MET Seminar - Spyros Galanis (Durham)
| Dates: | 3 December 2025 |
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| Times: | 17:00 - 18:00 |
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| What is it: | Seminar |
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| Organiser: | School of Social Sciences |
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| Who is it for: | University staff, Current University students |
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Title: Information Aggregation with Costly Information Acquisition
Authors: Spyros Galanis & Sergei Mikhalishchev
Abstract: We study information aggregation in a dynamic trading model with partially informed traders. Ostrovsky 2012 showed that ‘separable’ securities aggregate information in all equilibria, however, determining whether a security is separable requires knowing the exact information structure of agents. To remedy this problem, we allow traders to acquire signals with cost ?, in every period. We show that ‘? separable securities’ characterize information aggregation and, as the cost decreases, almost all securities become ? separable, irrespective of the traders’ initial private information. Moreover, the switch to ? separability happens not gradually but discontinuously, hence even a small decrease in costs can result in a security aggregating information. We provide a complete classification of securities in terms of how well they aggregate information, which surprisingly depends only on their payoff structure.
Contact: sophie.kreutzkamp@manchester.ac.uk
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Williamson_4.08 Seminar Room
Williamson Building
Manchester
