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Strategic behavior and price discovery

AuthorsMedrano, L. A.; Vives, Xavier
Issue Date2001
PublisherRand Corporation
CitationRAND Journal of Economics 32(2): 221-248 (2001)
AbstractWe analyze the effects of strategic behavior by a large informed trader in a price discovery process used in opening auctions in continuous trading systems. It is found that the large informed trader manipulates the market using a contrarian strategy to neutralize the effect of the trades of competitive informed agents. Furthermore, consistent with the empirical evidence available, we find that information revelation accelerates close to the opening, that the market price approaches but does not converge to the fundamental value, and that the expected trading volume displays a U-shaped pattern. Copyright © 2001, RAND.
Identifiersissn: 0741-6261
e-issn: 1756-2171
Appears in Collections:(IAE) Artículos
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