Related papers: Dynamic Equilibrium with Insider Information and G…
We consider a market of risky financial assets whose participants are an informed trader, a representative uninformed trader, and noisy liquidity providers. We prove the existence of a market-clearing equilibrium when the insider…
We study a continuous time economy where throughout time, insiders receive private signals regarding the risky assets' terminal payoff. We prove existence of a partial communication equilibrium where, at each private signal time, the public…
This paper studies the equilibrium pricing of asset shares in the presence of dynamic private information. The market consists of a risk-neutral informed agent who observes the firm value, noise traders, and competitive market makers who…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price of the firm related asset. The fundamental value itself is…
We introduce an interactive market setup with sequential auctions where agents receive variegated signals with a known deadline. The effects of differential information and mutual learning on the allocation of overall profit \& loss (P\&L)…
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies…
We study a general class of dynamic multi-agent decision problems with asymmetric information and non-strategic agents, which includes dynamic teams as a special case. When agents are non-strategic, an agent's strategy is known to the other…
We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…
In many settings, multiple uninformed agents bargain simultaneously with a single informed agent in each of multiple periods. For example, workers and firms negotiate each year over salaries, and the firm has private information about the…
We consider in discrete time, a general class of sequential stochastic dynamic games with asymmetric information with the following features. The underlying system has Markovian dynamics controlled by the agents' joint actions. Each agent's…
We investigate how asymmetric information affects equilibrium price formation in an economy with many interacting agents. Motivated by a finite-player model with two populations of asymmetrically informed agents, we study its mean-field…
We add the assumption that players know their opponents' payoff functions and rationality to a model of non-equilibrium learning in signaling games. Agents are born into player roles and play against random opponents every period.…
A Bayesian agent experiences gain-loss utility each period over changes in belief about future consumption ("news utility"), with diminishing sensitivity over the magnitude of news. Diminishing sensitivity induces a preference over news…
This paper studies a multi-player, general-sum stochastic game characterized by a dual-stage temporal structure per period. The agents face uncertainty regarding the time-evolving state that is realized at the beginning of each period.…
The von Neumann and Morgenstern theory postulates that rational choice under uncertainty is equivalent to maximization of expected utility (EU). This view is mathematically appealing and natural because of the affine structure of the space…
In this paper we study the problem of information sharing among rational self-interested agents as a dynamic game of asymmetric information. We assume that the agents imperfectly observe a Markov chain and they are called to decide whether…
We study a general class of dynamic games with asymmetric information where agents' beliefs are strategy dependent, i.e. signaling occurs. We show that the notion of sufficient information, introduced in the companion paper team, can be…
We study how partial information about scoring rules affects fairness in strategic learning settings. In strategic learning, a learner deploys a scoring rule, and agents respond strategically by modifying their features -- at some cost --…