Information Aggregation in Dynamic Markets with Strategic Traders

This paper studies information aggregation in dynamic markets with partially informed strategic traders. A natural condition on traded securities and information structure, quot;separability,quot; is introduced. If a security is separable, information about its value always gets aggregated, for any prior distribution over the states of the world. If the security is non-separable, then there exists a prior such that information does not get aggregated. Special cases satisfying separability include Arrow-Debreu securities, whose value is equal to one in one state of the world and to zero in all others, and quot;additivequot; securities, whose value is equal to the sum of traders' signals