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Information aggregation in competitive markets

Author

Listed:
  • Siga, Lucas

    (Division of Social Science, NYU Abu Dhabi)

  • Mihm, Maximilian

    (Division of Social Science, NYU Abu Dhabi)

Abstract

We study when equilibrium prices can aggregate information in an auction market with a large population of traders. Our main result identifies a property of information---the betweenness property---that is both necessary and sufficient for information aggregation. The characterization provides novel predictions about equilibrium prices in complex, multidimensional environments.

Suggested Citation

  • Siga, Lucas & Mihm, Maximilian, 2021. "Information aggregation in competitive markets," Theoretical Economics, Econometric Society, vol. 16(1), January.
    • Handle: RePEc:the:publsh:3559
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    File URL: http://econtheory.org/ojs/index.php/te/article/viewFile/20210161/29622/852
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    Citations

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    Cited by:

    1. Svetlana Kosterina, 2023. "Information structures and information aggregation in threshold equilibria in elections," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(2), pages 493-522, February.

    More about this item

    Keywords

    Auctions; betweenness; competitive markets; information aggregation; rational expectations equilibrium;
    All these keywords.

    JEL classification:

    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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