| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18451 |
| 来源ID | Working Paper 18451 |
| Insider Trading, Stochastic Liquidity and Equilibrium Prices | |
| Pierre Collin-Dufresne; Vyacheslav Fos | |
| 发表日期 | 2012-10-11 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We extend Kyle's (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochastic. If noise trading volatility is mean-reverting, then the equilibrium price follows a multivariate 'stochastic bridge' process, which displays stochastic volatility. This is because insiders choose to optimally wait to trade more aggressively when noise trading activity is higher. In equilibrium, market makers anticipate this, and adjust prices accordingly. More private information is revealed when volatility is higher. In time series, insiders trade more aggressively, when measured price impact is lower. Therefore, execution costs to uninformed traders can be higher when price impact is lower. |
| 主题 | Microeconomics ; Market Structure and Distribution ; Economics of Information ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w18451 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576126 |
| 推荐引用方式 GB/T 7714 | Pierre Collin-Dufresne,Vyacheslav Fos. Insider Trading, Stochastic Liquidity and Equilibrium Prices. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18451.pdf（513KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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