Information Percolation in Segmented Markets

Darrell Duffie, Semyon Malamud and Gustavo Manso
Additional contact information
Gustavo Manso: Sloan School of Business, MIT

No 10-09, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We calculate equilibria of dynamic double-auction markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors are segmented into groups that differ with respect to characteristics determining information quality, including initial infor- mation precision as well as market \connectivity," the expected frequency of their trading opportunities. Investors with superior information sources attain higher expected profits, provided their counterparties are unable to observe the qual- ity of those sources. If, however, the quality of bidders' information sources are commonly observable, then, under conditions, investors with superior information sources have lower expected profits.

Keywords: search; matching; double auctions; segmented markets; equilibrium; information; percolation (search for similar items in EconPapers)
JEL-codes: C62 C73 C78 D44 (search for similar items in EconPapers)
Pages: 86 pages
Date: 2010-03
References: Add references at CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
http://ssrn.com/abstract=1566964 (application/pdf)

Related works:
Journal Article: Information percolation in segmented markets (2014)
Working Paper: Information Percolation in Segmented Markets (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1009

Access Statistics for this paper

More papers in Swiss Finance Institute Research Paper Series from Swiss Finance Institute Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().