Price crashes, information aggregation, and market-making
成果类型：
Article
署名作者：
Madrigal, V; Scheinkman, JA
署名单位：
University of Chicago
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1997.2261
发表日期：
1997
页码：
16-63
关键词：
摘要：
We present a model of market-making in which traders possess private and heterogeneous information, and the market-maker acts strategically to maximize profits. Thus, the market-maker must now consider that the prices he sets affect both the information he acquires (through the order flow) and the amount oi aggregated information he releases back to the market. We show that the equilibrium prier as a function of the order flow displays a discontinuity. This discontinuity can be interpreted as a price crash, since an arbitrarily small change in underlying market variables can lead to a large change in price. Bt this point, there is also a discontinuity in the information content of price, Journal of Economic Literature Classification Numbers: D82, D84, G14, G20. (C) 1997 Academic Press.