Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/150103
Authors: 
Chamley, Christophe
Year of Publication: 
2007
Citation: 
[Journal:] Theoretical Economics [ISSN:] 1555-7561 [Volume:] 2 [Year:] 2007 [Issue:] 4 [Pages:] 441-467
Abstract: 
In a financial market where agents trade for short-term profit and where news can increase the uncertainty of the public belief, there are strategic complementarities in the acquisition of private information and, if the cost of information is sufficiently small, a continuum of equilibrium strategies. Imperfect observation of past prices reduces the continuum of Nash equilibria to a Strongly Rational-Expectations Equilibrium. In that equilibrium, there are two sharply different regimes for the evolution of the price, the volume of trade, and information acquisition.
Subjects: 
Endogenous information
short-term gain
microstructure
strategic complementarity
multiple equilibria
Strongly Rational-Expectations Equilibrium
trading frenzies
JEL: 
D53
D82
D83
G14
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/2.5
Document Type: 
Article

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