04206nam 2200625 a 450 991078537060332120200520144314.097866124584081-4008-2950-X1-282-45840-X10.1515/9781400829507(CKB)2670000000057595(EBL)475871(OCoLC)609870208(SSID)ssj0000420527(PQKBManifestationID)11271106(PQKBTitleCode)TC0000420527(PQKBWorkID)10392990(PQKB)10370678(MdBmJHUP)muse36497(DE-B1597)446720(OCoLC)979779465(DE-B1597)9781400829507(Au-PeEL)EBL475871(CaPaEBR)ebr10364723(CaONFJC)MIL245840(MiAaPQ)EBC475871(EXLCZ)99267000000005759520080122d2008 uy 0engur|n|---|||||txtccrInformation and learning in markets[electronic resource] the impact of market microstructure /Xavier VivesCourse BookPrinceton Princeton University Pressc20081 online resource (421 p.)Description based upon print version of record.0-691-12743-3 0-691-14596-2 Includes bibliographical references and index. Frontmatter -- Contents -- Preface -- Introduction and Lecture Guide -- 1. Aggregation of Information in Simple Market Mechanisms: Large Markets -- 2. Aggregation of Information in Simple Market Mechanisms: How Large Is Large? -- 3. Rational Expectations and Supply Function Competition -- 4. Rational Expectations and Market Microstructure in Financial Markets -- 5. Strategic Traders in Financial Markets -- 6. Learning from Others and Herding -- 7. Dynamic Information Aggregation -- 8. Dynamic Rational Expectations Models in Competitive Financial Markets -- 9. Price and Information Dynamics in Financial Markets -- 10. Technical Appendix -- IndexThe ways financial analysts, traders, and other specialists use information and learn from each other are of fundamental importance to understanding how markets work and prices are set. This graduate-level textbook analyzes how markets aggregate information and examines the impacts of specific market arrangements--or microstructure--on the aggregation process and overall performance of financial markets. Xavier Vives bridges the gap between the two primary views of markets--informational efficiency and herding--and uses a coherent game-theoretic framework to bring together the latest results from the rational expectations and herding literatures. Vives emphasizes the consequences of market interaction and social learning for informational and economic efficiency. He looks closely at information aggregation mechanisms, progressing from simple to complex environments: from static to dynamic models; from competitive to strategic agents; and from simple market strategies such as noncontingent orders or quantities to complex ones like price contingent orders or demand schedules. Vives finds that contending theories like informational efficiency and herding build on the same principles of Bayesian decision making and that "irrational" agents are not needed to explain herding behavior, booms, and crashes. As this book shows, the microstructure of a market is the crucial factor in the informational efficiency of prices. Provides the most complete analysis of the ways markets aggregate information Bridges the gap between the rational expectations and herding literatures Includes exercises with solutions Serves both as a graduate textbook and a resource for researchers, including financial analysts Stock exchangesStock exchanges.332.642Vives Xavier119638MiAaPQMiAaPQMiAaPQBOOK9910785370603321Information and learning in markets716972UNINA