Liquidity and the marginal value of information
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DOI: 10.1007/s00199-013-0757-z
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References listed on IDEAS
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Cited by:
- Takayama, Shino, 2021.
"Price manipulation, dynamic informed trading, and the uniqueness of equilibrium in sequential trading,"
Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
- Shino Takayama, 2020. "Price Manipulation, Dynamic Informed Trading, and the Uniqueness of Equilibrium in Sequential Trading," Discussion Papers Series 621, School of Economics, University of Queensland, Australia.
- Shino Takayama, 2018. "Price Manipulation, Dynamic Informed Trading and Tame Equilibria: Theory and Computation," Discussion Papers Series 603, School of Economics, University of Queensland, Australia.
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More about this item
Keywords
Market microstructure; Liquidity; Information ; Doob $$h$$ -transform; G12; G14; C62;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
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