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Arbitrage and Walrasian Equilibrium in Economies with Limited Information

机译：信息有限的经济体中的套利与瓦尔拉斯均衡

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A model of arbitrage in a pure exchange economy with price-setting agents isgiven. A hierarchically structured trade economy is defined in which a hierarchical relation between two agents is assumed to have the institutional characteristics of a monopolistic relation between the dominating and the dominated agent. The authors assume agents can only observe their closest followers in the hierarchical structure. The situation is described by the local information structure. The agents form their conjectures about the consequences of their actions on the basis of their limited knowledge of (the state of) the economy. The authors derive a theorem on the existence of equilibrium which states that if the hierarchical structure is sufficiently rich to allow for enough possibilities for arbitrage, then equilibrium exists and each equilibrium is uniformly priced. Furthermore, in equilibrium agents that do not have a direct superior in the hierarchical structure they may find themselves being rationed. The authors prove a theorem which states that the Walrasian auctioneer can be replaced by a monopolist with neglectable initial endowments. The theorem is then used to prove a theorem on Walrasian equivalence.

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