Preface | p. xi |
Introduction and Lecture Guide | p. 1 |
References | p. 12 |
Aggregation of Information in Simple Market Mechanisms: Large Markets | p. 15 |
Introduction and Overview | p. 15 |
Large Cournot Markets | p. 17 |
Welfare in Large Cournot Markets with Asymmetric Information | p. 27 |
Information Aggregation in Smooth Large Markets | p. 29 |
Auctions and Voting | p. 38 |
Endogenous Information Acquisition | p. 40 |
Summary | p. 45 |
Appendix | p. 46 |
Exercises | p. 48 |
References | p. 51 |
Aggregation of Information in Simple Market Mechanisms: How Large Is Large? | p. 53 |
A General Linear-Normal Cournot Model | p. 54 |
Convergence to Price Taking in a Cournot Market | p. 57 |
Endogenous Information Acquisition | p. 58 |
Convergence to the First-Best: Market Power and Information Aggregation | p. 62 |
Convergence in Auctions | p. 67 |
Summary | p. 70 |
Appendix | p. 71 |
Exercises | p. 74 |
References | p. 76 |
Rational Expectations and Supply Function Competition | p. 78 |
Rational Expectations Equilibrium: Concepts, Problems, and Welfare | p. 78 |
Supply Function Competition and REE in a Continuum Economy | p. 84 |
Welfare Analysis of REE | p. 95 |
Strategic Supply Function Equilibria and Convergence to a Price-Taking Equilibrium | p. 98 |
Double Auctions | p. 100 |
Summary | p. 102 |
Appendix | p. 102 |
Exercises | p. 103 |
References | p. 105 |
Rational Expectations and Market Microstructure in Financial Markets | p. 107 |
Market Microstructure | p. 108 |
Competitive Rational Expectations Equilibria | p. 112 |
Informed Traders Move First and Face Risk-Neutral Competitive Market Makers | p. 130 |
Hedgers and Producers in a Futures Market | p. 135 |
Summary | p. 145 |
Appendix | p. 147 |
Exercises | p. 148 |
References | p. 152 |
Strategic Traders in Financial Markets | p. 156 |
Competition in Demand Schedules | p. 157 |
Informed Traders Move First | p. 168 |
Market Makers Move First | p. 177 |
An Application: Welfare Analysis of Insider Trading | p. 183 |
Summary | p. 189 |
Exercises | p. 190 |
References | p. 195 |
Learning from Others and Herding | p. 199 |
Herding, Informational Cascades, and Social Learning | p. 200 |
Extensions of the Herding Model | p. 204 |
A Smooth and Noisy Model of Learning from Others | p. 210 |
Applications and Examples | p. 222 |
The Information Externality and Welfare | p. 227 |
Rational Expectations, Herding, and Information Externalities | p. 236 |
Summary | p. 239 |
Appendix | p. 240 |
Exercises | p. 241 |
References | p. 244 |
Dynamic Information Aggregation | p. 248 |
Rational Expectations, Full-Information Equilibria, and Learning | p. 248 |
Learning and Convergence to a Full-Information Equilibrium with Uninformed Firms | p. 253 |
Market Dynamics with Asymmetric Information | p. 257 |
Slow Learning and Convergence | p. 261 |
Summary | p. 266 |
Appendix | p. 267 |
Exercises | p. 271 |
References | p. 273 |
Dynamic Rational Expectations Models in Competitive Financial Markets | p. 276 |
Dynamic Competitive Rational Expectations | p. 277 |
The Impact of Risk-Averse Market Makers | p. 285 |
Dynamic Trading with Short-Term Investors | p. 294 |
Explaining Crises and Market Crashes | p. 306 |
Summary | p. 318 |
Appendix | p. 320 |
Exercises | p. 324 |
References | p. 326 |
Price and Information Dynamics in Financial Markets | p. 330 |
Sequential Trading, Dynamic Market-Order Markets, and the Speed of Learning from Past Prices | p. 331 |
Strategic Trading with Long-Lived Information | p. 339 |
Market Manipulation and Price Discovery | p. 347 |
Strategic Trading with Short-Lived Information | p. 355 |
Strategic Hedging | p. 358 |
Summary | p. 360 |
Appendix | p. 361 |
Exercises | p. 362 |
References | p. 365 |
Technical Appendix | p. 369 |
Information Structures and Bayesian Inference | p. 369 |
Normal Distributions and Affine Information Structure | p. 375 |
Convergence Concepts and Results | p. 383 |
Games and Bayesian Equilibrium | p. 390 |
References | p. 398 |
Index | p. 401 |
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