Asymmetries of information in centralized order-driven markets
AbstractWe study the efficiency of the equilibrium price in a centralized, orderdriven market where many asymmetrically informed traders are active for many periods. We show that asymmetries of information can lead to suboptimal information revelation with respect to the symmetric case. In particular, we assess that the more precise the information the higher the incentive to reveal it, and that the value of private information is related to the volume of exogenous trade present on the market. Moreover, we prove that any informed trader, whatever his information, reveals its private signal during an active phase of the market, concluding that long pre-opening phases are not effective as an information discovering device in the presence of strategic players.
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Bibliographic InfoPaper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 1999035.
Date of creation: 01 Jun 1999
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asymmetric information; pre-opening; insider trading;
Other versions of this item:
- Boccard, N. & Calcagno, R., 1999. "Asymmetries of Information in Centralized Order-Driven Markets," Open Access publications from Tilburg University urn:nbn:nl:ui:12-81187, Tilburg University.
- Boccard, N. & Calcagno, R., 1999. "Asymmetries of information in centralized order-driven markets," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1999016, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
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