2024/03/13 by Ziyi Xu, Xu, Ziyi, Cheng, Xue
Economics, Econometrics and Finance · #FOS: Economics and business #Financial Markets and Investment Strategies #Trading and Market Microstructure (q-fin.TR)
paper · pdf · doi:10.48550/arxiv.2403.08202
openalex publication_date 2024/03/13 · openalex created_date 2024/03/16 · openalex updated_date 2026/07/28
We investigate a market with a normal-speed informed trader (IT) who may employ mixed strategy and multiple anticipatory high-frequency traders (HFTs) who are under different inventory pressures, in a three-period Kyle's model. The pure- and mixed-strategy equilibria are considered and the results provide recommendations for IT's randomization strategy with different numbers of HFTs. Some surprising results about investors' profits arise: the improvement of anticipatory traders' speed or a more precise prediction may harm themselves but help IT.