Smooth Trading with Overconfidence and Market Power

被引：27
|
作者：
Kyle, Albert S. [1 ]
Obizhaeva, Anna A. [2 ]
Wang, Yajun [1 ]
机构：
[1] Univ Maryland, College Pk, MD 20742 USA
[2] New Econ Sch, Moscow, Russia
来源：
REVIEW OF ECONOMIC STUDIES | 2018年 / 85卷 / 01期
关键词：
Market microstructure; Price impact; Liquidity; Transaction costs; Double auctions; Information aggregation; Rational expectations; Agreement to disagree; Imperfect competition; Keynesian beauty contest; Overconfidence; Strategic trading; Dynamic trading; Flash crash; D8; D43; D47; G02; G14; IMPERFECT COMPETITION; PORTFOLIO CHOICE; INFORMED TRADERS; INFORMATION; VOLUME; TRANSACTIONS; FORECASTS; MOMENTUM; AUCTIONS; BEHAVIOR;
D O I：
10.1093/restud/rdx017
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We describe a symmetric continuous-time model of trading among relatively overconfident, oligopolistic informed traders with exponential utility. Traders agree to disagree about the precisions of their continuous flows of Gaussian private information. The price depends on a trader's inventory (permanent price impact) and the derivative of a trader's inventory (temporary price impact). More disagreement makes the market more liquid; without enough disagreement, there is no trade. Target inventories mean-revert at the same rate as private signals. Actual inventories smoothly adjust towards target inventories at an endogenous rate which increases with disagreement. Faster-than-equilibrium trading generates "flash crashes" by increasing temporary price impact. A "Keynesian beauty contest" dampens price fluctuations.
引用
收藏
页码：611 / 662
页数：52
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