Title :
Strategic trading when information arrival displays time difference
Author :
Zeng Qingduo ; Liu Shancun ; Chen Binbin
Author_Institution :
Sch. of Econ. & Manage., Beihang Univ., Beijing, China
Abstract :
We consider two kinds of informed traders with early-informed traders and late-informed traders in a two-period market when information arrival displays time difference condition on persistent liquidity trading, under which assumptions strategic complementarity occurs and lead to two linear equilibria. It shows that early-informed traders trade more aggressively on the shared information than their private information when the precision of shared information is not very small, which is different from previous research, while in the second period they trade according to their signal precision. Furthermore, the precision of shared information has little effect on first period private trading intensity although it may have impact on second period price. Finally, the paper also identify that price movement is irrelevant to the shared information, which may behave like public information that has not been published.
Keywords :
commerce; pricing; stock markets; early-informed traders; financial market; first period private trading intensity; information arrival; late-informed traders; linear equilibria; persistent liquidity trading; price movement; second period price; shared information; signal precision; strategic complementarity; strategic trading; time difference condition; two-period market; Analytical models; Economics; Investment; Microstructure; Noise measurement; Numerical models; Reactive power; asymmetric information; market microstructure; multiple equilibria;
Conference_Titel :
Control and Decision Conference (CCDC), 2015 27th Chinese
Conference_Location :
Qingdao
Print_ISBN :
978-1-4799-7016-2
DOI :
10.1109/CCDC.2015.7162870