Comparing the Robustness of Trading Systems to Higher-Order Uncertainty

Review of Economic Studies

Volumn 63, Issue 1, 1996, Pages 39-59

  Shin, Hyun Song ^a  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0037877786     PISSN: 00346527     EISSN: None     Source Type: Journal    
DOI: 10.2307/2298114     Document Type: Article

References (27)

1. ALLEN, B. (1981), "Generic Existence of Completely Revealing Equilibria for Economies with Uncertainty when Prices Convey Information", Econometrica, 49, 1173-1199.
2. ALLEN, B. (1982), "Approximate Equilibria in Microeconomic Rational Expectations Models", Journal of Economic Theory, 26, 261-278.
3. BIAIS, B. (1993), "Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets", Journal of Finance, 48, 157-185.
4. BULOW, J., GEANAKOPLOS, J. and KLEMPERER, P. (1985), "Multi-Market Oligopoly: Strategic Substitutes and Complements", Journal of Political Economy, 93, 488-511.
5. CARLSSON, H. and VAN DAMME, E. (1993), "Global Games and Equilibrium Selection", Econometrica, 61, 989-1018.
6. DUBEY, P., GEANAKOPLOS, J. and SHUBIK, M. (1987), "The Revelation of Information in Strategic Market Games: a Critique of Rational Expectations Equilibrium", Journal of Mathematical Economics, 16, 105-137.
7. GEANAKOPLOS, J. (1992), "Common Knowledge", Journal of Economic Perspectives, 6, 53-82.
8. GROSSMAN, S. J. and STIGLITZ, J. (1980), "On the Impossibility of Informationally Efficient Markets", American Economic Review. 70, 393-408.
9. HARSANYI, J. (1967), "Games with Incomplete Information Played by Bayesian Players, parts I, II, III", Management Science, 14, 159-182, 320-334, 486-502.
10. HELLWIG, M. (1980), "On the Aggregation of Information in Competitive Markets", Journal of Economic Theory, 22, 477-498.
11. JORDAN, J. (1982), "The Generic Existence of Rational Expectations Equilibrium in the Higher Dimensional Case", Journal Economic Theory, 26, 224-243.
12. KARLIN, S. and TAYLOR, H. (1981) A Second Course in Stochastic Processes (New York: Academic Press).
13. MADHAVAN, A. (1992), "Trading Mechanisms in Securities Markets", Journal of Finance, 47, 607-641.
14. MILGROM, P. and ROBERTS, J. (1990), "Rationalizability, Learning and Equilibrium in Games with Strategic Complementarities", Econometrica, 58, 1255-1278.
15. MONDERER, D. and SAMET, D. (1989), "Approximating Common Knowledge with Common Beliefs", Games and Economic Behavior, 1, 170-190.
16. MORRIS, S. (1992) "Acceptance Games and Protocols" (CARESS Discussion Paper No. 92-22, University of Pennsylvania).
17. MORRIS, S., POSTLEWAITE, A. and SHIN, H. S. (1993), "Depth of Knowledge and the Effect of Higher Order Uncertainty" (CARESS Discussion Paper No. 93-15, University of Pennsylvania) (Forthcoming in Economic Theory).
18. MORRIS, S., ROB, R., and SHIN, H. S. (1995), "p-Dominance and Belief Potential", Econometrica, 63, 145-158.
19. PAGANO, M. and RÖELL, A. (1992a), "Auction and Dealership Markets: What is the Difference?", European Economic Review, 36, 613-623.
20. PAGANO, M. and RÖELL, A. (1992b), "Transparency and Liquidity: a Comparison of Auction and Dealer Markets with Informed Trading" (mimeo, London School of Economics).
21. PAGANO. M. and RÖELL, A. (1993), "Auction Markets, Dealership Markets and Execution Risk", in V. Conti and R. Hamaui (eds.), Financial Markets' Liberalization and the Role of Banks (Cambridge: Cambridge University Press).
22. RADNER, R. (1968), "Competitive Equilibrium under Uncertainty", Econometrica, 36, 31-58.
23. RADNER, R. (1979), "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices", Econometrica, 47, 655-678.
24. SHAPLEY, L. and SHUBIK, M. (1977), "Trade Using One Commodity as a Means of Payment", Journal of Political Economy, 85, 937-968.
25. RUBINSTEIN, A. (1989), "The Electronic Mail Game: Strategic Behavior under Almost Common Knowledge", American Economic Review, 79, 385-391.
26. SHIN, H. S. and WILLIAMSON, T. (1992), "How Much Common Belief is Necessary for a Convention?" (CARESS Discussion Paper No. 92-32, University of Pennsylvania) (Forthcoming in Games and Economic Behavior).
27. SORIN, S. (1993), "On the Impact of an Event" (mimeo, Ecole Normale Superieure).