NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Nicolas S. Lambert

Graduate School of Business
Stanford University
655 Knight Way
Stanford, CA 94305
USA

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Institutional Affiliation: Stanford University

NBER Working Papers and Publications

August 2018Quadratic Games
with Giorgio Martini, Michael Ostrovsky: w24914
We study general quadratic games with multidimensional actions, stochastic payoff interactions, and rich information structures. We first consider games with arbitrary finite information structures. In such games, we show that there generically exists a unique equilibrium. We then extend the result to games with infinite information structures, under an additional assumption of linearity of certain conditional expectations. In that case, there generically exists a unique linear equilibrium. In both cases, the equilibria can be explicitly characterized in compact closed form. We illustrate our results by studying information aggregation in large asymmetric Cournot markets and the effects of stochastic payoff interactions in beauty contests. Our results apply to general games with linear bes...
October 2016Collective Choice in Dynamic Public Good Provision
with T. Renee Bowen, George Georgiadis: w22772
Two heterogeneous agents contribute over time to a joint project, and collectively decide its scope. A larger scope requires greater cumulative effort and delivers higher benefits upon completion. We show that the efficient agent prefers a smaller scope, and preferences are time-inconsistent: as the project progresses, the efficient (inefficient) agent’s preferred scope shrinks (expands). We characterize the equilibrium outcomes under dictatorship and unanimity, with and without commitment. We find that an agent’s degree of efficiency is a key determinant of control over project scopes. From a welfare perspective, it may be desirable to allocate decision rights to the inefficient agent.

Published: T. Renee Bowen & George Georgiadis & Nicolas S. Lambert, 2019. "Collective Choice in Dynamic Public Good Provision," American Economic Journal: Microeconomics, vol 11(1), pages 243-298. citation courtesy of

September 2014Strategic Trading in Informationally Complex Environments
with Michael Ostrovsky, Mikhail Panov: w20516
We study trading behavior and the properties of prices in informationally complex markets. Our model is based on the single-period version of the linear-normal framework of Kyle (1985). We allow for essentially arbitrary correlations among the random variables involved in the model: the value of the traded asset, the signals of strategic traders and competitive market makers, and the demand from liquidity traders. We show that there always exists a unique linear equilibrium, characterize it analytically, and illustrate its properties in a series of examples. We then use this characterization to study the informational efficiency of prices as the number of strategic traders becomes large. If liquidity demand is positively correlated (or uncorrelated) with the asset value, then prices in lar...

Published: Nicolas S. Lambert & Michael Ostrovsky & Mikhail Panov, 2018. "Strategic Trading in Informationally Complex Environments," Econometrica, Econometric Society, vol. 86(4), pages 1119-1157, July. citation courtesy of

 
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