On information and competition in private value auctions

How much information does an auctioneer want bidders to have in a private value environment? We address this question using a novel approach to ordering information structures based on the property that in private value settings more information leads to a more disperse distribution of buyers’ updated expected valuations. We define the class of precision criteria following this approach and different notions of dispersion, and relate them to existing criteria of informativeness. Using supermodular precision, we obtain three results: (1) a more precise information structure yields a more efficient allocation; (2) the auctioneer provides less than the efficient level of information since more information increases bidder informational rents; (3) there is a strategic complementarity between information and competition, so that both the socially efficient and the auctioneer’s optimal choice of precision increase with the number of bidders, and both converge as the number of bidders goes to infinity.Auctions, Competition, Private Values, Informativeness Criteria

Where is the value in high frequency trading?.

We analyze the impact of high frequency trading in financial markets based on a model with three types of traders: liquidity traders, market makers, and high frequency traders. Our four main findings are: i) The price impact of the liquidity trades is higher in the presence of the high frequency trader and is increasing with the size of the trade. In particular, we show that the high frequency trader reduces (increases) the prices that liquidity traders receive when selling (buying) their equity holdings. ii) Although market makers also lose revenue to the high frequency trader in every trade, they are compensated for these losses by a higher liquidity discount. iii) High frequency trading increases the volatility of prices. iv) The volume of trades doubles as the high frequency trader intermediates all trades between the liquidity traders and market makers. This additional volume is a consequence of trades which are carefully tailored for surplus extraction and are neither driven by fundamentals nor is it noise trading. In equilibrium, high frequency trading and traditional market making coexist as competition drives down the profits for new high frequency traders while the presence of high frequency traders does not drive out traditional market makersHigh frequency traders; High frequency trading; Flash trading; Liquidity traders; Institutional investors; Market microstructure;

Causal assessment in finite extensive-form games

Two finite extensive-form games are empirically equivalent when the empirical distribution on action profiles generated by every behavior strategy in one can also be generated by an appropriately chosen behavior strategy in the other. This paper provides a characterization of empirical equivalence. The central idea is to relate a game's information structure to the conditional independencies in the empirical distributions it generates. We present a new analytical device, the influence opportunity diagram of a game, describe how such a diagram is constructed for a given extensive-form game, and demonstrate that it provides a complete summary of the information needed to test empirical equivalence between two games.Causality, structural uncertainty, extensive form games

Intertemporal Insurance

This paper develops a discrete-time general equilibrium model of insurance using standard techniques of intertemporal finance. The underlying source of uncertainty is modeled as a marked point process. The paper begins by characterizing Walrasian equilibrium on the event tree generated by the accident process. The corresponding Arrow-Debreu-Radner contingent-commodity prices allow the pricing of insurance contracts. A transformation of the underlying probability measure gives an alternative characterization of insurance contract prices plus accumulated payouts as martingales. A direct application of the usual dynamic spanning argument demonstrates that one insurance contract for each type of accident suffices, at least generically, to achieve market completeness. The theory is illustrated by a simple example in which consumers have Cobb-Douglas preferences and experience accidents at a rate which varies across individuals but remains constant over time, the traditional setting for much of insurance theory. This paper was presented at the Financial Institutions Center's May 1996 conference on "

Full insurance, asymmetric information and genetic testing

This paper extends previous resuls on optimal insurance trading in the presence of a stock market that allows continuous asset trading and substantial personal heterogeneity, and applies those results in a context of asymmetric information with references to the role of genetic testing in insurance markets. We find a novel and surprising result under symmetric information: agents may optimally prefer to purchase full insurance despite the presence of unfairly priced insurance contracts, and other assets which are correlated with insurance. Asymmetric information has a Hirschleifer-type effect which can be solved by suspending insurance trading. Nevertheless, agents can attain their first best allocations, which suggests that the practice of restricting insurance not to be contingent on genetic tests can be efficient.Insurance, asymmetric information, genetic testing, portfolio choice

Insurance with frequent trading: A dynamic analysis of efficient insurance markets

This paper extends existing insurance results on the type of insurance contracts needed for insurance market efficiency to a dynamic setting. It introduces continuosly open markets that allow for more efficient asset allocation. It also eliminates the role of preferences and endowments in the classification of risks, which is done primarily in terms of the actuarial properties of the underlying risk process. The paper further extends insurability to include correlated and catstrophic events. Under these very general conditions the paper defines a condition that determines whether a small number of standard insurance contracts (together with aggregate assets) suffice to complete markets or one needs to introduce such assets as mutual insurance.Risk sharing, insurance, complete markets, insurable risks

Information disclosure in optimal auctions

A celebrated result in auction theory is that the optimal reserve price in the standard private value setting does not depend on the number of bidders. We modify the framework by considering that the seller controls the accuracy with which bidders learn their valuations, and show that in such a case, the greater the number of bidders the more restrictive the reserve price. We also show that the auctioneer provides more information when using an optimal auction mechanism than when the object is always sold.Juan-José Ganuza gratefully acknowledges the support of the Barcelona GSE Research, the government of Catalonia, and the Spanish Ministry of Education and Science Through Project ECO 2011-28965. Jose Penalva acknowledges the support of the Spanish Ministry of Education and Science Through Project ECO 2012-36559

Characterization of strain-induced precipitation in Inconel 718 superalloy

© 2016 ASM International Inconel 718 presents excellent mechanical properties at high temperatures, as well as good corrosion resistance and weldability. These properties, oriented to satisfy the design requirements of gas turbine components, depend on microstructural features such as grain size and precipitation. In this work, precipitation-temperature-time diagrams have been derived based on a stress relaxation technique and the characterization of precipitates by scanning electron microscopy. By using this methodology, the effect of strain accumulation during processing on the precipitation kinetics can be determined. The results show that the characteristics of precipitation are significantly modified when plastic deformation is applied, and the kinetics are slightly affected by the amount of total plastic deformation.Peer ReviewedPostprint (author's final draft

El conocimiento-empírico en la investigación-acción: análisis de los aspectos epistemológicos

Este artículo analiza críticamente una de las líneas de investigación educativas que más influencia tiene hoy en día, especialmente en la definición del “nuevo modelo de educador”. El autor se centra en la delimitación y crítica de la epistemología subyacente en este tipo de investigación. Desarrolla la idea en tres pasos: en primer lugar, expone los parámetros teóricos de la investigación-acción; en segundo término, revisa críticamente sus postulados epistemológicos; y, por último, extrae las implicaciones educativas de esta epistemología.This article analyses critically one of the most influential views in pedagogical researches nowadays. This view has repercussion on a wide variety of pedagogical views (mainly, regarding the definition of a new model of teacher). The author focuses on delimitation and criticism of the epistemology in this kind of research. The idea is developed along these three steps: firstly, he points out the basic keystones in the inquiri-in-action; secondly, he analyses critically the epistemologycal aspects involved; and, finally, he draws the consequences regarding the problem of the education