The dynamics of strategic information flows in stock markets
The dynamics of strategic information flows in stock markets
复制标题
股票市场战略信息流的动态
作者：
P. Seiler;B. Taub
摘要
我们对动态环境中包含多种股票的股票市场进行建模。多个消息灵通的交易者会收到有关每个时期股票的新的异构信息，并有策略地使用这些信息。我们描述了信息在价格中的衰减率。多种资产的存在为做市商提供了更多获取信息并将该信息纳入价格的渠道，从而加快了信息发布速度。其结果不仅是多资产环境中的利润减少，而且信息发布相对于旧信息更倾向于新信息，从而减少了私下知情交易者可以获得的利润。
Abstract
We model a stock market with multiple stocks in a dynamic setting. Multiple informed traders receive new and heterogeneous information about the stocks in each period and use this information strategically. We characterize the decay rate of the information as it is incorporated into prices. The presence of multiple assets speeds information release by providing more channels for market makers to acquire information and incorporate that information in prices. The result is not only that profits are reduced in multi-asset settings, but that information release tilts toward new information relative to old information, reducing the profits that can be acquired by privately informed traders.