Strategic trading in a dynamic noisy market

• 成果类型: Article
• 署名作者: Vayanos, D
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00321
• 发表日期: 2001
• 页码: 131-171
• 关键词: large-block transactions; prices; INFORMATION; securities; patterns; BEHAVIOR; volume

摘要

This paper studies a dynamic model of a financial market with a strategic trader. In each period the strategic trader receives a privately observed endowment in the stock. He trades with competitive market makers to share risk. Noise traders are present in the market. After receiving a stock endowment, the strategic trader is shown to reduce his risk exposure either by selling at a decreasing rate over time or by selling and then buying back some of the shares sold. When the time between trades is small, the strategic trader reveals the information regarding his endowment very quickly.