Topic：Multi-Type Information Acquisition with Integer Trader Constraints

Lecturer: Xingtan Zhang

Xingtan Zhang is an associate professor of finance at Cheung Kong Graduate School of Business. His research interests include financial intermediation, asset pricing, behavioral economy, mechanism design, and industrial organization. His papers have been published in Econometrica, Review of Financial Studies, Journal of Economic Theory, Management Science and other journals.

Abstract:

We analyze information acquisition in a strategic trading model with multi-dimensional uncertainties and integer constraints on the numbers of all types of informed traders. Without these integer trader constraints,the equilibrium in information choice is unique. The introduction of the integer constraints leads to two key effects: the steepening best-response effect and the entry-deterrence effect. These effects can give rise to multiple equilibria, with the number of equilibria potentially becoming arbitrarily large under certain parameters. Interestingly, asymmetric equilibria can arise in symmetric settings. Overall, introducing integer trader constraints--seemingly a small departure from the traditional framework--yields novel insights into the behavior of financial markets.

Time:2:00-3:30 p.m, November 15th,2024

Venue: B321, Zhixin Building, Central Campus