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Stock market dynamics with rational liquidity traders

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  • Massoud, Nadia
  • Bernhardt, Dan

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File URL: http://www.sciencedirect.com/science/article/B6VHN-3XXCYVG-2/2/ec1a50f9f6f523c5dc352c79e3c8edf1
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 2 (1999)
Issue (Month): 4 (November)
Pages: 359-389

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Handle: RePEc:eee:finmar:v:2:y:1999:i:4:p:359-389

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Web page: http://www.elsevier.com/locate/finmar

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References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
  2. Dan Bernhardt & Eric Hughson, 1993. "Splitting Orders," Working Papers 888, Queen's University, Department of Economics.
  3. Spiegel, Matthew & Subrahmanyam, Avanidhar, 1992. "Informed Speculation and Hedging in a Noncompetitive Securities Market," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 307-29.
  4. Brooks, Raymond M, 1994. "Bid-Ask Spread Components around Anticipated Announcements," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 17(3), pages 375-86, Fall.
  5. Foster, F Douglas & Viswanathan, S, 1996. " Strategic Trading When Agents Forecast the Forecasts of Others," Journal of Finance, American Finance Association, vol. 51(4), pages 1437-78, September.
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Cited by:
  1. Sherrill Shaffer, 2011. "Strategic risk aversion," Applied Financial Economics, Taylor & Francis Journals, vol. 21(13), pages 949-956.
  2. Baruch, Shmuel, 2002. "Insider trading and risk aversion," Journal of Financial Markets, Elsevier, vol. 5(4), pages 451-464, October.
  3. Chanwoo Noh & Sungsub Choi, 2009. "Strategic Trading of Informed Trader with Monopoly on Short- and Long-Lived Information," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 351-365, November.
  4. Kervel, V.L. van, 2013. "Competition between stock exchanges and optimal trading," Open Access publications from Tilburg University urn:nbn:nl:ui:12-5663709, Tilburg University.

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