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Bullish/Bearish Strategies of Trading: A Nonlinear Equilibrium

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  • Dridi, Ramdan
  • Germain, Laurent
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    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 39 (2004)
    Issue (Month): 04 (December)
    Pages: 873-886

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    Handle: RePEc:cup:jfinqa:v:39:y:2004:i:04:p:873-886_00

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    1. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, Elsevier, vol. 31(3), pages 319-379, June.
    2. Kim, Sok Tae & Lin, Ji-Chai & Slovin, Myron B., 1997. "Market Structure, Informed Trading, and Analysts' Recommendations," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 32(04), pages 507-524, December.
    3. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, American Finance Association, vol. 50(5), pages 1655-89, December.
    4. Grossman, Sanford J, 1976. "On the Efficiency of Competitive Stock Markets Where Trades Have Diverse Information," Journal of Finance, American Finance Association, American Finance Association, vol. 31(2), pages 573-85, May.
    5. Kyle, Albert S, 1989. "Informed Speculation with Imperfect Competition," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 56(3), pages 317-55, July.
    6. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
    7. Foster, F Douglas & Viswanathan, S, 1990. "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(4), pages 593-624.
    8. Subrahmanyam, Avanidhar, 1991. "Risk Aversion, Market Liquidity, and Price Efficiency," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 4(3), pages 416-41.
    9. Rochet, Jean-Charles & Vila, Jean-Luc, 1994. "Insider Trading without Normality," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 61(1), pages 131-52, January.
    10. Foster, F. Douglas & Viswanathan, S., 1994. "Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 29(04), pages 499-518, December.
    11. Hasbrouck, Joel, 1988. "Trades, quotes, inventories, and information," Journal of Financial Economics, Elsevier, Elsevier, vol. 22(2), pages 229-252, December.
    12. Alon Brav & Reuven Lehavy, 2003. "An Empirical Analysis of Analysts' Target Prices: Short-term Informativeness and Long-term Dynamics," Journal of Finance, American Finance Association, American Finance Association, vol. 58(5), pages 1933-1968, October.
    13. Kempf, Alexander & Korn, Olaf, 1999. "Market depth and order size1," Journal of Financial Markets, Elsevier, Elsevier, vol. 2(1), pages 29-48, February.
    14. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, Econometric Society, vol. 53(6), pages 1315-35, November.
    15. Foster, F Douglas & Viswanathan, S, 1993. " Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models," Journal of Finance, American Finance Association, American Finance Association, vol. 48(1), pages 187-211, March.
    16. Holden, Craig W & Subrahmanyam, Avanidhar, 1992. " Long-Lived Private Information and Imperfect Competition," Journal of Finance, American Finance Association, American Finance Association, vol. 47(1), pages 247-70, March.
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    Cited by:
    1. Han N. Ozsoylev & Shino Takayama, 2005. "Price, Trade Size, and Information Revelation in Multi-Period Securities Markets," OFRC Working Papers Series, Oxford Financial Research Centre 2005fe10, Oxford Financial Research Centre.
    2. Lo, Ingrid & Sapp, Stephen G., 2010. "Order aggressiveness and quantity: How are they determined in a limit order market?," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 20(3), pages 213-237, July.

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