The lion's share of this chapter is devoted to the construction of equilibria for mean field
games with a common noise. We develop a general two-step strategy for the search of weak …

This paper develops a new theory of fluctuations—one that helps accommodate the notions
of “animal spirits” and “market sentiment” in unique‐equilibrium, rational‐expectations …

Some booms in housing prices are followed by busts. Others are not. It is generally difficult
to find observable fundamentals that are useful for predicting whether a boom will turn into a …

An authoritative graduate textbook on information choice, an exciting frontier of research in
economics and finance Most theories in economics and finance predict what people will do …

ABSTRACT Over‐the‐counter (OTC) markets dominate trading in many asset classes. Will
electronic trading displace traditional OTC “voice” trading? Can electronic and voice …

This paper shows that the network of relationships between brokers and institutional
investors shapes information diffusion in the stock market. Central brokers gather …

I develop a search‐and‐bargaining model of endogenous intermediation in over‐the‐
counter markets. Unlike the existing work, my model allows for rich investor heterogeneity in …

We exhibit a natural environment, social learning among heterogeneous agents, where
even slight misperceptions can have a large negative impact on long‐run learning …

We solve for the equilibrium dynamics of information sharing in a large population. Each
agent is endowed with signals regarding the likely outcome of a random variable of common …

We develop a novel methodology to infer the amount of capital allocated to quantitative
equity arbitrage strategies. Using this methodology, which exploits time-variation in the cross …