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  4. Information percolation in segmented markets (Reprinted from J Econ Theory, vol 153, pg 1-32, 2014)
 
research article

Information percolation in segmented markets (Reprinted from J Econ Theory, vol 153, pg 1-32, 2014)

Duffie, Darrell
•
Malamud, Semyon  
•
Manso, Gustavo
2015
Journal Of Economic Theory

We study equilibria of dynamic over-the-counter markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors differ with respect to information quality, including initial information precision, and also in terms of market "connectivity," the expected frequency of their bilateral trading opportunities. We characterize endogenous information acquisition and show how learning externalities affect information gathering incentives. More "liquid" markets lead to higher equilibrium information acquisition when the gains from trade and market duration are sufficiently large. On the other hand, for a small market duration, the opposite may occur if agents vary sufficiently in terms of their market connectivity. (C) 2014 Published by Elsevier Inc.

  • Details
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Type
research article
DOI
10.1016/j.jet.2014.11.014
Web of Science ID

WOS:000358469700016

Author(s)
Duffie, Darrell
Malamud, Semyon  
Manso, Gustavo
Date Issued

2015

Publisher

Elsevier

Published in
Journal Of Economic Theory
Volume

158

Start page

838

End page

869

Subjects

Over-the-counter markets

•

Information transmission

•

Learning

•

Search

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
SFI-SM  
Available on Infoscience
September 28, 2015
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/118979
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