Authors
Michael Ostrovsky
Publication date
2009/7/6
Book
Proceedings of the 10th ACM conference on Electronic commerce
Pages
253-254
Description
This paper studies information aggregation in dynamic markets with a finite number of partially informed strategic traders. It shows that for a broad class of securities, information in such markets always gets aggregated. Trading takes place in a bounded time interval, and in every equilibrium, as time approaches the end of the interval, the market price of a "separable" security converges in probability to its expected value based on the traders' pooled information.
Total citations
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Scholar articles
M Ostrovsky - Proceedings of the 10th ACM conference on Electronic …, 2009