Strategic Trading and Welfare in a Dynamic Market

DOI10.1111/1467-937X.00086zbMath0984.91058OpenAlexW2012231538MaRDI QIDQ4262871

Dimitri Vayanos

Publication date: 4 June 2000

Published in: Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-937x.00086

zbMATH Keywords

dynamic modelfinancial marketlarge agentstime between tradeswelfare loss due to strategic behaviour

Mathematics Subject Classification ID

Related Items (16)

Price impact equilibrium with transaction costs and TWAP trading ⋮ Optimal market thickness ⋮ Equilibrium in risk-sharing games ⋮ Equilibrium effects of intraday order-splitting benchmarks ⋮ The effect of market power on risk-sharing ⋮ Learning about latent dynamic trading demand ⋮ Bargaining in small dynamic markets ⋮ Information, market power and welfare ⋮ Price impact under heterogeneous beliefs and restricted participation ⋮ No-arbitrage, state prices and trade in thin financial markets ⋮ Price impact in Nash equilibria ⋮ Information precision and asymptotic efficiency of industrial markets ⋮ From Walras’ auctioneer to continuous time double auctions: a general dynamic theory of supply and demand ⋮ Bilateral trading in divisible double auctions ⋮ Market selection ⋮ Do supply and demand drive stock prices?

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