Existence of an Equilibrium for Lower Semicontinuous Information Acquisition Functions

Agnes Bialecki, Eleonore Haguet and Gabriel Turinici ()
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Agnes Bialecki: ENS de Lyon - École normale supérieure de Lyon - Université de Lyon
Eleonore Haguet: ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris
Gabriel Turinici: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Abstract: We consider a two-period model in which a continuum of agents trade in a context of costly information acquisition and systematic heterogeneous expectations biases. Because of systematic biases agents are supposed not to learn from others' decisions. In a previous work under somehow strong technical assumptions a market equilibrium was proved to exist and the supply and demand functions were proved to be strictly monotonic with respect to the price. Here we extend these results under very weak technical assumptions. We also prove that the equilibrium price maximizes the trading volume and further additional properties (such as the antimonotonicity of the trading volume with respect to the marginal information price).

Keywords: information acquisition; heterogeneous beliefs; heterogeneous estimations; Grossman-Stiglitz paradox; costly information (search for similar items in EconPapers)
Date: 2014-04-22
New Economics Papers: this item is included in nep-cta and nep-mic
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Published in Journal of Applied Mathematics, 2014, 2014, pp.268427. ⟨10.1155/2014/268427⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00723189

DOI: 10.1155/2014/268427

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