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Arbitrage Inefficiency and Regulation in Multi-Stage Market Games
Voliotis, Dimitris - 2015
economy with financial markets. In particular, market participants pursue altogether to take full advantage of the arbitrage …
Persistent link: https://www.econbiz.de/10014206782
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Rationalizable Information Equilibria
Zimper, Alexander - 2017
Rational expectations equilibria (REE) assume that the ex post equilibrium price function is able to reveal ex ante … competitive equilibrium concept of rationalizable information equilibria (RIE). Our formal analysis establishes that (i) the RIE …
Persistent link: https://www.econbiz.de/10012954899
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On Equilibrium Uniqueness in Multi-Asset Noisy Rational Expectations Economies
Pálvölgyi, Dömötör - 2015
This paper studies equilibrium uniqueness in multi-asset noisy rational expectations economies with asymmetric … information, an extension of Grossman and Stiglitz (1980). We show the existence of a linear equilibrium, and prove its uniqueness …
Persistent link: https://www.econbiz.de/10013019262
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Complementarities in information acquisition with short-term trades
Chamley, Christophe - In: Theoretical economics : TE ; an open access journal in … 2 (2007) 4, pp. 441-467
information is sufficiently small, a continuum of equilibrium strategies. Imperfect observation of past prices reduces the … continuum of Nash equilibria to a Strongly Rational-Expectations Equilibrium. In that equilibrium, there are two sharply …
Persistent link: https://www.econbiz.de/10011702278
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Strategically biased learning in market interactions
Bottazzi, Giulio; Giachini, Daniele - 2022
degree to new information, may be strategically convenient for traders. We show that, in equilibrium, strong under …
Persistent link: https://www.econbiz.de/10012797563
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Farsighted miners under transaction fee mechanism EIP1559
Hougaard, Jens Leth; Pourpouneh, Mohsen - 2022
We investigate the recent fee mechanism EIP1559 of the Ethereum network. Whereas previous studies have focused on myopic miners, we here focus on rational miners in the sense of having level-k foresight. We derive expressions for optimal miner behavior (in terms of setting block sizes) in the...
Persistent link: https://www.econbiz.de/10013329351
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Farsighted miners under transaction fee mechanism EIP1559
Hougaard, Jens Leth; Pourpouneh, Mohsen - 2022 - Published: December 2022
We investigate the recent fee mechanism EIP1559 of the Ethereum network. Whereas previous studies have focused on myopic miners, we here focus on strategic miners in the sense of miners being able to reason k-blocks ahead. We derive expressions for optimal miner behavior (in terms of setting...
Persistent link: https://www.econbiz.de/10013468499
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Crossing network versus dealer market : unique equilibrium in the allocation of order flow
Dönges, Jutta; Heinemann, Frank; Danie͏̈ls, Tijmen R. - 2013
unique switching equilibrium, in which patient traders use the crossing network while impatient traders submit orders …
Persistent link: https://www.econbiz.de/10009684675
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Why Discrete Price Fragments U.S. Stock Exchanges and Disperses Their Fee Structures
Chao, Yong - 2019
differ in fee structure to engage in second-degree price discrimination; and (ii) destroys the Bertrand equilibrium, leads to …
Persistent link: https://www.econbiz.de/10012904610
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Contagion in Fixed Debt Networks
Chukwudi Henry, Dike - 2021
feedbacks. Results show Nash equilibrium are unique, strictly dominant. Firms welfare depends on a combination of the … Vulnerability index of intensity of punishment for defaulting . A basic algorithm that computes the basic equilibrium decision of …
Persistent link: https://www.econbiz.de/10013235006