Continuous Auctions and Insider Trading
From MaRDI portal
Publication:3688054
DOI10.2307/1913210zbMath0571.90010OpenAlexW2050031929WikidataQ56225958 ScholiaQ56225958MaRDI QIDQ3688054
Publication date: 1985
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/e5c2867c103468402e4287147bf8e7ed2426de92
insider tradingsequential auctionssequential equilibriumspeculative marketcontinuous tradinginformational content of pricesvalue of private information
Economic growth models (91B62) Auctions, bargaining, bidding and selling, and other market models (91B26) General equilibrium theory (91B50)
Related Items
Risk aversion, imperfect competition, and long-lived information, Live fast, die young: equilibrium and survival in large economies, On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach, Insider trading with different risk attitudes, Market making with asymmetric information and inventory risk, Public information and uninformed trading: implications for market liquidity and price efficiency, Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange, Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model, Equilibrium effects of intraday order-splitting benchmarks, Adaptive basket liquidation, Duopoly signal jamming, Impulse control of pension fund contributions, in a regime switching economy, Strategic behavior in dynamic auctions, Dynamic price formation in a futures market via double auctions, Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error, Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks, Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis, Dynamic portfolio choice with frictions, Hierarchical information and the rate of information diffusion, The tradeoff between risk sharing and information production in financial markets, Stochastic analysis in finance and insurance. Abstracts from the workshop held May 4--10, 2014., Towards a self-consistent theory of volatility, Price crashes, information aggregation, and market-making, Learning from others: A welfare analysis, Overconfidence and market efficiency with heterogeneous agents, Effects of securities transaction taxes on depth and bid-ask spread, Liquidity risks on power exchanges: a generalized Nash equilibrium model, Dynamic equilibrium and volatility in financial asset markets, Gaming prediction markets: equilibrium strategies with a market maker, A revelation principle for competing mechanisms, Information aggregation in experimental asset markets in the presence of a manipulator, Informational cascades with endogenous prices: the role of risk aversion, Effects of financial innovations on market volatility when beliefs are heterogeneous, Dynamic portfolio choice and asset pricing with differential information, Behavioral heterogeneity in the option market, Insider trading with product differentiation, Reinsurance or securitization: the case of natural catastrophe risk, Trading dynamics in decentralized markets with adverse selection, Numerical analysis and computing for option pricing models in illiquid markets, Information, coordination, and market frictions: an introduction, Financial prices and information acquisition in large Cournot markets, Robustness of equilibrium in the Kyle model of informed speculation, Financial innovation and risk: the role of information, Simple games of market manipulation, The effect of option granting on executive stock purchases, The impact of order flow on the foreign exchange market: a copula approach, Optimal bidding in auctions of mixed populations of bidders, Liquidity and asset prices in rational expectations equilibrium with ambiguous information, Match-fixing under competitive odds, Asset pricing in large information networks, A two price theory of financial equilibrium with risk management implications, The dynamics of strategic information flows in stock markets, Does competitive pricing cause market breakdown under extreme adverse selection?, Does one Bayesian make a difference?, On the ingredients for bubble formation: informed traders and communication, Information precision and asymptotic efficiency of industrial markets, Optimal speculative trade among large traders, Front-running dynamics, Should short-term speculators be taxed, or subsidised?, Informational asymmetries and a multiplier effect on price correlation and trading, Kyle v. Kyle ('85 v. '89), A characterization of the distributions that imply existence of linear equilibria in the Kyle-model, Endogenous information acquisition with Cournot competition, Proprietary trading losses in banks: do banks invest sufficiently in control?, Optimal portfolio allocation with higher moments, Informational leverage: the problem of noise traders, The impact of illiquidity on the asset management of insurance companies, Information provision in financial markets, Price volatility without news about fundamentals, Trading volume in financial markets: an introductory review, Order book, financial markets, and self-organized criticality, The challenge in managing new financial risks: adopting an heuristic or theoretical approach, On uniqueness of equilibrium in the Kyle model, Inverse problems in Pareto's demand theory and their applications to analysis of stock market crises, A simple finite-difference stock market model involving intrinsic value, Representativeness of news and exchange rate dynamics, Dynamic trading policies with price impact, Option pricing with an illiquid underlying asset market, Is strategic behavior by a dominant trader with inside information always optimal!, Information aggregation in financial markets with career concerns, Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets, Overconfidence, public disclosure and long-lived information, Soft information and the stewardship value of accounting disclosure, Price dynamics on a stock market with asymmetric information, Speculative dynamics, Numerical analysis and simulation of option pricing problems modeling illiquid markets, Mean field games, The impact of saturday trading on stock returns: Evidence from the Tokyo stock exchange January 1976 to January 1989, Optimal investment with noise trading risk, Large investor trading impacts on volatility, Market liquidity as dynamic factors, Information identification in different networks with heterogeneous information sources, Nonlinear dynamics in Nasdaq dealer quotes, A model for a large investor trading at market indifference prices. II: Continuous-time case., Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy, Fat tails and volatility clustering in experimental asset markets, An equilibrium model of insider trading in continuous time, \(M\)-matrices and bounds for reliable transmission of information in communication systems and economic markets, Limit orders, asymmetric information, and the formation of asset prices with a computerized specialist, Is volatility the best predictor of market crashes?, Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets, Dynamic Learning and Market Making in Spread Betting Markets with Informed Bettors, The inelastic market hypothesis: a microstructural interpretation, Merton's Optimal Investment Problem with Jump Signals, Endogenous Noise Trackers in a Radner Equilibrium, Group Analysis of the Guéant and Pu Model of Option Pricing and Hedging, Optimization of Utility for “Larger Investor” with Anticipation, Brownian bridge with random length and pinning point for modelling of financial information, Inventory Effects on Daily Returns in Financial Markets, HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS, Liquidity fluctuations and the latent dynamics of price impact, Market making with inventory control and order book information, Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution, On detecting spoofing strategies in high-frequency trading, Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model, Social contagion and the survival of diverse investment styles, Moral hazard with excess returns, Liquidity in competitive dealer markets, Optimal dynamic regulation of carbon emissions market, Cross-impact of order flow imbalance in equity markets, The role of fleeting orders on option expiration days, Market-making with search and information frictions, ESTIMATION OF A HIGH-DIMENSIONAL COUNTING PROCESS WITHOUT PENALTY FOR HIGH-FREQUENCY EVENTS, Quantifying noise in survey expectations, Ambiguous price formation, Level-\(k\) predatory trading, Trading Constraints in Continuous-Time Kyle Models, A characterisation of cross-impact kernels, Power laws in market microstructure, Public disclosure and private information acquisition: a global game approach, Approximation and comparison of the empirical liquidity cost function for various futures contracts, COSTLY INFORMATION AND SOVEREIGN RISK, Backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces, Bridging stylized facts in finance and data non-stationarities, Kyle-back models with risk aversion and non-Gaussian beliefs, Scientific Methodology to Model Liquidity Risk in UCITS Funds with an Asset Liability Approach: A Global Response to Financial and Prudential Requirements, Price impact under heterogeneous beliefs and restricted participation, Signal-jamming in the frequency domain, Systematic staleness, Do fundamentals shape the price response? A critical assessment of linear impact models, Short selling, divergence of opinion and volatility in the corporate bond market, Dampening effect and market efficiency, The Multivariate Kyle Model: More is Different, Volatility modeling and prediction: the role of price impact, Co-impact: crowding effects in institutional trading activity, Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models, Assessing influential trade effects via high-frequency market reactions, Dynamic Leveraging–Deleveraging Games, Mean-Field Game Strategies for Optimal Execution, A STRATEGIC ANALYSIS OF SPECULATIVE TRADE IN A TWO-SIDED ASSET MARKET WITH INFORMATION DIVERSITY, INSIDER TRADING RULES AND PRICE FORMATION IN SECURITIES MARKETS: AN ENTROPY ANALYSIS OF STRATEGIC TRADING, INFORMED OPPORTUNISTIC TRADING AND PRICE OPTIMAL CONTROL, A learning market-maker in the Glosten–Milgrom model, OPTION PRICING IN MARKETS WITH INFORMED TRADERS, Conservatism bias in the presence of strategic interaction, Arbitrage-free interval and dynamic hedging in an illiquid market, Impact of meta-order in the Minority Game, EXPERTS' EARNING FORECASTS: BIAS, HERDING AND GOSSAMER INFORMATION, A comparison of transaction costs on Xetra and on Nasdaq, Utility maximization in an illiquid market, On Pricing Rules and Optimal Strategies in General Kyle--Back Models, OPTION PRICING WITH FEEDBACK EFFECTS, A test for volatility spillover with application to exchange rates, Pricing rules under asymmetric information, Existence of linear equilibria in the Kyle model with multiple informed traders, Bid-Ask Spread Modelling, a Perturbation Approach, TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS, A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback, Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data, A fully consistent, minimal model for non-linear market impact, Market impact as anticipation of the order flow imbalance, Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders, Spread component costs and stock trading characteristics in the Spanish Stock Exchange. Two flexible fractional response models, Testing Stability of Correlations Between Liquidity Proxies Derived from Intraday Data on the Warsaw Stock Exchange, Unveiling the relation between herding and liquidity with trader lead-lag networks, Unnamed Item, Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters, MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH, PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES, Inventory Management for High-Frequency Trading with Imperfect Competition, Optimal Investment with Transient Price Impact, Large stock price changes: volume or liquidity?, On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators, Market or limit orders?, Agent-based modelling in directional-change intrinsic time, The dynamics of ex-ante weighted spread: an empirical analysis, Information thermodynamics of financial markets: the Glosten–Milgrom model, A stationary Kyle setup: microfounding propagator models, Optimal Trading with Differing Trade Signals, INSIDER TRADING WITH TEMPORARY PRICE IMPACT, An information-based model of target stock price runup in the market for corporate control, Optimal liquidation in dark pools, Normally distributed high-frequency returns: a subordination approach, Reversal of Monday returns, Asymptotic Glosten--Milgrom Equilibrium, Call auction, continuous trading and closing price formation, PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME, An automated financial indices-processing scheme for classifying market liquidity regimes, PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING, A SIMPLE MODEL FOR THE NONEQUILIBRIUM DYNAMICS AND EVOLUTION OF A FINANCIAL MARKET, The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books, An unbiased autoregressive conditional intraday seasonal variance filtering process, The dynamic evolution of preferences, MODELING OF FINANCIAL MARKETS WITH INSIDE INFORMATION IN CONTINUOUS TIME, Trading volume in models of financial derivatives, Anticipative portfolio optimization under constraints and a higher interest rate for borrowing, Concentrated Equilibrium and Intraday Patterns in Financial Markets, Hidden Illiquidity with Multiple Central Counterparties, An agent-based model of corporate bond trading, Price impact and bursts in liquidity provision, Optimal order placement in limit order markets, Optimal execution with non-linear transient market impact, A behavioural model of investor sentiment in limit order markets, Execution in an aggregator, The role of volume in order book dynamics: a multivariate Hawkes process analysis, Last look, A GENERAL EQUILIBRIUM MODEL OF A MULTIFIRM MORAL-HAZARD ECONOMY WITH FINANCIAL MARKETS, Selloffs, bailouts, and feedback: can asset markets inform policy?, Insider trading and the short-swing profit rule, OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY, Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data, Optimal market dealing under constraints, Market based mechanisms for incentivising exchange liquidity provision, Learning about latent dynamic trading demand, Informational efficiency and welfare, Measuring market efficiency: the Shannon entropy of high-frequency financial time series, PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION, Relation between bid–ask spread, impact and volatility in order-driven markets, Trading against disorderly liquidation of a large position under asymmetric information and market impact, Introduction to financial economics, Liquidating illiquid collateral, Prospect theory and market quality, INSIDER TRADING AND VOLUNTARY DISCLOSURE, Price impact in Nash equilibria, INCORPORATING PRICE-RELEVANT INFORMATION BETWEEN QUOTES AND TRADES: A NEW MEASURE OF THE EFFECTIVE BID-ASK SPREAD, Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs, Statistical characteristics of price impact in high-frequency trading, Optimal investment in an illiquid market with search frictions and transaction costs, Risk-averse insider trading in multi-asset sequential auction markets, Performance-weighted ensembles of random forests for predicting price impact, Market impact with multi-timescale liquidity, Liquidity and the marginal value of information, VaR constrained asset pricing with relative performance, Two-period model of insider trading with correlated signals, Search and endogenous concentration of liquidity in asset markets, Optimal consumption and portfolio choice with ambiguity and anticipation, KYLE–BACK’S MODEL WITH A RANDOM HORIZON, From Walras’ auctioneer to continuous time double auctions: a general dynamic theory of supply and demand, Nonlinear price impact from linear models, Limit-order book resiliency after effective market orders: spread, depth and intensity, A model of optimal portfolio selection under liquidity risk and price impact, Voluntary information disclosure with heterogeneous beliefs, The effects of trade size and market depth on immediate price impact in a limit order book market, Identification of information networks in stock markets, Competitive market equilibrium under asymmetric information, Workup, Exchange rate dynamics in a target zone-A heterogeneous expectations approach, Underreaction to fundamental information and asymmetry in mispricing between bullish and bearish markets. An experimental study, Optimal Market Making in the Foreign Exchange Market, AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA, Tick size, price grids and market performance: stable matches as a model of market dynamics and equilibrium, Adaptive Execution: Exploration and Learning of Price Impact, Optimal Execution in a Market with Small Investors, Manipulating market sentiment, New moment estimators of the effective spread based on daily high and low prices, Optimal Control of Predictive Mean-Field Equations and Applications to Finance, Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market, Is stock liquidity transferred and upgraded in acquisitions? Evidence from liquidity synergies in US freeze-outs, Did long-memory of liquidity signal the European sovereign debt crisis?, Bidding models and repeated games with incomplete information: a survey, The distribution of information and the price efficiency of markets, Asset markets with insider trading disclosure rule and reselling constraint: an experimental analysis, The immediate price impact of trades on the Australian Stock Exchange, Institutionalization, delegation, and asset prices, Information on jump sizes and hedging, Concentrated trading and the survival of overconfident traders, Optimal execution with nonlinear impact functions and trading-enhanced risk, A computational view of market efficiency, On derivatives with illiquid underlying and market manipulation, Insider trading with correlation between liquidity trading and a public signal, A switching microstructure model for stock prices, Unnamed Item, Learning to Coordinate in Social Networks, Treasury bill auctions: do bidders' cost of funds and winning probability matter?, Realized kernels in practice: trades and quotes, Information aggregation in a financial market with general signal structure, Insider Trading in a Continuous Time Market Model, Kyle equilibrium under random price pressure, A model for a large investor trading at market indifference prices. I: Single-period case, RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY, A battle of informed traders and the market game foundations for rational expectations equilibrium, BIFURCATION AND CHAOS ANALYSIS IN A DISCRETE-DELAY DYNAMIC MODEL FOR A STOCK MARKET, Do supply and demand drive stock prices?, Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange, Limit order books, How efficiency shapes market impact, A liquidity-based model for asset price bubbles, The price impact of order book events: market orders, limit orders and cancellations, Hedging, arbitrage and optimality with superlinear frictions, Information linkages in a financial market with imperfect competition, The negative value of private information in illiquid markets, Strategic trading with information acquisition and long-memory stochastic liquidity, On the equilibrium of insider trading under information acquisition with long memory, Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book, Optimal investment with a noisy signal of future stock prices, Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading, Price impact equilibrium with transaction costs and TWAP trading, Modeling financial durations using penalized estimating functions, Path transformations for local times of one-dimensional diffusions, Informed speculation with k-level reasoning, Free lunch and arbitrage possibilities in a financial market model with an insider., A reputation game on cyber-security and cyber-risk calibration, The impact of systemic and illiquidity risk on financing with risky collateral, Why is equity order flow so persistent?, Rebalancing multiple assets with mutual price impact, Inconspicuousness and obfuscation: how large shareholders dynamically manipulate output and information for trading purposes, A theory of procyclical market liquidity, Linear Bayesian equilibrium in insider trading with a random time under partial observations, Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach, Optimal execution with price impact under cumulative prospect theory, Gaussian random bridges and a geometric model for information equilibrium, Bond prices under information asymmetry and a short rate with instantaneous feedback, Log-optimal and numéraire portfolios for market models stopped at a random time, Insider trading with penalties, Ex ante versus interim rationality and the existence of bubbles, What if we knew what the future brings? Optimal investment for a frontrunner with price impact, Emergence of correlations between securities at short time scales, Resiliency of the limit order book, Learning, information processing and order submission in limit order markets, The impact of reduced pre-trade transparency regimes on market quality, Government intervention through informed trading in financial markets, On the computation of LOT liquidity measure, Investor attention and market microstructure, Local mispricing and microstructural noise: a parametric perspective, Liquidity and volatility of stocks moved from the main market to the alternative investment market (AIM), Shareholder disputes and commonality in liquidity: evidence from the equity markets in China, Tail relation between return and volume in the US stock market: an analysis based on extreme value theory, Public disclosure, information leakage, and strategic trading, Co-existence of trend and value in financial markets: estimating an extended Chiarella model, Mixed-scale jump regressions with bootstrap inference, Market closures and cross-sectional stock returns, Risk aversion, public disclosure, and long-lived information, Estimating permanent price impact via machine learning, Linear inverse problems for Markov processes and their regularisation, Making money out of publicly available information, Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions, Optimal investment with inside information and parameter uncertainty, Asymmetric information and stock return cross-autocorrelations, Risk aversion, mandatory disclosure and the concealment of information, No-arbitrage commodity option pricing with market manipulation, Liquidity and volatility in the U.S. Treasury market, Statistical inferences for price staleness, Optimal liquidation under stochastic liquidity, Financial equilibrium with asymmetric information and random horizon, Rational panics and stock market crashes., Existence of linear strategy equilibrium in insider trading with partial observations, Partially informed noise traders, Insider trading equilibrium in a market with memory, Dynamic price discovery: transparency vs. information design, Overconfidence on public information, Strategic insider trading equilibrium: a filter theory approach, Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact, Financial markets with a large trader, Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application, Information-based trade, Informed manipulation., What is the value of knowing uninformed trades?, A simple model of market liquidity, Insider trading with correlated signals, Stock-based pay, liquidity, and the role of market making, Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory, Insider trading with memory under random deadline, Liquidity drops, An infinite-dimensional model of liquidity in financial markets, Optimal liquidation problem in illiquid markets, Price manipulation, dynamic informed trading, and the uniqueness of equilibrium in sequential trading, Aggregation and design of information in asset markets with adverse selection, Rational quantitative trading in efficient markets, Rational destabilization in a frictionless market, The time cost of information in financial markets, Sequential fair Stackelberg equilibria of linear strategies in risk-seeking insider trading, Biased learning creates overconfidence, A switching self-exciting jump diffusion process for stock prices, A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets, Equilibrium asset pricing with transaction costs, Learning from prices: information aggregation and accumulation in an asset market, On the anticipative nonlinear filtering problem and its stability, Asymmetric information, heterogeneous prior beliefs and market regulation, Liquidity shocks and equilibrium liquidity premia., Informed trading and the `leakage' of information, A model of secular migration from centralized to decentralized trade, Dynamic equilibrium of market making with price competition, Optimal long-term investment in illiquid markets when prices have negative memory, Snowballing private information, Learning (to disagree?) in large worlds, Robust pricing under strategic trading, New evidence on market response to public announcements in the presence of microstructure noise, Insider trading with a random deadline under partial observations: maximal principle method, The impact of public information on insider trading, Strategic effects between price-takers and non-price-takers, Updating awareness and information aggregation, Bitcoin daily price prediction through understanding blockchain transaction pattern with machine learning methods, On sticky bookmaking as a learning device in horse-racing betting markets, What drives intraday reversal? Illiquidity or liquidity oversupply?, An optimal transport problem with backward martingale constraints motivated by insider trading
