Information acquisition in double auctions

Tri Vi Dang

No 07-49, Papers from Sonderforschungsbreich 504

Abstract: This paper analyses information acquisition in the Reny and Perry (2006) type double auction environment and shows that an efficient and fully revealing equilibrium may fail to exist if information is endogenous and costly. As the number of traders increases, the equilibria are inefficient even though the information cost is very large. Because of endogenous noise trading, the price is also not fully revealing. This paper provides a strategic foundation for Grossman and Stiglitz (1980) and discusses some market microstructure implications.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:mnh:spaper:2519

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