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来源类型Working Paper
规范类型报告
DOI10.3386/w18451
来源IDWorking 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
URLhttps://www.nber.org/papers/w18451
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/576126
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GB/T 7714
Pierre Collin-Dufresne,Vyacheslav Fos. Insider Trading, Stochastic Liquidity and Equilibrium Prices. 2012.
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