Information and trading targets in a dynamic market equilibrium

• 成果类型: Article
• 署名作者: Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J.
• 署名单位: Ulsan National Institute of Science & Technology (UNIST); Rutgers University System; Rutgers University New Brunswick; Carnegie Mellon University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.11.003
• 发表日期: 2019
• 页码: 22-49
• 关键词: Order-splitting; Parent and child orders; Optimal order execution; Portfolio rebalancing; Market microstructure

摘要

This paper describes equilibrium interactions between dynamic portfolio rebalancing given a private end-of-day trading target and dynamic trading on long-lived private information. Order-splitting for portfolio rebalancing injects multifaceted dynamics in the market. These include autocorrelated order flow, sunshine trading, endogenous learning, and short-term speculation. The model has testable implications for intraday patterns in volume, liquidity, price volatility, order-flow autocorrelation, differences between informed-investor and re-balancer trading strategies, and for how these patterns comove with trading-target volatility and other market conditions. (C) 2018 Elsevier B.V. All rights reserved.