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Asymmetries of Information in Centralized Oder-Driven Markets

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Author Info
Boccard, N.
Calcagno, R.

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Abstract

We study the efficiency of the equilibrium price in a centralized, order-driven market where many asymmetrically informed traders are active for many periods.

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Publisher Info
Paper provided by Catholique de Louvain - Center for Operations Research and Economics in its series Papers with number 9935.

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Length: 33 pages
Date of creation: 1999
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Handle: RePEc:fth:louvco:9935

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Keywords: INFORMATION PRICING

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Find related papers by JEL classification:
G20 - Financial Economics - - Financial Institutions and Services - - - General
D20 - Microeconomics - - Production and Organizations - - - General

References listed on IDEAS
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  1. 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, Oxford University Press for Society for Financial Studies, vol. 3(4), pages 593-624. [Downloadable!] (restricted)
  2. Amihud, Yakov & Mendelson, Haim, 1987. " Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-53, July. [Downloadable!] (restricted)
  3. Vives Xavier, 1995. "The Speed of Information Revelation in a Financial Market Mechanism," Journal of Economic Theory, Elsevier, vol. 67(1), pages 178-204, October. [Downloadable!] (restricted)
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  4. Admati, Anat R & Pfleiderer, Paul, 1991. "Sunshine Trading and Financial Market Equilibrium," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 4(3), pages 443-81. [Downloadable!] (restricted)
  5. Bruno Biais & Pierre Hillion & Chester Spatt, 1999. "Price Discovery and Learning during the Preopening Period in the Paris Bourse," Journal of Political Economy, University of Chicago Press, vol. 107(6), pages 1218-1248, December. [Downloadable!] (restricted)
  6. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November. [Downloadable!] (restricted)
  7. Bhattacharya, Utpal & Spiegel, Matthew, 1991. "Insiders, Outsiders, and Market Breakdowns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 4(2), pages 255-82. [Downloadable!] (restricted)
  8. Spiegel, Matthew & Subrahmanyam, Avanidhar, 1992. "Informed Speculation and Hedging in a Noncompetitive Securities Market," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(2), pages 307-29. [Downloadable!] (restricted)
  9. Kyle, Albert S, 1989. "Informed Speculation with Imperfect Competition," Review of Economic Studies, Blackwell Publishing, vol. 56(3), pages 317-55, July. [Downloadable!] (restricted)
  10. Madhavan, Ananth, 1992. " Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-41, June. [Downloadable!] (restricted)
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