Information acquisition in double auctions

Dang, Tri Vi

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URN: urn:nbn:de:bsz:180-madoc-25199
Document Type: Working paper
Year of publication: 2007
The title of a journal, publication series: Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung
Volume: 07-49
Place of publication: Mannheim
Publication language: English
Institution: School of Law and Economics > Sonstige - Fakultät für Rechtswissenschaft und Volkswirtschaftslehre
MADOC publication series: Sonderforschungsbereich 504 > Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung (Laufzeit 1997 - 2008)
Subject: 330 Economics
Subject headings (SWD): Auktionstheorie , Informationsverhalten , Asymmetrische Information , Verhandlungstheorie
Abstract: This paper analyses information acquisition in the Reny and Perry (2006) type double auction environment and shows that an efficient and fully revealing equilibrium may fail to exist if information is endogenous and costly. As the number of traders increases, the equilibria are inefficient even though the information cost is very large. Because of endogenous noise trading, the price is also not fully revealing. This paper provides a strategic foundation for Grossman and Stiglitz (1980) and discusses some market microstructure implications.
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Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.

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