The Speed of Information Revelation in a Financial Market Mechanism
The Speed of Information Revelation in a Financial Market Mechanism
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金融市场机制中信息披露的速度
DOI：
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发表时间：
1995
期刊：
影响因子：
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通讯作者：
X. Vives
中科院分区：
文献类型：
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作者：
X. Vives
假设关于风险资产价值的信息分散在经济中的多个代理人之间。本文研究了竞争性做市商的连续报价反映了规避风险的知情代理人所希望的(名义)交易，揭示了资产的价值。所考虑的情况类似于一些连续股票交易系统的开盘批量拍卖中理论价格的实时传播。这个问题是在信息传递过程的背景下研究的，在这个过程中，知情的代理人向有效报价的做市商提交市场订单。知情代理人反过来修改他们对资产价值的估计，并重新提交订单。充分刻画了t吨的均衡，发现报价以n-1/2的速度收敛到资产的标的价值，其中n是t吨的轮数，并且具有与风险厌恶程度、私人信号的噪声和系统中的噪声量负相关的渐近精度。分析明确了竞争性做市商的作用：通过增加市场深度，随着轮次的增加，他们诱导内部人对他们的信息做出更多反应，并加快收敛。事实上，在深度外在固定的市场中，趋同是缓慢的。所使用的方法还允许研究均衡的相对动力学属性，例如
Suppose that information about the value of a risky asset is dispersed among many agents in the economy. The paper studies the rate at which successive price quotations from competitive market makers, which reflect the desired (notional) trades of risk- averse informed agents, reveal the value of the asset. The situation considered is akin to the real-time dissemination of theoretical prices in the opening batch auction of some continuous stock trading systems. The issue is studied in the context of an information t tonnement process in which informed agents submit market orders to market makers who quote prices efficiently. Informed agents in turn revise their estimates of the value of the asset and resubmit orders. The equilibrium of the t tonnement is fully characterized and it is found that price quotations converge to the underlying value of the asset at a rate of n-1/2, where n is the number of rounds of the t tonnement, and have an asymptotic precision negatively related to the degree of risk aversion, the noisiness of private signals and the amount of noise in the system. The analysis makes clear the role of competitive market makers: by increasing the depth of the market as the number of rounds increase they induce insiders to respond more to their information and speed up convergence. In fact, in markets in which depth is exogenously fixed, convergence is slow. The approach used allows also the study of the comparative dynamic properties of equilibria, such as the