Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
961570 | Journal of Financial Markets | 2013 | 24 Pages |
Abstract
⺠We introduce a new notion of noise within the standard rational expectations paradigm. ⺠We endogenize the measure of informed agents as the size of the economy grows. ⺠We show how prices converge to a partially revealing equilibrium, even when per capita noise tends to zero. ⺠We also study information markets and information acquisition in multi-asset markets. ⺠Our notion of large noise is necessary and sufficient to yield limiting economies where agents act competitively.
Keywords
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Diego GarcÃa, Branko UroÅ¡eviÄ,