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Information Aggregation in Arrow-Debreu Markets: An Experiment

dc.contributor.authorChoo, L
dc.contributor.authorKaplan, TR
dc.contributor.authorZultan, R
dc.date.accessioned2017-10-13T11:40:41Z
dc.date.issued2017-10-27
dc.description.abstractStudies of experimental and betting markets have shown that markets are able to efficiently aggregate information dispersed over many traders. We study information aggregation in Arrow-Debreu markets using a novel information structure. Compared to previous studies, the information structure is more complex, allows for heterogeneity in information among traders – which provides insights into the way in which information is gradually disseminated in the market – and generates situations in which all traders hold identical beliefs over the traded assets’ values, thus providing a harsh stress test for belief updating. We find little evidence for information aggregation and dissemination in early rounds. Nonetheless, after traders gain experience with the market mechanism and structure, prices converge to reveal the true state of the world. Elicited post-market beliefs reveal that markets are able to efficiently aggregate dispersed information even if individual traders remain uninformed, consistent with the marginal trader hypothesis.en_GB
dc.identifier.citationPublished online 27 October 2017en_GB
dc.identifier.doi10.1007/s10683-017-9548-x
dc.identifier.urihttp://hdl.handle.net/10871/29824
dc.language.isoenen_GB
dc.publisherSpringer Verlag for Economic Science Associationen_GB
dc.rights© The Author(s) 2017. Open Access. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
dc.titleInformation Aggregation in Arrow-Debreu Markets: An Experimenten_GB
dc.typeArticleen_GB
dc.identifier.issn1386-4157
dc.descriptionThis is the author accepted manuscript. The final version is available from Springer Verlag via the DOI in this record.en_GB
dc.identifier.journalExperimental Economicsen_GB
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/


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© The Author(s) 2017. Open Access. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
Except where otherwise noted, this item's licence is described as © The Author(s) 2017. Open Access. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.