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We introduce an interactive market setup with sequential auctions whereagents receive variegated signals with a known deadline. The effects ofdifferential information and mutual learning on the allocation of overallprofit \& loss (P\&L) and the pace of price discovery are analysed. Wecharacterise the signal-based expected P\&L of agents based on explicitformulae for the directional quality of the trading signal, and study theoptimal trading pattern using dynamic programming and provided that there is acommon anticipation by agents of gains from trade. We find evidence in favourof exploiting new information whenever it arrives, and market efficiency. Briefextensions of the problem to risk-adjusted gains as well as risk-averse agentsare provided. We then introduce the `information-adjusted risk premium' andrecover the signal-based equilibrium price as the weighted average of thesignal-based individual prices with respect to the risk-aversion levels.

Time value of extra information against its timely value