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Speculative Dynamics

Author

Listed:
  • Peter Seiler

    (Honeywell Corporation)

  • Bart Taub

    (University of Illinois)

  • Dan Bernhardt

    (University of Illinois)

Abstract

We then characterize analytically and numerically how the characteristics of private information—its quantity, persistence and correlation, and division among speculators—affect trading profits, pricing and trading strategies. In particular, we derive how speculators trade on new information versus old, and on private signals versus prices. We show via a frequency-domain argument that trading strategies emphasize new information versus old.

Suggested Citation

  • Peter Seiler & Bart Taub & Dan Bernhardt, 2008. "Speculative Dynamics," 2008 Meeting Papers 171, Society for Economic Dynamics.
    • Handle: RePEc:red:sed008:171
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    Other versions of this item:

    • Dan Bernhardt & P. Seiler & B. Taub, 2010. "Speculative dynamics," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 44(1), pages 1-52, July.

    References listed on IDEAS

    as
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    3. repec:bla:jfinan:v:59:y:2004:i:1:p:339-390 is not listed on IDEAS
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    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Junichi Fujimoto, 2014. "Speculative attacks with multiple targets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 57(1), pages 89-132, September.
    2. Michele Vodret & Iacopo Mastromatteo & Bence T'oth & Michael Benzaquen, 2021. "Do fundamentals shape the price response? A critical assessment of linear impact models," Papers 2112.04245, arXiv.org.
    3. Taub, B., 2023. "Signal-jamming in the frequency domain," Games and Economic Behavior, Elsevier, vol. 142(C), pages 896-930.
    4. Tan, Fei & Walker, Todd B., 2015. "Solving generalized multivariate linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 95-111.
    5. Michele Vodret & Iacopo Mastromatteo & Bence T'oth & Michael Benzaquen, 2020. "A Stationary Kyle Setup: Microfounding propagator models," Papers 2011.10242, arXiv.org, revised Feb 2021.
    6. Dan Bernhardt & Bart Taub, 2015. "Learning about common and private values in oligopoly," RAND Journal of Economics, RAND Corporation, vol. 46(1), pages 66-85, March.
    7. Rondina, Giacomo & Walker, Todd B., 2021. "Confounding dynamics," Journal of Economic Theory, Elsevier, vol. 196(C).
    8. Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2020. "A Stationary Kyle Setup: Microfounding propagator models," Working Papers hal-03016486, HAL.
    9. Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2021. "A Stationary Kyle Setup: Microfounding propagator models," Post-Print hal-03016486, HAL.
    10. Michele Vodret & Bence Tóth & Iacopo Mastromatteo & Michael Benzaquen, 2022. "Do fundamentals shape the price response? A critical assessment of linear impact models," Post-Print hal-03797375, HAL.
    11. Makarov, Igor & Rytchkov, Oleg, 2012. "Forecasting the forecasts of others: Implications for asset pricing," Journal of Economic Theory, Elsevier, vol. 147(3), pages 941-966.

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    More about this item

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • D4 - Microeconomics - - Market Structure, Pricing, and Design
    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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