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Equilibrium price formation in markets with differentially informed agents

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  • Marta Faias
  • Carlos Hervés-Beloso
  • Emma Moreno-García

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  • Marta Faias & Carlos Hervés-Beloso & Emma Moreno-García, 2011. "Equilibrium price formation in markets with differentially informed agents," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(1), pages 205-218, September.
    • Handle: RePEc:spr:joecth:v:48:y:2011:i:1:p:205-218
    DOI: 10.1007/s00199-010-0582-6
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    References listed on IDEAS

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    1. Carlos Hervés-Beloso & V. Martins-da-Rocha & Paulo Monteiro, 2009. "Equilibrium theory with asymmetric information and infinitely many states," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 38(2), pages 295-320, February.
    2. Wassim Daher & V. Martins-da-Rocha & Yiannis Vailakis, 2007. "Asset market equilibrium with short-selling and differential information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(3), pages 425-446, September.
    3. Marta Faias & Emma Moreno-García, 2010. "Incomplete financial markets and differential information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 43(2), pages 189-206, May.
    4. Stefan Maus, 2004. "Exchange economies with asymmetric information: competitive equilibrium and core," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 24(2), pages 395-418, August.
    5. João Correia-da-Silva & Carlos Hervés-Beloso, 2009. "Prudent expectations equilibrium in economies with uncertain delivery," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 39(1), pages 67-92, April.
    6. Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, vol. 47(3), pages 655-678, May.
    7. 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 937-968, October.
    8. Nabil I. Al-Najjar & Luciano De Castro, 2010. "Uncertainty, Efficiency and Incentive Compatibility," Discussion Papers 1532, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    9. Schmeidler, David, 1980. "Walrasian Analysis via Strategic Outcome Functions," Econometrica, Econometric Society, vol. 48(7), pages 1585-1593, November.
    10. Guadalupe Fugarolas-Alvarez-Ude & Carlos Hervés-Beloso & Emma Moreno-García & Juan Torres-Martínez, 2009. "A market game approach to differential information economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 38(2), pages 321-330, February.
    11. Ezra Einy & Diego Moreno & Benyamin Shitovitz, 2005. "Competitive and core allocations in large economies with differential information," Studies in Economic Theory, in: Dionysius Glycopantis & Nicholas C. Yannelis (ed.), Differential Information Economies, pages 173-183, Springer.
    12. Eduardo Andrade & Luciano De Castro, 2010. "Tougher Educational Exam Leading to Worse Selection," Discussion Papers 1533, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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    Cited by:

    1. Kang Gao & Perukrishnen Vytelingum & Stephen Weston & Wayne Luk & Ce Guo, 2022. "Understanding intra-day price formation process by agent-based financial market simulation: calibrating the extended chiarella model," Papers 2208.14207, arXiv.org.
    2. Leonidas C. Koutsougeras & Claudia Meo, 2018. "An asymptotic analysis of strategic behavior for exchange economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 66(2), pages 301-325, August.

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    More about this item

    Keywords

    Competitive equilibrium; Differential information; Nash equilibrium; C72; D51;
    All these keywords.

    JEL classification:

    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies

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