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Information Percolation

Author

Listed:
  • Darrell Duffie
  • Gaston Giroux
  • Gustavo Manso

Abstract

We study the "percolation" of information of common interest through a large market as agents encounter and reveal information to each other over time. We provide an explicit solution for the dynamics of the cross-sectional distribution of posterior beliefs. We also show that convergence of the cross-sectional distribution of beliefs to a common posterior is exponential and that the rate of convergence does not depend on the size of the groups of agents that meet. The rate of convergence is merely the mean rate at which an individual agent is matched. (JEL D83)

Suggested Citation

  • Darrell Duffie & Gaston Giroux & Gustavo Manso, 2010. "Information Percolation," American Economic Journal: Microeconomics, American Economic Association, vol. 2(1), pages 100-111, February.
  • Handle: RePEc:aea:aejmic:v:2:y:2010:i:1:p:100-111
    Note: DOI: 10.1257/mic.2.1.100
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    Cited by:

    1. Andrei, Daniel & Cujean, Julien, 2017. "Information percolation, momentum and reversal," Journal of Financial Economics, Elsevier, vol. 123(3), pages 617-645.
    2. Duffie, Darrell & Malamud, Semyon & Manso, Gustavo, 2014. "Information percolation in segmented markets," Journal of Economic Theory, Elsevier, vol. 153(C), pages 1-32.
    3. Attanasi, Giuseppe & Centorrino, Samuele & Moscati, Ivan, 2016. "Over-the-counter markets vs. double auctions: A comparative experimental study," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 63(C), pages 22-35.
    4. Rosenthal, Dale W.R. & Thomas, Nordia Diana Marie, 2012. "Transact taxes in a price maker/taker market," MPRA Paper 40556, University Library of Munich, Germany.
    5. Duffie, Darrell & Malamud, Semyon & Manso, Gustavo, 2015. "Reprint of: Information percolation in segmented markets," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 838-869.
    6. Uslu, Semih, 2015. "Pricing and Liquidity in Decentralized Asset Markets," MPRA Paper 73901, University Library of Munich, Germany, revised 21 Sep 2016.
    7. Alain B'elanger & Gaston Giroux, 2012. "Information Percolation: Some General Cases with an Application to Econophysics," Papers 1202.5251, arXiv.org.
    8. Chague, Fernando & De-Losso, Rodrigo & De Genaro, Alan & Giovannetti, Bruno, 2017. "Well-connected short-sellers pay lower loan fees: A market-wide analysis," Journal of Financial Economics, Elsevier, vol. 123(3), pages 646-670.

    More about this item

    JEL classification:

    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness

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