Information Percolation in Large Markets

Joint Mathematical Finance Colloquium / Probability Seminar / Financial Engineering SeminarWhere: KAP 249When: FRIDAY, October 17, 2008, 3:30-4:30 PMTitle: "Information Percolation in Large Markets"Speaker: Prof. Darrell Duffie, Dean Witter Distinguished Professor of Finance, The Graduate School of Business, Stanford UniversityABSTRACT: We solve for the equilibrium dynamics of information sharing in an over-the-counter market with a large population. Each agent is endowed with signals regarding the likely outcome of a random variable of common concern. Individuals choose the effort with which they search for others from whom they can gather additional information. When two agents meet, they share their information. The information gathered is further shared at subsequent meetings, and so on. Equilibria exist in which agents search maximally until they acquire sufficient information precision, and then minimally. Endowing agents with public signals reduces information sharing and can in some cases decrease welfare.Professor Duffle is being hosted by the Economics Department, and is available to meet in DRB 212 between 10 and 11:30 AM.Information Contact: Amy Yung, Economics, amy@usc.edu; Prof. Jin Ma, Economics, jinma@usc.edu

Location: Kaprielian Hall (KAP) - 249

Audiences: Everyone Is Invited

Contact: Georgia Lum