ELIMINATION OF ARBITRAGE STATES IN ASYMMETRIC INFORMATION MODELS

Bernard Cornet and Lionel De Boisdeffre
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Lionel De Boisdeffre: CERMSEM, Maison des Sciences Economiques, Universite de Paris 1

No 200504, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics

Abstract: In a financial economy with asymmetric information and incomplete markets, we study how agents, having no model of how equilibrium prices are determined, may still refine their information by eliminating sequentially ¡°arbitrage state(s)¡±, namely, the state(s) which would grant the agent an arbitrage, if realizable.

Keywords: Arbitrage; incomplete markets; asymmetric information; information revealed by prices. (search for similar items in EconPapers)
JEL-codes: D52 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2005-02, Revised 2005-02
New Economics Papers: this item is included in nep-fmk and nep-mic
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Elimination of arbitrage states in asymmetric information models (2009)
Working Paper: Elimination of arbitrage states in asymetric information models (2009)
Working Paper: Elimination of arbitrage states in asymmetric information models (2009)
Working Paper: Elimination of arbitrage states in asymetric information models (2009)
Working Paper: Elimination of arbitrage states in asymmetric information models (2009)
Working Paper: Elimination of arbitrage states in asymetric information models (2009)
Working Paper: Elimination of Arbitrage States in Asymmetric Information Models (2009)
Working Paper: Elimination of arbitrage states in asymmetric information models (2009)
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