This study develops a multiple-period, competitive rational expectations model for examining how competitive informed traders time their informed trading and how information is incorporated into prices. It is found that informed traders may choose either to trade early or late on their...

This article provides a model of order-submission strategy and price formation by analysing the optimal behaviour of risk-averse uninformed traders. According to our inference, the market dynamically adjusts the bid/ask at any moment to generate enough price improvement return in order to cover...

This paper presents an integrated microstructure model of risk-averse uninformed and informed traders for the evolution of liquidity. Under an actively monitoring market, limit order book as a medium for information and order strategies of traders, thereby market order arrival of informed...