Theoretical Economics

Journal of the Econometric Society

Edited by: Federico Echenique • ISSN (e): 1555-7561 • ISSN (print): 1933-6837

Theoretical Economics: Jan, 2021, Volume 16, Issue 1

Information aggregation in competitive markets

https://doi.org/10.3982/TE3559
p. 161-196

Lucas Siga, Maximilian Mihm

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.


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