私人信息资产市场的统计力学
Statistical mechanics of asset markets with private information
摘要：
市场上的交易者通常对资产回报有着广泛不同的私人信息。如果交易者的数量与决定资产收益的世界状态的数量相比足够大，那么资产的均衡价格可能会更准确地反映这一信息。我们研究从价格不能准确反映信息的市场到价格能准确反映信息的市场的转变。在竞争性市场中，这种转变突然发生，在状态数量与交易者数量之比的临界值处。纳什均衡市场的行为完全不同于竞争市场，即使在大经济体的限制。
英文摘要：
Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately if the number of traders is large enough compared to the number of the states of the world that determine the return of the asset. We study the transition from markets where prices do not reflect the information accurately into markets where it does. In competitive markets, this transition takes place suddenly, at a critical value of the ratio between number of states and number of traders. The Nash equilibrium market behaves quite differently from a competitive market even in the limit of large economies.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
