Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.720174
Title: Information aggregation in dynamic markets under ambiguity
Author: Kotronis, Stelios
Awarding Body: University of Southampton
Current Institution: University of Southampton
Date of Award: 2017
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Abstract:
Does ambiguity affect the efficiency of information aggregation in dynamic markets? To the present day there is a sparse and fragmented literature pointing towards an answer. This Thesis studies dynamic markets under ambiguity and examines under what conditions information gets aggregated. Three particular perspectives are investigated: i) Does information get aggregated when traders are myopic and ambiguity averse? In the first Chapter it is proved that information gets aggregated only when a 'separable under ambiguity' security is traded. In case the security is not 'separable under ambiguity', then there exist markets in which information does not get aggregated. The class of 'separable under ambiguity' securities is proved to be non trivial. Finally, it is proved that even if the security is not 'separable under ambiguity', traders will reach an agreement about the price of the security. ii) Does information get aggregated when traders are strategic and ambiguity averse? By defining appropriately an equilibrium concept for infinite horizon games of incomplete information in a setting with ambiguity, it is proved that in a market with a 'separable under ambiguity' security information gets aggregated in every equilibrium in pure strategies. The second chapter concludes by proving that when the security is not 'separable under ambiguity', then there exists an equilibrium in which information does not get aggregated. iii) Are the previous theoretical predictions met in real life? In the third chapter a laboratory experiment is included. The experimental design follows the theoretical models of the first two chapters. The results of the experiment provide significant evidence in favor of the results of the first two chapters.
Supervisor: Galanis, Spyridon Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.720174  DOI: Not available
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