Trading Information

37 Pages Posted: 15 Sep 2022

See all articles by Dmitry Orlov

Dmitry Orlov

University of Wisconsin School of Business

Andrzej Skrzypacz

Stanford University - Stanford Graduate School of Business

Pavel Zryumov

University of Rochester - Simon Business School

Date Written: August 31, 2022

Abstract

We analyze a class of dynamic games of information exchange between two players. Each agent possesses information about a binary state that is of interest to the other player and cares about the other player's actions. Preferences are additively separable over own and the other player's actions. We fully characterize the set of equilibrium payoffs that can be sustained in such games and construct equilibria that achieve those payoffs. We show that gradual information exchange dominates static (one-shot) communication. Moreover, the whole set of outcomes that Pareto-dominate static communication can be supported in equilibrium.

Keywords: Bayesian persuasion, stochastic games, real options.

JEL Classification: C73, D83

Suggested Citation

Orlov, Dmitry and Skrzypacz, Andrzej and Zryumov, Pavel, Trading Information (August 31, 2022). Available at SSRN: https://ssrn.com/abstract=4206078 or http://dx.doi.org/10.2139/ssrn.4206078

Dmitry Orlov (Contact Author)

University of Wisconsin School of Business ( email )

975 University Avenue
Madison, WI 53706
United States

HOME PAGE: http://https://wsb.wisc.edu/directory/faculty/dmitry-orlov

Andrzej Skrzypacz

Stanford University - Stanford Graduate School of Business ( email )

655 Knight Way
Stanford, CA 94305-5015
United States
650-736-0987 (Phone)
650-725-9932 (Fax)

Pavel Zryumov

University of Rochester - Simon Business School ( email )

Rochester, NY 14627
United States

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