Smooth Trading with Overconfidence and Market Power

DOI10.1093/RESTUD/RDX017zbMath1405.91747OpenAlexW3124729273MaRDI QIDQ4610894

A. A. Obizhaeva, Albert S. Kyle, Yajun Wang

Publication date: 23 January 2019

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

Full work available at URL: https://www.nes.ru/files/Preprints-resh/WP226.pdf

zbMATH Keywords

rational expectationstransaction costsimperfect competitionliquiditymarket microstructureinformation aggregationprice impactdynamic tradingoverconfidencedouble auctionsflash crashstrategic tradingKeynesian beauty contestagreement to disagree

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Actuarial science and mathematical finance (91G99)

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Optimal solution of the liquidation problem under execution and price impact risks ⋮ The effect of market power on risk-sharing ⋮ Optimal investment, derivative demand, and arbitrage under price impact ⋮ Information, market power and welfare ⋮ Dampening effect and market efficiency ⋮ Information linkages in a financial market with imperfect competition ⋮ Information acquisition with heterogeneous valuations ⋮ Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity ⋮ Managing inventory with proportional transaction costs ⋮ Concentrated trading and the survival of overconfident traders

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