Informed traders and limit order markets

• 成果类型: Article
• 署名作者: Goettler, Ronald L.; Parlour, Christine A.; Rajan, Uday
• 署名单位: University of Chicago; University of California System; University of California Berkeley; University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.08.002
• 发表日期: 2009
• 页码: 67-87
• 关键词: Limit order market; informed traders; Endogenous information acquisition; Computational game

摘要

We consider a dynamic limit order market in which traders optimally choose whether to acquire information about the asset and the type of order to submit. We numerically solve for the equilibrium and demonstrate that the market is a volatility multiplier: prices are more volatile than the fundamental value of the asset. This effect increases when the fundamental value has high volatility and with asymmetric information across traders. Changes in the microstructure noise are negatively correlated with changes in the estimated fundamental value, implying that asset betas estimated from high-frequency data will be incorrect. (C) 2009 Published by Elsevier B.V.