, thus generalising the result of Geanakoplos and Polemarchakis (1982). Moreover, if the traded security is separable, then agreement is on the correct price and there is information aggregation, thus generalizing the result of Ostrovsky (2012) for non-strategic traders. We find that a trader increases her awareness if and only if she is able to become aware of something that other traders are already aware of and, under a mild condition, never becomes aware of anything more. In other words, agreement is more the result of understanding each other, rather than being unboundedly sophisticated.
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来源期刊
CiteScore
0.80
自引率
25.00%
发文量
25
期刊介绍: We welcome submissions in all areas of economic theory, both applied theory and \"pure\" theory. Contributions can be either innovations in economic theory or rigorous new applications of existing theory. Pure theory papers include, but are by no means limited to, those in behavioral economics and decision theory, game theory, general equilibrium theory, and the theory of economic mechanisms. Applications could encompass, but are by no means limited to, contract theory, public finance, financial economics, industrial organization, law and economics, and labor economics.
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