Updating Awareness and Information Aggregation

The ability of markets to aggregate information through prices is examined in a dy- namic environment with unawareness. We find that if all traders are able to minimally update their awareness when they observe a price that is counterfactual to their private information, they will eventually reach an agreement, thus generalising the result of Geanakoplos and Polemarchakis [1982]. Moreover, if the traded security is separable, then agreement is on the correct price and there is information aggregation, thus gen- eralizing the result of Ostrovsky [2012] for non-strategic traders. We find that a trader increases her awareness if and only if she is able to become aware of something that other traders are already aware of and, under a mild condition, never becomes aware of anything more. In other words, agreement is more the result of understanding each other, rather than being unboundedly sophisticated

Replication package for: "Information Aggregation Under Ambiguity: Theory and Experimental Evidence"

<p>The package contains the data and code to replicate all figures and tables in Galanis, Ioannou, and Kotronis (forthcoming), "Information Aggregation Under Ambiguity: Theory and Experimental Evidence", Review of Economic Studies.</p&gt

Replication package for: "Information Aggregation Under Ambiguity: Theory and Experimental Evidence"

The package contains the code to replicate all figures and tables in Galanis, Ioannou, and Kotronis (forthcoming), "Information Aggregation Under Ambiguity: Theory and Experimental Evidence", Review of Economic Studies