| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20516 |
| 来源ID | Working Paper 20516 |
| Strategic Trading in Informationally Complex Environments | |
| Nicolas S. Lambert; Michael Ostrovsky; Mikhail Panov | |
| 发表日期 | 2014-09-18 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We study trading behavior and the properties of prices in informationally complex markets. Our model is based on the single-period version of the linear-normal framework of Kyle (1985). We allow for essentially arbitrary correlations among the random variables involved in the model: the value of the traded asset, the signals of strategic traders and competitive market makers, and the demand from liquidity traders. We show that there always exists a unique linear equilibrium, characterize it analytically, and illustrate its properties in a series of examples. We then use this characterization to study the informational efficiency of prices as the number of strategic traders becomes large. If liquidity demand is positively correlated (or uncorrelated) with the asset value, then prices in large markets aggregate all available information. If liquidity demand is negatively correlated with the asset value, then prices in large markets aggregate all information except that contained in liquidity demand. |
| 主题 | Microeconomics ; General Equilibrium ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w20516 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578188 |
| 推荐引用方式 GB/T 7714 | Nicolas S. Lambert,Michael Ostrovsky,Mikhail Panov. Strategic Trading in Informationally Complex Environments. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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