{"id":"https://openalex.org/W1522094730","doi":"https://doi.org/10.3982/ecta8479","title":"Information Aggregation in Dynamic Markets With Strategic Traders","display_name":"Information Aggregation in Dynamic Markets With Strategic Traders","publication_year":2012,"publication_date":"2012-01-01","ids":{"openalex":"https://openalex.org/W1522094730","doi":"https://doi.org/10.3982/ecta8479","mag":"1522094730"},"language":"en","primary_location":{"id":"doi:10.3982/ecta8479","doi":"https://doi.org/10.3982/ecta8479","is_oa":false,"landing_page_url":"https://doi.org/10.3982/ecta8479","pdf_url":null,"source":{"id":"https://openalex.org/S95464858","display_name":"Econometrica","issn_l":"0012-9682","issn":["0012-9682","1468-0262"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","dongbi-a","doyens","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Econometrica","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5032853617","display_name":"Michael Ostrovsky","orcid":"https://orcid.org/0000-0002-4670-3348","observed_orcids":["https://orcid.org/0000-0002-4670-3348"]},"institutions":[{"id":"https://openalex.org/I1286498122","display_name":"Hoover Institution","ror":"https://ror.org/04ce9mt19","country_code":"US","type":"facility","lineage":["https://openalex.org/I1286498122"]},{"id":"https://openalex.org/I97018004","display_name":"Stanford University","ror":"https://ror.org/00f54p054","country_code":"US","type":"education","lineage":["https://openalex.org/I97018004"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Michael Ostrovsky","raw_affiliation_strings":["Graduate School of Business, Stanford University, Stanford, CA 94305, U.S.A.; ostrovsky@gsb.stanford.edu","I am grateful to Jeremy Bulow, Yeon-Koo Che, Peter DeMarzo, Yossi Feinberg, Emir Kamenica, Yair Livne, George Mailath, Konstantin Makarychev, Yury Makarychev, Stephen Morris, Sergey Norin, Marek Pycia, Philip Reny, Rahul Sami, Michael Schwarz, Costis Skiadas, Robert Wilson, Bumin Yenmez, and the co-editor and anonymous referees for helpful comments, suggestions, and discussions. I am grateful to the Hoover Institution for its hospitality during the year when the first draft of this paper was completed, and to the NSF for financial support","Graduate School of Business, Stanford University, Stanford, CA 94305, U.S.A.;"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Graduate School of Business, Stanford University, Stanford, CA 94305, U.S.A.; ostrovsky@gsb.stanford.edu","institution_ids":["https://openalex.org/I97018004"]},{"raw_affiliation_string":"I am grateful to Jeremy Bulow, Yeon-Koo Che, Peter DeMarzo, Yossi Feinberg, Emir Kamenica, Yair Livne, George Mailath, Konstantin Makarychev, Yury Makarychev, Stephen Morris, Sergey Norin, Marek Pycia, Philip Reny, Rahul Sami, Michael Schwarz, Costis Skiadas, Robert Wilson, Bumin Yenmez, and the co-editor and anonymous referees for helpful comments, suggestions, and discussions. I am grateful to the Hoover Institution for its hospitality during the year when the first draft of this paper was completed, and to the NSF for financial support","institution_ids":["https://openalex.org/I1286498122"]},{"raw_affiliation_string":"Graduate School of Business, Stanford University, Stanford, CA 94305, U.S.A.;","institution_ids":["https://openalex.org/I97018004"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5032853617"],"corresponding_institution_ids":["https://openalex.org/I1286498122","https://openalex.org/I97018004"],"apc_list":{"value":5290,"currency":"USD","value_usd":5290},"apc_paid":null,"fwci":37.8752,"has_fulltext":false,"cited_by_count":126,"citation_normalized_percentile":{"value":0.99708714,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":100},"biblio":{"volume":"80","issue":"6","first_page":"2595","last_page":"2647"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.47360000014305115,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.47360000014305115,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.26510000228881836,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11031","display_name":"Game Theory and Applications","score":0.20509999990463257,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/information-aggregation","display_name":"information aggregation","score":0.9980000257492065},{"id":"https://openalex.org/keywords/dynamic-markets","display_name":"dynamic markets","score":0.6240000128746033},{"id":"https://openalex.org/keywords/incomplete-information","display_name":"incomplete information","score":0.6629999876022339},{"id":"https://openalex.org/keywords/common-prior","display_name":"common prior","score":0.8399999737739563},{"id":"https://openalex.org/keywords/arrow-debreu-securities","display_name":"Arrow-Debreu securities","score":0.9129999876022339}],"concepts":[{"id":"https://openalex.org/C2780339515","wikidata":"https://www.wikidata.org/wiki/Q3074698","display_name":"Arrow","level":2,"score":0.6078109741210938},{"id":"https://openalex.org/C70710897","wikidata":"https://www.wikidata.org/wiki/Q680081","display_name":"Separable space","level":2,"score":0.5592963695526123},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.5537984371185303},{"id":"https://openalex.org/C2778067643","wikidata":"https://www.wikidata.org/wiki/Q166507","display_name":"Interval (graph theory)","level":2,"score":0.5397046804428101},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5047975778579712},{"id":"https://openalex.org/C2777212361","wikidata":"https://www.wikidata.org/wiki/Q5127848","display_name":"Class (philosophy)","level":2,"score":0.4914346933364868},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.45849835872650146},{"id":"https://openalex.org/C34388435","wikidata":"https://www.wikidata.org/wiki/Q2267362","display_name":"Bounded function","level":2,"score":0.4413466155529022},{"id":"https://openalex.org/C2986046992","wikidata":"https://www.wikidata.org/wiki/Q16773055","display_name":"Information aggregation","level":2,"score":0.4184546172618866},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4132218360900879},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.39430391788482666},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.18789753317832947},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.17936527729034424},{"id":"https://openalex.org/C114614502","wikidata":"https://www.wikidata.org/wiki/Q76592","display_name":"Combinatorics","level":1,"score":0.10032713413238525},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.0},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.3982/ecta8479","doi":"https://doi.org/10.3982/ecta8479","is_oa":false,"landing_page_url":"https://doi.org/10.3982/ecta8479","pdf_url":null,"source":{"id":"https://openalex.org/S95464858","display_name":"Econometrica","issn_l":"0012-9682","issn":["0012-9682","1468-0262"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","dongbi-a","doyens","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Econometrica","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:ecm:emetrp:v:80:y:2012:i:6:p:2595-2647","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.3982/ECTA8479","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W1437213286","https://openalex.org/W3149432069","https://openalex.org/W2083151571","https://openalex.org/W2011564139","https://openalex.org/W102771113","https://openalex.org/W2403473672","https://openalex.org/W1901793333","https://openalex.org/W2460650438","https://openalex.org/W2467911613","https://openalex.org/W1973761269"],"abstract_inverted_index":{"This":[0],"paper":[1],"studies":[2],"information":[3,26,95],"aggregation":[4],"in":[5,27,36,42,61,114,122],"dynamic":[6],"markets":[7,29],"with":[8],"a":[9,21,37,57,81],"finite":[10],"number":[11],"of":[12,24,50,56,87,102,117,136],"partially":[13],"informed":[14],"strategic":[15],"traders.":[16],"It":[17],"shows":[18],"that,":[19],"for":[20],"broad":[22],"class":[23,101],"securities,":[25,109,127],"such":[28,93],"always":[30],"gets":[31],"aggregated.":[32,99],"Trading":[33],"takes":[34],"place":[35],"bounded":[38],"time":[39,46],"interval,":[40,52],"and":[41,90,120,125],"every":[43],"equilibrium,":[44],"as":[45,133],"approaches":[47],"the":[48,51,53,69,74,85,88,118,134],"end":[49],"market":[54],"price":[55],"\u201cseparable\u201d":[58],"security":[59,75],"converges":[60],"probability":[62],"to":[63],"its":[64],"expected":[65],"value":[66,111,129],"conditional":[67],"on":[68],"traders'":[70,137],"pooled":[71],"information.":[72],"If":[73],"is":[76,112],"\u201cnon-separable,\u201d":[77],"then":[78],"there":[79],"exists":[80],"common":[82],"prior":[83],"over":[84],"states":[86],"world":[89,119],"an":[91],"equilibrium":[92],"that":[94],"does":[96],"not":[97],"get":[98],"The":[100],"separable":[103],"securities":[104],"includes,":[105],"among":[106],"others,":[107,124],"Arrow\u2013Debreu":[108],"whose":[110,128],"1":[113],"one":[115],"state":[116],"0":[121],"all":[123],"\u201cadditive\u201d":[126],"can":[130],"be":[131],"interpreted":[132],"sum":[135],"signals.":[138]},"counts_by_year":[{"year":2026,"cited_by_count":8},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":9},{"year":2020,"cited_by_count":10},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":9},{"year":2017,"cited_by_count":11},{"year":2016,"cited_by_count":8},{"year":2015,"cited_by_count":11},{"year":2014,"cited_by_count":25},{"year":2013,"cited_by_count":10},{"year":2012,"cited_by_count":4}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2025-10-10T00:00:00"}