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Manipulations and repeated games in future markets

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Author Info
Chichilnisky, Graciela

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Abstract

This chapter analyzes the possibility of manipulation in futures markets, concentrating on the effects that manipulation may have on their informational efficiency . We use the concept of manipulation as it arises in the study of noncooperative games with imperfect information . The problem can be summarized as follows : disclosure that is, (less anonymity) may prevent manipulation and therefore improve the informational efficiency of the market . On the other hand, disclosure (less anonymity) may restrict entry, and therefore produce an efficiency loss. There is, in this sense, a tradeoff between informational efficiency and free entry.

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File URL: http://mpra.ub.uni-muenchen.de/8083/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 8083.

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Date of creation: 1984
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Handle: RePEc:pra:mprapa:8083

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Related research
Keywords: futures; efficiency; futures markets; games; game theory; manipulation; imperfect information; disclosure; repeated games; one-shot game;

Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games

References listed on IDEAS
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  1. Chichilnisky, Graciela, 1982. "Social Aggregation Rules and Continuity," The Quarterly Journal of Economics, MIT Press, vol. 97(2), pages 337-52, May. [Downloadable!] (restricted)
  2. Chichilnisky, Graciela, 1982. "The topological equivalence of the pareto condition and the existence of a dictator," Journal of Mathematical Economics, Elsevier, vol. 9(3), pages 223-233, March. [Downloadable!] (restricted)
  3. Akerlof, George A, 1970. "The Market for 'Lemons': Quality Uncertainty and the Market Mechanism," The Quarterly Journal of Economics, MIT Press, vol. 84(3), pages 488-500, August. [Downloadable!] (restricted)
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