文档介绍：Prices, Price Processes, Volume and their Information
- A Survey of the Market Microstructure Literature -
Markus K. Brunnermeier 1
The London School of Economics 2
FMG Discussion Paper 270
First Version: February 15, 1997
This Version: September 1, 1998
1I am grateful for ments from Smita Bhatnagar, Margaret Bray, Douglas Gale,
Martin Hellwig, Thorsten Hens, David Hirshleifer, Dominik Hotz, John Hughes, Philip Kalmus,
Bob Nobay, SÄonje Reiche, Geo®rey Shuetrim, and Paolo Vitale. Any errors are my own. I appre-
ciate the hospitality extended to me by the Fuqua School of Business at Duke University during
the summer of 1997. I am thankful to the taxpayers in the European Union for their ¯nancial
support through the Marie Curie Fellowship (TMR-grant). Comments are very e.
2London School of Economics, Financial Markets Group, London WC2A 2AE, Tel.: +44-171-
955-68 94, FAX: +44-171-242-10 06, e-mail: .******@, :
2
This paper provides an up-to-date review and summary of the existing literature on the
informational aspects of price processes. mon feature of these models is that prices
re°ect information that is dispersed among many traders. The paper begins by contrast-
ing the Rational Expectation Equilibrium concept with the Bayesian Nash Equilibrium
concept, and then draws a connection between pleteness and information rev-
elation. The No-Speculation Theorem and the No-Trade Theorems are also explained.
The No-Trade Theorems describe circumstances where asymmetric information can lead
to market breakdown even though there are gains from trade. The paper also examines
situations under which bubbles can occur even when all traders are rational and forward
looking. The second part of the survey addresses CARA-Gaussian market microstructure
models. These models are classi¯ed into ¯ve groups. A distinction is drawn between limit
order models and market order models. These mo