Information aggregation in competitive markets

Lucas Siga () and Maximilian Mihm ()
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Lucas Siga: Division of Social Science, NYU Abu Dhabi
Maximilian Mihm: Division of Social Science, NYU Abu Dhabi

Theoretical Economics, 2021, vol. 16, issue 1

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

Keywords: Auctions; betweenness; competitive markets; information aggregation; rational expectations equilibrium (search for similar items in EconPapers)
JEL-codes: C72 D44 D82 D83 G14 (search for similar items in EconPapers)
Date: 2021-01-15
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