Information Percolation in Segmented Markets

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