G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8303
DP8303 Expectations, Liquidity, and Short-term Trading
Xavier Vives; Giovanni Cespa
发表日期2011-03-21
出版年2011
语种英语
摘要In a market with short term agents and heterogeneous information, when liquidity trading displays persistence, prices reflect average expectations about fundamentals and liquidity trading. Informed investors exploit a private learning channel to infer the demand of liquidity traders from the order flow to anticipate the evolution of the future aggregate demand for the stock. This yields multiple equilibria which can be ranked in terms of liquidity and informational effciency. Our results have implications for the impact of High Frequency Trading (HFT) on market quality and for the role of average expectations inasset pricing. We show that with persistence HFT can enhance informational efficiency and liquidity -- though creating an unstable equilibrium. In the equilibrium with high (low) informational effciency, prices are closer to (farther away from) fundamentals compared to consensus estimates.
主题Financial Economics
关键词Average expectations Beauty contest Expected returns Multiple equilibria Over-reliance on public information High frequency trading Momentum and reversal Price crash
URLhttps://cepr.org/publications/dp8303
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/537140
推荐引用方式
GB/T 7714
Xavier Vives,Giovanni Cespa. DP8303 Expectations, Liquidity, and Short-term Trading. 2011.
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