2007
DOI: 10.2139/ssrn.942016
|View full text |Cite
|
Sign up to set email alerts
|

Strategic Specialist and Market Liquidity

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
2
1

Citation Types

1
4
1

Year Published

2007
2007
2010
2010

Publication Types

Select...
2

Relationship

1
1

Authors

Journals

citations
Cited by 2 publications
(6 citation statements)
references
References 46 publications
1
4
1
Order By: Relevance
“…I obtain a U‐shape relationship between volatility and the variance of supply V S (see Figure 8). This result is very different from the other Kyle‐type models and the results in Dumitrescu (2007), where the volatility of prices does not depend on the noise in supply. Therefore, this behaviour is not due to the presence of the strategic specialist, but to the release of some information about supply to the value‐informed traders.…”
contrasting
confidence: 90%
See 4 more Smart Citations
“…I obtain a U‐shape relationship between volatility and the variance of supply V S (see Figure 8). This result is very different from the other Kyle‐type models and the results in Dumitrescu (2007), where the volatility of prices does not depend on the noise in supply. Therefore, this behaviour is not due to the presence of the strategic specialist, but to the release of some information about supply to the value‐informed traders.…”
contrasting
confidence: 90%
“…This is due to the fact that poor information about supply is aggregated in prices and then used further by all the traders who use the price as a signal. A similar result is obtained by Kyle (1989) and Dumitrescu (2007).…”
supporting
confidence: 88%
See 3 more Smart Citations