Strategic trading and learning about liquidity
نویسندگان
چکیده
منابع مشابه
Strategic trading and learning about liquidity
Many practitioners point out that the speculative profits of institutional traders are eroded by the difficulty in gauging the price impact of their trades. In this paper, we develop a model of strategic trading where speculators face such a dilemma because of incomplete information about time-varying market liquidity. Unlike the competitive market makers that they trade against, informed trade...
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We study endogenous liquidity trading in a market with long-lived asymmetric information. We distinguish between public information, tractable information that can be acquired and intractable information that cannot be acquired. Besides information asymmetry and noise, the adverse-selection spread depends on the diffusion of intractable information and on the interest rate. With endogenous liqu...
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We appreciate helpful discussions with Jean-Paul Abraham, Jos Schmitt and participants at the 23 rd SUERF Colloquium. We acknowledge financial assistance from FWO-Vlaanderen under contracts G.0302.00 and G.0333.01.
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ژورنال
عنوان ژورنال: Journal of Financial Markets
سال: 2002
ISSN: 1386-4181
DOI: 10.1016/s1386-4181(02)00020-4