Local Intermediation , Dynamic Information Aggregation , and Excessive Trading ∗ ( Incomplete : Comments are welcome )
نویسنده
چکیده
This paper presents a dynamic equilibrium model of information aggregation which occurs through locally intermediated trading in a large population. We analyze how dispersed information is aggregated over time, and how it affects allocations overtime. The model exhibits excess trading due to information aggregation. We show that in the absence of private signals, dynamic trading leads to the ex post effi cient allocation as the number of trading rounds increases. With private signals, information gets aggregated over time, but the allocation may diverge away from the effi cient allocation. In some cases, information aggregation can create excessive trading, increasing the dispersion of the allocation.
منابع مشابه
Excessive Trading: A Role of Local and Dynamic Learning∗ (Incomplete: Comments are welcome)
We present a model of excessive trading based on dynamic and local learning. We analyze how information is aggregated through local interactions, and how such a learning process affects allocations over time. In the absence of private information about the value of the traded asset, the allocation monotonically approaches the effi cient allocation over time. With dispersed private information, ...
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