Price manipulation, dynamic informed trading, and the uniqueness of equilibrium in sequential trading
نویسندگان
چکیده
We study the manipulation of prices in a dynamic version Glosten and Milgrom (1985) model with long-lived informed trader. clarify conditions under which unique equilibrium exists show that when is unique, bid ask are monotonically increasing functions market maker’s belief about value asset. also characterize situations this involves by Finally, we describe computational method to find equilibria model, simulation results confirm extend our theoretical findings.
منابع مشابه
Price Manipulation, Dynamic Informed Trading and Uniqueness of Equilibrium in a Sequential Trade Model∗
This paper extends the Glosten and Milgrom (1985) model of asset pricing with asymmetric information into a dynamic setting and presents a model of market price manipulation. The paper shows that there is a unique equilibrium and characterizes the equilibrium. It is shown that the nextperiod value function of the informed trader, who knows the terminal value of the asset, is strictly monotone i...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2021
ISSN: ['1879-1743', '0165-1889']
DOI: https://doi.org/10.1016/j.jedc.2021.104086