Dridi, Ramdan; Germain, Laurent - In: Journal of Financial and Quantitative Analysis 39 (2004) 04, pp. 873-886
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...