Common knowledge equilibrium of Boolean securities in distributed information market
arXiv:2002.09086 · doi:10.1016/j.amc.2020.125540
Abstract
We investigate common knowledge equilibrium of separable (or parity) and totally symmetric Boolean securities in distributed information market. We theoretically show that clearing price converges to the true value when a common prior probability distribution of information of each player satisfies some conditions.
14 pages