This paper describes price discovery and liquidity provision in a dynamic limit order market with asymmetric information and non-Markovian learning. Investors condition on information in both the current limit order book and also, unlike in previous re-search, on the prior order history when...

This paper describes equilibrium interactions between dynamic portfolio rebalancing given a private end-of-day trading target and dynamic trading on long-lived private information. Order-splitting for portfolio rebalancing injects multi-faceted dynamics in the market. These include...

We analyze the offering, asking, and granting of help or other benefits as a three-stage game with bilateral private information between a person in need of help and a potential help-giver. Asking entails the risk of rejection, which can be painful: since unawareness of the need can no longer be...

We apply a model of preferences for information to the domain of decision making under risk and ambiguity. An uncertain prospect exposes an individual to an information gap. Gambling makes the missing information more important, attracting more attention to the information gap. To the extent...

We analyze the offering, asking, and granting of help or other benefits as a three-stage game with bilateral private information between a person in need of help and a potential help-giver. Asking entails the risk of rejection, which can be painful: since unawareness of the need can no longer be...