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- W3209573453 abstract "This paper develops a strategic trading model in which the market maker has a monopoly on short-lived information. Given that modern market makers are high frequency traders, it is assumed that market makers are able to process any short-lived information event faster than other traders. Since the market maker’s information is short-lived, informed traders sequentially learn about it and adjust their strategies accordingly. The correlation structure of the market maker’s short-lived information has significant effects on the dynamic trading equilibrium and can generate new stylized facts like negative trading intensities and non-monotonic news sensitivities." @default.
- W3209573453 created "2021-11-08" @default.
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- W3209573453 date "2021-01-01" @default.
- W3209573453 modified "2023-09-23" @default.
- W3209573453 title "Strategic Trading when the Market Maker Has a Monopoly on Short-Lived Information" @default.
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- W3209573453 doi "https://doi.org/10.2139/ssrn.3776783" @default.
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