TY - GEN
T1 - Strategic trading when information arrival displays time difference
AU - Zeng, Qingduo
AU - Liu, Shancun
AU - Chen, Binbin
N1 - Publisher Copyright:
© 2015 IEEE.
PY - 2015/7/17
Y1 - 2015/7/17
N2 - We consider two kinds of informed traders with early-informed traders and late-informed traders in a two-period market when information arrival displays time difference condition on persistent liquidity trading, under which assumptions strategic complementarity occurs and lead to two linear equilibria. It shows that early-informed traders trade more aggressively on the shared information than their private information when the precision of shared information is not very small, which is different from previous research, while in the second period they trade according to their signal precision. Furthermore, the precision of shared information has little effect on first period private trading intensity although it may have impact on second period price. Finally, the paper also identify that price movement is irrelevant to the shared information, which may behave like public information that has not been published.
AB - We consider two kinds of informed traders with early-informed traders and late-informed traders in a two-period market when information arrival displays time difference condition on persistent liquidity trading, under which assumptions strategic complementarity occurs and lead to two linear equilibria. It shows that early-informed traders trade more aggressively on the shared information than their private information when the precision of shared information is not very small, which is different from previous research, while in the second period they trade according to their signal precision. Furthermore, the precision of shared information has little effect on first period private trading intensity although it may have impact on second period price. Finally, the paper also identify that price movement is irrelevant to the shared information, which may behave like public information that has not been published.
KW - asymmetric information
KW - market microstructure
KW - multiple equilibria
UR - https://www.scopus.com/pages/publications/84945572862
U2 - 10.1109/CCDC.2015.7162870
DO - 10.1109/CCDC.2015.7162870
M3 - 会议稿件
AN - SCOPUS:84945572862
T3 - Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015
SP - 5303
EP - 5308
BT - Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 27th Chinese Control and Decision Conference, CCDC 2015
Y2 - 23 May 2015 through 25 May 2015
ER -