Rational destabilization in a frictionless market

DOI10.1016/j.jet.2020.105169zbMath1458.91207OpenAlexW3113348230MaRDI QIDQ1995315

Tomasz Sadzik, Chris Woolnough

Publication date: 23 February 2021

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2020.105169

zbMATH Keywords

asymmetric informationarbitragemarket microstructuremultidimensional signalsfront-running

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (1)

Snowballing private information

Cites Work

• Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity
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• Informed manipulation.
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• Insider Trading without Normality
• The More We Know about the Fundamental, the Less We Agree on the Price
• What is the Optimal Trading Frequency in Financial Markets?
• Strategic Trading in Informationally Complex Environments
• The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response *
• A Model of Intertemporal Asset Prices Under Asymmetric Information
• Bubbles and Crashes
• Price Manipulation and Quasi-Arbitrage

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