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Waiting for Trade in Markets with Aggregate Uncertainty

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  • Justus Preusser

Abstract

This paper studies a market in which a patient long-lived seller offers prices to short-lived buyers. A hidden state determines whether the buyers' common value exceeds the seller's reservation value, and all agents only have noisy signals. If the seller has commitment power, the seller waits for a buyer with the most favorable signal to arrive, and else exits the market. Using techniques for monotone decision problems, this waiting strategy is shown to be optimal for learning whether trade is efficient. Due to the interplay between the seller's and the buyers' information, the seller's decision to exit may be non-monotonic in the seller's information, and prices may be non-monotonic over time. Without commitment power, there is an equilibrium in which the seller also waits for a buyer with the most favorable signal, but the seller exits at inefficient times.

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  • Justus Preusser, 2025. "Waiting for Trade in Markets with Aggregate Uncertainty," Papers 2508.06132, arXiv.org, revised Sep 2025.
    • Handle: RePEc:arx:papers:2508.06132
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    References listed on IDEAS

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    5. Karlin, Samuel & Rinott, Yosef, 1980. "Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions," Journal of Multivariate Analysis, Elsevier, vol. 10(4), pages 467-498, December.
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