Georgy Chabakauri
Institution
London School of Economics
PhD Year
2009
G.Chabakauri@lse.ac.uk
FTG Membership
Member
Website
https://personal.lse.ac.uk/chabakau/
Featured Work
Apr 19, 2024
Informational Efficiency and Asset Prices in Large Markets
We study a noisy general rational expectations equilibrium in an economy with big trading data, populated by asymmetrically informed logarithmic investors. We show that the equilibrium can be either fully or partially revealing about macroeconomic shocks privately observed by informed investors, depending on the extent of information overlap across data sources. We also find that trades in derivative securities reveal substantial information about the shocks,...
