Viable allocations of information in financial markets

We study, in the context of a financial market, allocations of information that are consistent with endogenous information acquisition. We focus on whether information is concentrated within a fraction of the market or is diffuse. The aggregation of information in prices tends to make signals more complementary than they would be if considered in isolation, favoring concentration of information. However, the ability to use some signals together with prices to predict other signals may increase the degree of substitutability among signals. We present conditions under which each of these effects is particularly strong.