Information and Learning in Markets: The Impact of Market Microstructure

摘要: The ways financial analysts, traders, and other specialists use information learn from each are of fundamental importance to understanding how markets work prices set. This graduate-level textbook analyzes aggregate examines the impacts specific market arrangements--or microstructure--on aggregation process overall performance markets. Xavier Vives bridges gap between two primary views markets--informational efficiency herding--and uses a coherent game-theoretic framework bring together latest results rational expectations herding literatures. Vives emphasizes consequences interaction social learning for informational economic efficiency. He looks closely at mechanisms, progressing simple complex environments: static dynamic models; competitive strategic agents; strategies such as noncontingent orders or quantities ones like price contingent demand schedules. finds that contending theories build on same principles Bayesian decision making "irrational" agents not needed explain behavior, booms, crashes. As this book shows, microstructure is crucial factor in prices. Provides most complete analysis information Bridges literatures Includes exercises with solutions Serves both graduate resource researchers, including analysts