Information percolation with equilibrium search dynamics

DOI10.3982/ECTA8160MaRDI QIDQ3653233zbMATH OpenOpenAlexFDO

Authors Semyon Malamud, Gustavo Manso, Darrell Duffie

Publication date 21 December 2009

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0811.3023

zbMATH Keywords

learningequilibriumsearchinformation percolation

Mathematics Subject Classification ID

Economics of information (91B44) Special types of economic equilibria (91B52) Economic dynamics (91B55) Rationality and learning in game theory (91A26) Heterogeneous agent models (91B69)

Abstract: We solve for the equilibrium dynamics of information sharing in a large population. Each agent is endowed with signals regarding the likely outcome of a random variable of common concern. Individuals choose the effort with which they search for others from whom they can gather additional information. When two agents meet, they share their information. The information gathered is further shared at subsequent meetings, and so on. Equilibria exist in which agents search maximally until they acquire sufficient information precision, and then minimally. A tax whose proceeds are used to subsidize the costs of search improves information sharing and can in some cases increase welfare. On the other hand, endowing agents with public signals reduces information sharing and can in some cases decrease welfare.

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Cited in

(17)

• Price discovery in a matching and bargaining market with aggregate uncertainty
• Heterogeneous beliefs in over-the-counter markets
• Information percolation in segmented markets
• Searching for information
• Reprint of: ``Information percolation in segmented markets
• The relative contributions of private information sharing and public information releases to information aggregation
• An exposition to information percolation for the Ising model
• An optimistic search equilibrium
• Evolutionary investors' power-based game on networks
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• Partial differential equation models in macroeconomics
• Equilibria of dynamic games with many players: existence, approximation, and market structure
• The speed of sequential asymptotic learning
• An agent-based approach for time-series momentum and reversal
• Dynamics of information exchange in endogenous social networks
• Information, coordination, and market frictions: an introduction
• Market-making with search and information frictions

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