Uninformed traders strategic trading model and equilibrium pricing
Considering informed traders information endogenous production cost and uninformed traders strategic trading,this paper establishes a gamble model among market maker,informed and. uninformed traders using rational expectation idea,and gets the analytical form of the unique linear equilibrium in market. At the equilibrium,it studies the informed traders optimal information production cost,market liquidity and the expected returns of informed traders and analyzes the effect of endogenous information to the information content of price. The paper also proves that under certain circumstances,the increasing in the number of informed traders can even decrease information content of price and the increasing in the volatility of price may increase the information content of price.
financial market microstructure quote driven market strategic trading equilibrium pricing information content of price
Liu Shancun Song Yutao
School of Economics and Management,Beihang University,Beijing,China,100083
国际会议
The First International Conference on Management Innovation(ICMI 2007)(管理创新会议)
上海
英文
532-538
2007-06-04（万方平台首次上网日期，不代表论文的发表时间）