Existence of an Equilibrium for Lower Semicontinuous Information Acquisition Functions

Agnes Bialecki (1) , Eleonore Haguet (2) , Gabriel Turinici (3)

1 ENS de Lyon - École normale supérieure de Lyon
2 ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique
3 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision

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).

Mots clés: information acquisition; heterogeneous beliefs; heterogeneous estimations; Grossman-Stiglitz paradox; costly information

Domaines: Finance [q-fin.GN]; Finance quantitative [q-fin.CP]; Microstructure des marchés [q-fin.TR]; Economies et finances

Agnes Bialecki, Eleonore Haguet, Gabriel Turinici. Existence of an Equilibrium for Lower Semicontinuous Information Acquisition Functions. Journal of Applied Mathematics, 2014, 2014, pp.268427. ⟨10.1155/2014/268427⟩. ⟨hal-00723189v3⟩