We study a refinement of correlated equilibrium in which playersʼ actions are driven by their beliefs and higher order beliefs about the play of the game (beliefs over what other players will do, over what other players believe others will do, etc.). For any finite, complete-information game,...

This paper studies the welfare consequence of increasing trading speed in financial markets. We build and solve a dynamic trading model, in which traders receive private information of asset value over time and trade strategically with demand schedules in a sequence of double auctions. A...