Information and trading targets in a dynamic market equilibrium
Information and trading targets in a dynamic market equilibrium
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动态市场均衡中的信息和交易目标
DOI：
10.1016/j.jfineco.2018.11.003
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发表时间：
2019
影响因子：
8.9
通讯作者：
Seppi, Duane J.
中科院分区：
文献类型：
--
作者：
Choi, Jin Hyuk;Larsen, Kasper;Seppi, Duane J.
本文描述了一个私人的一天结束的交易目标和动态交易的长期私人信息的动态投资组合再平衡之间的均衡相互作用。为重新平衡投资组合而进行的订单分割为市场注入了多方面的动力。这些因素包括自相关订单流、阳光交易、内生学习和短期投机。该模型具有可测试的影响，在交易量，流动性，价格波动，订单流自相关，知情投资者和再平衡交易策略之间的差异，以及这些模式如何与交易目标波动和其他市场条件。
This paper describes equilibrium interactions between dynamic portfolio rebalancing given a private end-of-day trading target and dynamic trading on long-lived private information. Order-splitting for portfolio rebalancing injects multifaceted dynamics in the market. These include autocorrelated order flow, sunshine trading, endogenous learning, and short-term speculation. The model has testable implications for intraday patterns in volume, liquidity, price volatility, order-flow autocorrelation, differences between informed-investor and rebalancer trading strategies, and for how these patterns comove with trading-target volatility and other market conditions.