We study voluntary information exchange widely observed among traders in financial
markets. In the context of a standard market microstructure model, based on Kyle (1984,
1985), we show that disparately informed traders are better off by exchanging information
provided that they are risk averse and the market is opaque. For some parameter values, the
equilibrium yields a prisoners' dilemma result in which traders hoard information even
though it is beneficial for them to exchange. In the presence of interpersonal costs, which …

Communication dilemma in speculative markets - ORA - Oxford University Research
Archive … Communication dilemma in speculative markets … Communication dilemma in
speculative markets. …