Market Microstructure Invariance with Smooth Trading

OMI Seminar Series

The paper describes a continuous time model of smooth oligopolistic trading among symmetrically informed traders who agree to disagree about the precisions of their continuous flows of private information.  The model implies that market microstructure invariance relationships result from additional endogenous information acquisition by a fixed number of informed traders.

Tuesday, October 28, 2014 - 12:30
to 13:30