Securities Trading when Liquidity Providers are Informed Abstract We study securities trading when liquidity is provided by informed agents—either because dealers have superior access to market information or because informed traders exploit strategies involving limit orders. In the case of informed dealers, we show that dealers and informed traders profit more at the expense of uninformed liqu...

This paper studies the information transmission and the effect of ambiguous information and transaction cost on trading volume. We consider a market with risk-averse informed and uninformed investors with CARA utility function and the supply of the risky asset is random. In this model, all investors have ambiguous beliefs about the probability distribution of the risky asset payoff before the s...

We study top trading cycles in a two-sided matching environment (Abdulkadiroglu and Sonmez (2003)) under the assumption that individuals’ preferences and objects’ priorities are drawn iid uniformly. The distributions of agents’ preferences and objects’ priorities remaining after a given round of TTC depend nontrivially on the exact history of the algorithm up to that round (and so need not be u...

In a dynamic model of financial market trading multiple heterogeneously informed traders choose when to place orders. Better informed traders trade immediately, worse informed delay — even though they expect the public expectation to move against them. This behavior causes distinct intra-day patterns with decreasing (L-shaped) spreads and increasing (reverse L-shaped) volume and probability of ...

I present a simple model of informed trading in which asset values are derived from imperfectly competitive product markets and private information events occur at individual firms. The model predicts that informed traders may have incentives to make information-based trades in the stocks of competitors, especially when events occur at firms with large market shares. In the context of 759 earni...