Information Aggregation in Dynamic Markets With Strategic Traders
研究了有限数量部分知情战略交易者在动态市场中的信息聚合问题，发现对于可分离证券，信息总会聚合，市场价收敛于条件期望；对于不可分离证券，存在信息不聚合的均衡。
This paper studies information aggregation in dynamic markets with a finite number of partially informed strategic traders. It shows that, for a broad class of securities, information in such markets always gets aggregated. Trading takes place in a bounded time interval, and in every equilibrium, as time approaches the end of the interval, the market price of a "separable" security converges in probability to its expected value conditional on the traders' pooled information. If the security is "non-separable," then there exists a common prior over the states of the world and an equilibrium such that information does not get aggregated. The class of separable securities includes, among others, Arrow–Debreu securities, whose value is 1 in one state of the world and 0 in all others, and "additive" securities, whose value can be interpreted as the sum of traders' signals.