We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...

This paper examines a class of signaling games with multi-dimensional private information to study how the prior, joint distribution of the private information variables affect a signal's effectiveness in revealing information about these variables. To illustrate the general problem investigated...

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 among equilibria with any continuous price function....

I study a level-k reasoning equilibrium in an asymmetric information environment populated by informed/uninformed agents and noise speculators. The approach provides a bridge between disclosing information and fractions of market participants, and sheds new light on the effects of information...

Mediator proposals can accelerate agreement and increase welfare even if the mediator is entirely uninformed. We demonstrate this by adding random mediation to the Cramton (1992) bargaining model. Mediation increases welfare by pooling types, which reduces signaling costs. When mediation is...

The gold spot price is fixed by four banks every day at 10:30 am and 3 pm London time. This document describes a role-play simulation that replicates core features of the London gold fixing with the aim to better understand the incentives and the behaviour of the fixing participants. The game is...

We allow a strategic trader to choose when to acquire information about an asset's payoff, instead of endowing her with it. When the trader dynamically controls the precision of a flow of information, the optimal precision evolves stochastically and increases with market liquidity. However,...

We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...

In a financial market where agents trade for short-term profit and where news can increase the uncertainty of the public belief, there are strategic complementarities in the acquisition of private information and, if the cost of information is sufficiently small, a continuum of equilibrium...

How do traders process and learn from market information, what trading strategies should they use, and how does learning affect the market? This paper proposes a two-sided learning model of an artificial limit order market with asymmetric information to address these issues. Using a genetic...