English, Article, Journal or magazine article edition: Noise and Aggregation of Information in Large Markets Diego García; Branko Urosevic

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Bookmark: http://trove.nla.gov.au/version/153206
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Noise and Aggregation of Information in Large Markets
Author
  • Diego García
  • Branko Urosevic
Physical Description
  • preprint
Notes
  • We study a novel class of noisy rational expectations equilibria in markets with large number of agents. We show that, as long as noise increases with the number of agents in the economy, the limiting competitive equilibrium is well-defined and leads to non-trivial information acquisition, perfect information aggregation, and partially revealing prices, even if per capita noise tends to zero. We find that in such equilibrium risk sharing and price revelation play dierent roles than in the standard limiting economy in which per capita noise is not negligible. We apply our model to study information sales by a monopolist, information acquisition in multi-asset markets, and derivatives trading. The limiting equilibria are shown to be perfectly competitive, even when a strategic solution concept is used.
  • Partially revealing equilibria, competitive equilibrium, rational expectations, information acquisition, markets for information, derivatives trading, multi-asset markets, share auctions
  • RePEc:upf:upfgen:785
Language
  • English
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