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March 2011 Information: price and impact on general welfare and optimal investment. An anticipative stochastic differential game model
Christian-Oliver Ewald, Yajun Xiao
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Adv. in Appl. Probab. 43(1): 97-120 (March 2011). DOI: 10.1239/aap/1300198514

Abstract

Within an anticipative stochastic calculus framework, we study a market game with asymmetric information and feedback effects. We derive necessary and sufficient criteria for the existence of Nash equilibria and study how general welfare is affected by the level of information. In particular, we show that, under certain conditions in a competitive environment, an increased level of information may in fact lower the level of general welfare, leading to the so-called Hirshleifer effect (see Hirshleifer (1971)). Finally, we determine equilibrium prices for particular pieces of information, by extending our market game with a pre-stage, in which information is traded.

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Christian-Oliver Ewald. Yajun Xiao. "Information: price and impact on general welfare and optimal investment. An anticipative stochastic differential game model." Adv. in Appl. Probab. 43 (1) 97 - 120, March 2011. https://doi.org/10.1239/aap/1300198514

Information

Published: March 2011
First available in Project Euclid: 15 March 2011

zbMATH: 1217.91057
MathSciNet: MR2761149
Digital Object Identifier: 10.1239/aap/1300198514

Subjects:
Primary: 91B28
Secondary: 60H07 , 60H10 , 60H30

Keywords: financial market , Information , stochastic differential game

Rights: Copyright © 2011 Applied Probability Trust

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Vol.43 • No. 1 • March 2011
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