We calculate equilibria of dynamic double-auction markets in which agents aredistinguished by their preferences and information. Over time, agents are privatelyinformed by bids and offers. Investors are segmented into groups that differ withrespect to characteristics determining information...

We calculate learning rates when agents are informed through both public andprivate observation of other agents’ actions. We provide an explicit solution forthe evolution of the distribution of posterior beliefs. When the private learningchannel is present, we show that convergence of the...

We solve for the equilibrium dynamics of information sharing in a large pop-ulation. Each agent is endowed with signals regarding the likely outcome of arandom variable of common concern. Individuals choose the effort with whichthey search for others from whom they can gather additional...

We present a model for the equilibrium movement of capital between markets.Two markets with symmetrically distributed risks are distinguished only by the levelsof capital invested in the two markets. That market with the greater amount of capitalearns lower conditional mean returns....