The Trader's Dilemma: Trading Strategies and Endogenous Pricing in an Illiquid Market
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"The Trader's Dilemma: Trading Strat..." refers background or methods in this paper
...Among efforts to achieve a definition, Kyle (1985) provides a thorough characterization of “market liquidity”, which is widely accepted by academics and practitioners....
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...This distinguishes our model from many market microstructure models, such as Kyle (1985) and others, in which the information asymmetry is the major incentive for some market participants to trade strategically....
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...…and Vila (1999), Huang (2003), Duffie, Garleanu and Pederson (2003, 2004)], or stochastic [Acharya and Pederson (2004)] and asymmetric information [Kyle (1985, 1989), Vayanos 1 For example, Holthausen, Leftwich and Mayers (1990) examine price effects associated with block trades by investigating…...
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...For example, we show that even without asymmetric information [Kyle (1985)] or the need to share risk [Vayanos (1999, 2001)] large traders still trade strategically when the market is incomplete and illiquid....
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"The Trader's Dilemma: Trading Strat..." refers background in this paper
...…and Vila (1999), Huang (2003), Duffie, Garleanu and Pederson (2003, 2004)], or stochastic [Acharya and Pederson (2004)] and asymmetric information [Kyle (1985, 1989), Vayanos 1 For example, Holthausen, Leftwich and Mayers (1990) examine price effects associated with block trades by investigating…...
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