Strategic Trading and Welfare in a Dynamic Market

DOI10.1111/1467-937X.00086MaRDI QIDQ4262871zbMATH OpenOpenAlexFDO

Authors Dimitri Vayanos

Publication date 4 June 2000

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-937x.00086

zbMATH Keywords

dynamic modelfinancial marketlarge agentstime between tradeswelfare loss due to strategic behaviour

Mathematics Subject Classification ID

Economic growth models (91B62) Stochastic models in economics (91B70) Trade models (91B60)

Recommendations

• Dynamic trading policies with price impact
• Strategic trading in informationally complex environments
• Information and strategic behavior
• Risk aversion, imperfect competition, and long-lived information

Cited in

(27)

• Optimal market thickness
• Allais' trading process and the dynamic evolution of a market economy
• Equilibrium effects of intraday order-splitting benchmarks
• What is the optimal trading frequency in financial markets?
• From Walras' auctioneer to continuous time double auctions: a general dynamic theory of supply and demand
• Inconspicuousness and obfuscation: how large shareholders dynamically manipulate output and information for trading purposes
• A multi-agent targeted trading equilibrium with transaction costs
• Strategic behavior in financial markets
• Influence of big traders on the stock market: theory and simulation
• Information and strategic behavior
• Equilibrium in risk-sharing games
• Arbitrage with financial constraints and market power
• Bargaining in small dynamic markets
• Risk aversion, imperfect competition, and long-lived information
• Price impact in Nash equilibria
• Information, market power and welfare
• Information precision and asymptotic efficiency of industrial markets
• Do supply and demand drive stock prices?
• Bilateral trading in divisible double auctions
• Learning about latent dynamic trading demand
• No-arbitrage, state prices and trade in thin financial markets
• Market selection
• Price impact under heterogeneous beliefs and restricted participation
• Dynamic trading policies with price impact
• Decentralized Trading, Strategic Behaviour and the Walrasian Outcome
• Price impact equilibrium with transaction costs and TWAP trading
• The effect of market power on risk-sharing

This page was built for publication: Strategic Trading and Welfare in a Dynamic Market

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4262871)