Finance Applications of Game Theory
AbstractTraditional finance theory based on the assumptions of symmetric information and perfect and competitive markets has provided many important insights. These include the Modigliani and Miller Theorems, the CAPM, the Efficient Markets Hypothesis and continuous time finance. However, many empirical phenomena are difficult to reconcile with this traditional framework. Game theoretic techniques have allowed insights into a number of these. Many puzzles remain. This paper argues that recent advances in game theory concerned with higher order beliefs, informational cascades and heterogeneous prior beliefs have the potential to provide insights into some of these remaining puzzles.
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1195.
Length: 45 pages
Date of creation: Sep 1998
Date of revision:
Publication status: Published in Advances in Business Applications of Game Theory, ed. by Chatterjee and Samuelson, Kluwer Academic Press, 2001
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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
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- Diana Larisa Țâmpu & Carmen Costea, 2012. "A Concerning View In The Liquidity Crisis Through The Game Theory," Journal of Information Systems & Operations Management, Romanian-American University, vol. 6(1), pages 175-184, May.
- Yorulmazer, Tanju, 2003. "Herd Behavior, Bank Runs and Information Disclosure," MPRA Paper 9513, University Library of Munich, Germany.
- Stephen Morris & Hyun S Shin, 2001.
"Global Games: Theory and Applications,"
Levine's Working Paper Archive
122247000000001080, David K. Levine.
- Stephen Morris & Hyun Song Shin, 2000. "Global Games: Theory and Applications," Cowles Foundation Discussion Papers 1275R, Cowles Foundation for Research in Economics, Yale University, revised Aug 2001.
- Stephen Morris & Hyun Song Shin, 2000. "Global Games: Theory and Applications," Cowles Foundation Discussion Papers 1275, Cowles Foundation for Research in Economics, Yale University.
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