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Market Power and Information Revelation in Dynamic Trading

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Author Info

  • Piero Gottardi

    (University of Venezia)

  • Roberto Serrano

    (Brown University)

Abstract

We study a strategic model of dynamic trading where agents are asymmetrically informed over common value sources of uncertainty. There is a continuum of uninformed buyers and a finite number of sellers, some of them informed. When there is only one seller, full information revelation never occurs in equilibrium and the only information transmission happens in the first period. The outcome with n sellers depends both on the structure of sellers' information and the intensity of competition among them allowed by the market rules. We show that the latter plays an even more important role. With intense competition (absence of clienteles), information is fully and immediately revealed to the buyers in every equilibrium for n large enough, both when all sellers are informed and when only one seller is informed. On the other hand, with a less intense form of competition (presence of clienteles), collusive equilibria, where information is never revealed, also exist, whatever the number of sellers. Moreover, when only one seller is informed, for many parameter configurations there are no equilibria with full information revelation, for any n.

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Bibliographic Info

Paper provided by EconWPA in its series Game Theory and Information with number 0203005.

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Length: 40 pages
Date of creation: 14 Mar 2002
Date of revision:
Handle: RePEc:wpa:wuwpga:0203005

Note: Type of Document - pdf; prepared on IBM PC; to print on HP/PostScript; pages: 40
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Web page: http://128.118.178.162

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Keywords: subliminal extant Smith economagic gmm;

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References

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  1. Xavier Vives, 1992. "The Speed of Information Revelation in a Financial Market Mechanism," CEPR Financial Markets Paper 0016, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ.
  2. Martin W Cripps & Jeroen M Swinkels, 2003. "Efficiency of Large Double Auctions," Levine's Working Paper Archive 666156000000000329, David K. Levine.
  3. Shapley, Lloyd S & Shubik, Martin, 1977. "Trade Using One Commodity as a Means of Payment," Journal of Political Economy, University of Chicago Press, vol. 85(5), pages 937-68, October.
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Citations

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Cited by:
  1. Isaac, Tanguy, 2011. "A new equilibrium in the one-sided asymmetric information market with pairwise meetings," Mathematical Social Sciences, Elsevier, vol. 61(3), pages 152-156, May.
  2. BOCHET, Olivier, 2005. "Switching from complete to incomplete information," CORE Discussion Papers 2005063, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Peters, Michael & Severinov, Sergei, 2003. "An Ascending Double Auction," Microeconomics.ca working papers peters-03-12-16-01-57-39, Vancouver School of Economics, revised 26 Feb 2005.
  4. Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium blocking in large quasilinear economies," Working Papers 2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
  5. J.Ramon Martinez-Resano, 2005. "Size And Heterogeneity Matter. A Microstructure-Based Analysis Of Regulation Of Secondary Markets For Government Bonds," Finance 0508007, EconWPA.
  6. Bochet,Olivier, 2005. "Switching from Complete to Incomplete Information," Research Memorandum 035, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  7. Sergei Severinov & Michael Peters, 2004. "Internet Trading Mechanisms And Rational Expectations," Econometric Society 2004 North American Winter Meetings 551, Econometric Society.
  8. José Ramón Martínez-Resano, 2005. "Size and heterogeneity matter. A microstructure-based analysis of regulation of secondary markets for governments bonds," Banco de Espa�a Occasional Papers 0501, Banco de Espa�a.
  9. Dmitry Levando, 2012. "A Survey Of Strategic Market Games," Economic Annals, Faculty of Economics, University of Belgrade, vol. 57(194), pages 63-106, July - Se.

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