Traders differ in speed and their speed differences matter. I model strategic interactions induced when high frequency traders (HFTs) have different speeds in an extended Kyle (1985) framework. HFTs are assumed to anticipate incoming orders and trade rapidly to exploit normal-speed traders'...

During currency crises, large traders once simultaneously short the asset markets and currency market. We study the large trader's information manipulation in crises by introducing a large trader in an asset market and a currency-attack coordination game with imperfect information. The asset...

We allow a strategic trader to choose when to acquire information about an asset's payoff, instead of endowing her with it. When the trader dynamically controls the precision of a flow of information, the optimal precision evolves stochastically and increases with market liquidity. However,...

Speed hierarchy not only motivates fast trading competition on less precise information but also renders slower traders more informative. As a result, endogenous speed acquisition in equilibrium affects how information is produced and spread. When information diffusion is characterized by its...

Technical analysis (TA) is modeled as a method to infer market liquidity demand. Risk-averse market makers supply immediacy to an informed trader and uninformed technical traders, who conduct TA and trade strategically, and to liquidity traders, who trade randomly. Price change is positively...

This paper shows evidence of informed trading in the natural gas futures market before gas inventory announcements. We examine whether traders can predict the upcoming announcement by processing public information. The results show that the difference between the median forecast of analysts with...

This paper provides an up-to-date review and summary of the existing literature on the informational aspects of price processes. A common feature of these models is that prices reflect information that is dispersed among many traders. The paper begins by contrasting the Rational Expectation...

This paper examines how technological innovations drive fast trading investment for both speculators and exchanges and their impact on market. The negative externality of the speed acquisition from fast speculators can result in excessive investment, which is intensified as speculators' speed...

This paper develops a finite-period model of rational bubbles where trade of an asset takes place through a chain of middlemen. We show that there exists a unique equilibrium, and a bubble can occur due to higher-order uncertainty. Under reasonable assumptions, the equilibrium price is...

In an environment where capital market participants collectively possess superior information about a decision faced by a firm manager, we use an experimental market to analyze the effectiveness with which the market communicates this information to the manager through stock price. We do so in a...