This study develops a multiple-period, competitive rational expectations model for examining how competitive informed traders time their informed trading and how information is incorporated into prices. It is found that informed traders may choose either to trade early or late on their...

Under fairly basic rationales, this paper provides a more general microstructure model of price quotation in an order driven market. Specifically, as an extension of Handa and Schwartz (1996), we decompose the equilibrium of the bid-ask spread, which is derived as a function of the weighted...

This article provides a model of order-submission strategy and price formation by analysing the optimal behaviour of risk-averse uninformed traders. According to our inference, the market dynamically adjusts the bid/ask at any moment to generate enough price improvement return in order to cover...

This study develops a multiple-period, competitive rational expectations model for examining how competitive informed traders time their informed trading and how information is incorporated into prices. It is found that informed traders may choose either to trade early or late on their...

This paper presents an integrated microstructure model of risk-averse uninformed and informed traders for the evolution of liquidity. Under an actively monitoring market, limit order book as a medium for information and order strategies of traders, thereby market order arrival of informed...