Belief-free price formation

• 成果类型: Article
• 署名作者: Horner, Johannes; Lovo, Stefano; Tomala, Tristan
• 署名单位: Yale University; Hautes Etudes Commerciales (HEC) Paris; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.11.004
• 发表日期: 2018
• 页码: 342-365
• 关键词: Financial market microstructure; Informed dealers; Price volatility; Belief-free equilibria

摘要

We analyze security price formation in a dynamic setting in which long-lived dealers repeatedly compete for the opportunity to trade with short-lived retail traders. We characterize equilibria in which dealers' pricing strategies are optimal irrespective of the private information that each dealer may possess. Thus, our model's predictions are robust to different specifications of the dealers' information structure. These equilibria reconcile, in a unified and parsimonious framework, price dynamics that are reminiscent of well-known stylized facts: excess price volatility, price to trading flow correlation, stochastic volatility and inventory-related trading. (C) 2017 Elsevier B.V. All rights reserved.