Information aggregation in a financial market with general signal structure

doi:10.1016/j.jet.2019.05.004

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	Information aggregation in a financial market with general signal structure
	Lou, Youcheng1 ; Parsa, Sahar 2; Ray, Debraj 3,4; Li, Duan 5; Wang, Shouyang1,6,7
	2019-09-01
发表期刊	JOURNAL OF ECONOMIC THEORY
ISSN	0022-0531
卷号	183 页码:594-624
摘要	We study a financial market with asymmetric, multidimensional trader signals that have general correlation structure. Each of a continuum of traders belongs to one of finitely many "information groups." There is a multidimensional aggregate signal for each group. Each trader observes an idiosyncratic signal about the fundamental, built from this group signal. Correlations across group signals are arbitrary. Several existing models serve as special cases, and new applications become possible. We establish existence and regularity of linear equilibrium, and demonstrate that the equilibrium price aggregates information perfectly as noise trade vanishes. (C) 2019 Elsevier Inc. All rights reserved.
关键词	Multidimensional signals Asymmetric information Information aggregation Rational expectations equilibrium
DOI	10.1016/j.jet.2019.05.004
语种	英语
资助项目	Hong Kong Research Grants Council[14204514] ; Hong Kong Scholars Program[XJ2015049] ; NSF[SES-1629370]
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000488421700017
出版者	ACADEMIC PRESS INC ELSEVIER SCIENCE
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/35858
专题	系统科学研究所
通讯作者	Ray, Debraj
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, MDIS, Beijing, Peoples R China 2.Tufts Univ, Dept Econ, Medford, MA 02155 USA 3.NYU, Dept Econ, New York, NY 10012 USA 4.Univ Warwick, Dept Econ, Coventry, W Midlands, England 5.City Univ Hong Kong, Sch Data Sci, Hong Kong, Peoples R China 6.Chinese Acad Sci, Ctr Forecasting Sci, Beijing, Peoples R China 7.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Lou, Youcheng,Parsa, Sahar,Ray, Debraj,et al. Information aggregation in a financial market with general signal structure[J]. JOURNAL OF ECONOMIC THEORY,2019,183:594-624.
APA	Lou, Youcheng,Parsa, Sahar,Ray, Debraj,Li, Duan,&Wang, Shouyang.(2019).Information aggregation in a financial market with general signal structure.JOURNAL OF ECONOMIC THEORY,183,594-624.
MLA	Lou, Youcheng,et al."Information aggregation in a financial market with general signal structure".JOURNAL OF ECONOMIC THEORY 183(2019):594-624.