Informed manipulation

A battle of informed traders and the market game foundations for rational expectations equilibrium

“…The present paper adds to this literature in several ways. As in Vives (2011a), but unlike the auction and matching papers, the model has a continuum of states and does not assume unit demands; 7 while Vives (2011a) corresponds to limit orders, the present model corresponds to market orders. Interestingly, the present model considers what Vives (2011a) calls the pure common value case, where his revealing equilibrium collapses.…”

“…Gale (1987) studies a non-stationary game with a finite measure of agents, which is appropriate to compare to the competitive economy; he points out that steady-state analysis implicitly assumes an infinite measure of agents passing through the economy, leading to paradoxical results. 7 Gale (1986) generalizes the assumption of unit demand in a model where the competitive economy has no uncertainty (one state). 8 Negative consumption of good  is outside of the consumption set, yielding utility of negative infinity.…”

Untitled

“…Chakraborty and Yılmaz (2004) developed a model that explained how informed insiders could manipulate the stock-prices by adopting certain trading behavior. Although not directly related to manipulation Jouini and Napp (2015) examined the impact of gurus' beliefs on investment decisions, prices, and risk premium through a model that they developed.…”

Stock Spams: Another Kind Of Stock Prices Manipulation

“…These informed insiders are also studied by Chakraborty and Yilmaz (2004) who developed a model inspired from Glosten and Milgrom's (1985) model to show how informed insiders should trade to manipulate stock market. Their results show that by trading repeatedly, insiders can exert a power on the market and then make prices less sensitive to their trades.…”