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Existence of an Equilibrium for Lower Semicontinuous Information Acquisition Functions

Author

Listed:
  • Agnes Bialecki

    (ENS Lyon - École normale supérieure - Lyon)

  • Eleonore Haguet

    (ENSAE ParisTech - École Nationale de la Statistique et de l'Administration Économique)

  • Gabriel Turinici

    () (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris-Dauphine - CNRS - Centre National de la Recherche Scientifique)

Abstract

We consider a two-period model in which a continuum of agents trade in a context of costly information acquisition and systematic heterogeneous expectations biases. Because of systematic biases agents are supposed not to learn from others' decisions. In a previous work under somehow strong technical assumptions a market equilibrium was proved to exist and the supply and demand functions were proved to be strictly monotonic with respect to the price. Here we extend these results under very weak technical assumptions. We also prove that the equilibrium price maximizes the trading volume and further additional properties (such as the antimonotonicity of the trading volume with respect to the marginal information price).

Suggested Citation

  • Agnes Bialecki & Eleonore Haguet & Gabriel Turinici, 2014. "Existence of an Equilibrium for Lower Semicontinuous Information Acquisition Functions," Post-Print hal-00723189, HAL.
  • Handle: RePEc:hal:journl:hal-00723189
    DOI: 10.1155/2014/268427
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00723189v3
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    File URL: https://hal.archives-ouvertes.fr/hal-00723189v3/document
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    References listed on IDEAS

    as
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    Keywords

    information acquisition; heterogeneous beliefs; heterogeneous estimations; Grossman-Stiglitz paradox; costly information;

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