Competitive Prices in Large Markets with Private Information

16 Pages Posted: 9 Jul 2020

See all articles by Maximilian Mihm

Maximilian Mihm

New York University (NYU) - Abu Dhabi

Lucas Siga

New York University (NYU) - Abu Dhabi

Date Written: June 16, 2020

Abstract

Siga and Mihm (2020) characterize the information environments where prices can aggregate information in a competitive auction market with an atomless population of traders. In this paper, we provide an explicit model of the large population where implications of the law of large numbers for aggregate demand and prices can be formally derived, and also show how the characterization result for a large market can be approximated with a sequence finite markets as the population size grows.

Keywords: auctions, information aggregation, law of large numbers, markets

JEL Classification: D44, D82, G1

Suggested Citation

Mihm, Maximilian and Siga, Lucas, Competitive Prices in Large Markets with Private Information (June 16, 2020). Available at SSRN: https://ssrn.com/abstract=3628672 or http://dx.doi.org/10.2139/ssrn.3628672

Maximilian Mihm (Contact Author)

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

Abu Dhabi
United Arab Emirates

Lucas Siga

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

PO Box 129188
Abu Dhabi
United Arab Emirates

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