Strategic Behavior and Price Discovery

The paper analyzes the effects of strategic behavior by an insider in a price discovery process, akin to an information tatonnement, in the presence of a competitive informed sector. Such processes are used in the preopening period of continuous trading systems in several exchanges. It is found that the insider manipulates the market using a contrarian strategy in order to neutralize the effect of the trades of competitive informed agents.

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Year of publication:	1998
Authors:	Medrano, L.A. ; Vives, X.
Institutions:	Harvard Institute of Economic Research (HIER), Department of Economics
Subject:	PRICES \| INFORMATION

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Series:	Harvard Institute of Economic Research Working Papers.
Type of publication:	Book / Working Paper
Notes:	41 pages
Classification:	D83 - Search, Learning, Information and Knowledge
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005245578