Imperfect Competition Among Informed Traders  

Oleh:

Willard, Gregory A. ; Cao, C. Henry ; Back, Kerry

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 5 (2000), page 2117-2156.
Topik: competition; studies; competition; stock brokers; mathematical models; securities trading
Fulltext: p 2117.pdf (209.12KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We analyze competiiton among informed traders in the continuous - time kyle (1985) model, as foster and viswanathan (1996) do in discrete time. We explicitly describe the unique linear equilibrium when signals are imperfectly correated and confirm the conjecture of holden and subbrahmanyam (1992) that there is no linear equilibrium when signals are imperfectly correlated. One result is that at some date, and at all dates thereafter, the market would have been more informationally efficient had there been a monopolist informed trader instead of competing traders. The relatively large amount of private information remaining near the end of trading causes the market to approach complete liquidity.

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