Decentralized Trading with Private Information — by Mikhail Golosov, Guido Lorenzoni, Aleh Tsyvinski
Posted: November 16, 2009 Filed under: Anarchy, Information Leave a comment »Sent to you via Google Reader
Decentralized Trading with Private Information — by Mikhail Golosov, Guido Lorenzoni, Aleh Tsyvinski
The paper studies asset pricing in informationally decentralized markets. These markets have two key frictions: trading is decentralized (bilateral), and some agents have private information. We analyze how uninformed agents acquire information over time from their bilateral trades. In particular, we show that uninformed agents can learn all the useful information in the long run and that the long-run allocation is Pareto efficient. We then explore how informed agents can exploit their informational advantage in the short run and provide sufficient conditions for the value of information to be positive. Finally, we provide a numerical analysis of the equilibrium trading dynamics and prices.
Daniel J. SmithSent Via Mobile Phone
Information vs. Knowledge
Posted: September 22, 2009 Filed under: Information, Knowledge Leave a comment »http://www.aier.org/ejw/issues?start=12
