Information and Learning in Markets: The Impact of Market Microstructure Book

Introduction and Lecture Guide 1

References 12

1 Aggregation of Information in Simple Market Mechanisms: Large Markets 15

2 Aggregation of Information in Simple Market Mechanisms: How Large Is Large? 53

3 Rational Expectations and Supply Function Competition 78

4 Rational Expectations and Market Microstructure in Financial Markets 107

5 Strategic Traders in Financial Markets 156

6 Learning from Others and Herding 199

7 Dynamic Information Aggregation 248

8 Dynamic Rational Expectations Models in Competitive Financial Markets 276

9 Price and Information Dynamics in Financial Markets 330

10 Technical Appendix 369

Index 401