Competitive Prices in Large Markets with Private Information

Siga and Mihm (2020) characterize the information environments where prices can aggregate information in a competitive auction market with an atomless population of traders. In this paper, we provide an explicit model of the large population where implications of the law of large numbers for aggregate demand and prices can be formally derived, and also show how the characterization result for a large market can be approximated with a sequence finite markets as the population size grows