Do Rational Traders Frenzy?

I develop a simple new model of strategic trade with endogenous timing, generalizaing Glosten and Milgrom (1985) : A competitive market maker faces n risk neutral traders with unit demands or suppliers. It is private information whether any given trader is either informed, with a heterogeneous informative signal about the asset payoff, or a pure noise trader planning to make a trade at a random time. The market is open for an exponential length of time.

MoreLess

Year of publication:	1996
Authors:	Smith, L
Institutions:	Economics Department, Massachusetts Institute of Technology (MIT)
Subject:	TRADE \| RISK \| INFORMATION \| DECISION MAKING \| UNCERTAINTY \| ECONOMIC MODELS

More details

Series:	Working papers.
Type of publication:	Book / Working Paper
Notes:	41 pages
Classification:	F1 - Trade ; D82 - Asymmetric and Private Information ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005450536