Dynamic Imperfectly Competitive Markets with Private Information

We study markets based on the uniform-price double auction with T periods and I traders who have private information about their demands. The model accommodates the heterogeneity in the traders' risk preferences, the statistics of outcomes they condition their demands on, and general interdependence in traders' valuations. We show that the traders' price impacts are sufficient statistics for traders' equilibrium demands, including inference coefficients. This allows a non-recursive equilibrium characterization which eliminates the information about the joint distribution of future prices that a recursive characterization would require. A trader optimizes with respect to a directional derivative. Equilibrium strategies depend on the entire history. In markets with heterogeneous traders, changes in transparency affect the traders' price impact and the distribution of risk among the traders. For any information structure, increasing transparency in early rounds increases efficiency provided that there are sufficiently many trading rounds; introducing sufficiently many rounds improves welfare