An equilibrium trading volume model in presence of heterogeneous biased estimations and information acquisition costs

Turinici, Gabriel; Haguet, Eleonore; Bialecki, Agnes

Turinici, Gabriel; Haguet, Eleonore; Bialecki, Agnes (2012), An equilibrium trading volume model in presence of heterogeneous biased estimations and information acquisition costs. https://basepub.dauphine.fr/handle/123456789/9880

Type

Document de travail / Working paper

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http://hal.archives-ouvertes.fr/hal-00723189

Date

2012

Éditeur

Université Paris-Dauphine

Ville d’édition

Paris

Métadonnées

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Auteur(s)

Turinici, Gabriel

Haguet, Eleonore
Bialecki, Agnes

Résumé (EN)

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.

Mots-clés

costly information; Grossman-Stiglitz paradox; heterogeneous estimations; heterogeneous beliefs; information acquisition

JEL

D24 - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity
C13 - Estimation: General