Smooth Trading with Overconfidence and Market Power
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- Albert S Kyle & Anna A Obizhaeva & Yajun Wang, 2018. "Smooth Trading with Overconfidence and Market Power," Review of Economic Studies, Oxford University Press, vol. 85(1), pages 611-662.
References listed on IDEAS
- Alfonso Dufour & Robert F. Engle, 2000.
"Time and the Price Impact of a Trade,"
Journal of Finance,
American Finance Association, vol. 55(6), pages 2467-2498, December.
- Dufour, Alfonso & Engle, Robert F, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series qt62c0h04j, Department of Economics, UC San Diego.
- Martijn Cremers & Ankur Pareek, 2015. "Short-Term Trading and Stock Return Anomalies: Momentum, Reversal, and Share Issuance," Review of Finance, European Finance Association, vol. 19(4), pages 1649-1701.
- Wang, Jiang, 1994. "A Model of Competitive Stock Trading Volume," Journal of Political Economy, University of Chicago Press, vol. 102(1), pages 127-168, February.
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- 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, vol. 29(04), pages 499-518, December.
- Songzi Du & Haoxiang Zhu, 2014. "Welfare and Optimal Trading Frequency in Dynamic Double Auctions," NBER Working Papers 20588, National Bureau of Economic Research, Inc.
- Darrell Duffie, 2010. "Presidential Address: Asset Price Dynamics with Slow-Moving Capital," Journal of Finance, American Finance Association, vol. 65(4), pages 1237-1267, August.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2018. "Optimal Investment and Derivative Demand Under Price Impact," Papers 1804.09151, arXiv.org.
- Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Beliefs Aggregation and Return Predictability," Working Papers w0231, Center for Economic and Financial Research (CEFIR).
More about this item
Keywordsmarket microstructure; price impact; liquidity; transaction costs; double auctions; information aggregation; rational expectations; agreement-to-disagree; imperfect competition; Keynesian beauty contest; overconfidence; strategic trading; dynamic trading; flash crash;
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
- D43 - Microeconomics - - Market Structure, Pricing, and Design - - - Oligopoly and Other Forms of Market Imperfection
- D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
- G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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