Information Aggregation in Competitive Markets

55 Pages Posted: 19 Jul 2017 Last revised: 15 Dec 2018

See all articles by Lucas Siga

Lucas Siga

New York University (NYU) - Abu Dhabi

Maximilian Mihm

New York University (NYU) - Abu Dhabi

Date Written: December 9, 2018

Abstract

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

Keywords: Auction, Betweenness, Competitive Markets, Information Aggregation, Rational Expectations Equilibrium

JEL Classification: C72, D44, D82, D83, G14

Suggested Citation

Siga, Lucas and Mihm, Maximilian, Information Aggregation in Competitive Markets (December 9, 2018). Available at SSRN: https://ssrn.com/abstract=3002510 or http://dx.doi.org/10.2139/ssrn.3002510

Lucas Siga (Contact Author)

New York University (NYU) - Abu Dhabi ( email )

PO Box 129188
Abu Dhabi
United Arab Emirates

Maximilian Mihm

New York University (NYU) - Abu Dhabi ( email )

Abu Dhabi
United Arab Emirates

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