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

Turinici, Gabriel; Haguet, Eleonore; Bialecki, Agnes

dc.contributor.author	Turinici, Gabriel HAL ID: 16 ORCID: 0000-0003-2713-006X
dc.contributor.author	Haguet, Eleonore
dc.contributor.author	Bialecki, Agnes
dc.date.accessioned	2012-09-03T13:16:35Z
dc.date.available	2012-09-03T13:16:35Z
dc.date.issued	2012
dc.identifier.uri	https://basepub.dauphine.fr/handle/123456789/9880
dc.language.iso	en	en
dc.subject	costly information	en
dc.subject	Grossman-Stiglitz paradox	en
dc.subject	heterogeneous estimations	en
dc.subject	heterogeneous beliefs	en
dc.subject	information acquisition	en
dc.subject.ddc	332	en
dc.subject.classificationjel	D24	en
dc.subject.classificationjel	C13	en
dc.title	An equilibrium trading volume model in presence of heterogeneous biased estimations and information acquisition costs	en
dc.type	Document de travail / Working paper
dc.contributor.editoruniversityother	École Nationale de la Statistique et de l'Administration Économique (ENSAE) ENSAE ParisTech;France
dc.contributor.editoruniversityother	École normale supérieure de Lyon (ENS LYON) http://www.ens-lyon.fr/ École Normale Supérieure - Lyon;France
dc.description.abstracten	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.	en
dc.publisher.name	Université Paris-Dauphine	en
dc.publisher.city	Paris	en
dc.identifier.citationpages	27	en
dc.identifier.urlsite	http://hal.archives-ouvertes.fr/hal-00723189	en
dc.subject.ddclabel	Economie financière	en
dc.description.submitted	non	en

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

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