Robust Information Aggregation

Consider an investment problem with strategic complementarities and incomplete information about returns. This paper shows that investors aggregate their private information in equilibrium by trading a token and observing its market price over multiple rounds before making the investment decision. This result is robust to the information environment. The paper gives an explicit trading protocol that robustly implements information aggregation and establishes properties of all such trading equilibria: Agents encode their private information in terms of a finite algebraic basis that spans the set of equilibrium token prices. Finally, the paper discusses general implications of this result for privacy and implementation of robust information aggregation