做市商垄断短期信息时的策略交易

Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-03-15 DOI:10.2139/ssrn.3776783

Vladislav Gounas

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引用次数: 0

摘要

本文建立了一个做市商对短期信息具有垄断权的策略交易模型。鉴于现代做市商是高频交易者，假设做市商能够比其他交易者更快地处理任何短期信息事件。由于做市商的信息是短暂的，知情的交易者会依次了解并相应地调整策略。做市商短期信息的相关结构对动态交易均衡有显著影响，可以产生新的风格化事实，如负交易强度和非单调新闻敏感性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Strategic Trading when the Market Maker Has a Monopoly on Short-Lived Information

This paper develops a strategic trading model in which the market maker has a monopoly on short-lived information. Given that modern market makers are high frequency traders, it is assumed that market makers are able to process any short-lived information event faster than other traders. Since the market maker’s information is short-lived, informed traders sequentially learn about it and adjust their strategies accordingly. The correlation structure of the market maker’s short-lived information has significant effects on the dynamic trading equilibrium and can generate new stylized facts like negative trading intensities and non-monotonic news sensitivities.

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Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal

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