Strategic Trading in A Dynamic Noisy Market  

Oleh:

Vayanos, Dimitri

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 1 (2001), page 131-171.
Topik: trading; studies; portfolio performance; investment policy; mutual funds; securities markets; models
Fulltext: p 131.pdf (298.65KB)

Ketersediaan

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

Lihat Detail Induk

Isi artikel

The dynamic strategies of large traders with allocational motives have received comparatively less attention than their performance in the market. 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.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali