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Elimination Of Arbitrage States In Asymmetric Information Models

Author

Listed:
  • Bernard Cornet

    (Department of Economics, The University of Kansas)

  • Lionel De Boisdeffre

    (CERMSEM, Maison des Sciences Economiques, Universite de Paris 1)

Abstract

In a financial economy with asymmetric information and incomplete markets, we study how agents, having no model of how equilibrium prices are determined, may still refine their information by eliminating sequentially ¡°arbitrage state(s)¡±, namely, the state(s) which would grant the agent an arbitrage, if realizable.

Suggested Citation

  • Bernard Cornet & Lionel De Boisdeffre, 2005. "Elimination Of Arbitrage States In Asymmetric Information Models," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200504, University of Kansas, Department of Economics, revised Feb 2005.
    • Handle: RePEc:kan:wpaper:200504
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    Keywords

    Arbitrage; incomplete markets; asymmetric information; information revealed by prices.;
    All these keywords.

    JEL classification:

    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets

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