CCFZ Research Seminar

Title: Information Percolation in Segmented Markets

Talk held by Professor Darrell Duffie (Stanford)

Time: May 9, 2012, 12:15-13:45h
Location: KOL-F-101, UZH Zurich, Rämistrasse 71 Map

Abstractof Presentation This talk will begin with a brief survey of policy issues facing over-the-counter markets, including price transparency, bilateral trade versus trade in “swap execution facilities,” and central clearing. Then, turning to the model and results, I will show how to calculate the equilibria of dynamic double-auction over-the-counter markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors are segmented into classes that differ with respect to information quality, including initial information precision as well as “market connectivity,” the expected frequency of their bilateral trading opportunities. I will characterize endogenous information acquisition and show how learning externalities affect information gathering incentives.
In particular, comparative statics for static and dynamic models may go in opposite
directions. Information acquisition can be lower in more “liquid” (active) dynamic

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