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| HAL : hal-00723189, version 1 |
| Fiche détaillée |  Récupérer au format |
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| An equilibrium trading volume model in presence of heterogeneous biased estimations and information acquisition costs |
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| Agnes Bialecki 1Eleonore Haguet 2 |
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| (08/08/2012) |
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| 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. We show that under very weak technical assumptions a market equilibrium exists and the supply and demand functions are strictly monotonic with respect to the price. The equilibrium price is also shown to be the price that maximizes the trading volume. We prove additional properties such as the anti-monotony of the trading volume with respect to the marginal information price. |
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| 1 : | École normale supérieure de Lyon (ENS LYON) |
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École Normale Supérieure - Lyon |
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| 2 : | École Nationale de la Statistique et de l'Administration Économique (ENSAE) |
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ENSAE ParisTech |
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| 3 : | CEntre de REcherches en MAthématiques de la DEcision (CEREMADE) |
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CNRS : UMR7534 – Université Paris IX - Paris Dauphine |
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| Domaine | : | Économie et finance quantitative/Finance Économie et finance quantitative/Finance quantitative Économie et finance quantitative/Microstructure des marchés Sciences de l'Homme et Société/Economies et finances |
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| information acquisition – heterogeneous beliefs – heterogeneous estimations – Grossman-Stiglitz paradox – costly information |
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| Liste des fichiers attachés à ce document : | |||||
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| hal-00723189, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00723189 | |
| oai:hal.archives-ouvertes.fr:hal-00723189 | |
| Contributeur : Gabriel Turinici | |
| Soumis le : Mercredi 8 Août 2012, 02:09:44 | |
| Dernière modification le : Mercredi 8 Août 2012, 21:07:43 | |
