Bullish/Bearish Strategies of Trading: A Nonlinear Equilibrium
We study a financial market where risk-neutral traders are endowed with a signal that perfectly reveals the direction (but not the exact amount) of the liquidation value of a normally distributed risky asset. The impact of order flow on prices is nonlinear with a bullish/bearish information structure, which is broadly consistent with empirical evidence. Also, private information is revealed quicker than in a strategic oligopoly.
Year of publication: |
2004
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Authors: | Dridi, Ramdan ; Germain, Laurent |
Published in: |
Journal of Financial and Quantitative Analysis. - Cambridge University Press. - Vol. 39.2004, 04, p. 873-886
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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