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 Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-81187.
Date of creation: 1999
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Other versions of this item:
- BOCCARD, Nicolas & CALCAGNO, Riccardo, 1999. "Asymmetries of information in centralized order-driven markets," CORE Discussion Papers 1999035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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).
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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