Bidding models and repeated games with incomplete information: a survey

With the help of a simplified model of multistage bidding with asymmetrically informed agents De Meyer and Saley [17] demonstrate an idea of endogenous origin of Brownian component in the evolution of prices on stock markets: random price fluctuations may originate from strategic randomization of “insiders”. The model is reduced to a repeated game with incomplete information. The present paper contains a survey of multiple researches inspired by this pioneering paper.