2011/03/04 by Fuzhou Gong, Hong Liu, Gong, Fuzhou +1 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #FOS: Economics and business #Financial Markets and Investment Strategies #Stochastic processes and financial applications #Stock Market Forecasting Methods #Trading and Market Microstructure (q-fin.TR)
paper · pdf · doi:10.48550/arxiv.1103.0894
openalex publication_date 2011/03/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper, we present a multi-period trading model in the style of Kyle (1985)'s inside trading model, by assuming that there are at least two insiders in the market with long-lived private information, under the requirement that each insider publicly discloses his stock trades after the fact. Based on this model, we study the influences of "public disclosure" and "competition among insiders" on the trading behaviors of insiders. We find that the "competition among insiders" leads to higher effective price and lower insiders' profits, and the "public disclosure" makes each insider play a mixed strategy in every round except the last one. An interesting find is that as the total number of auctions goes to infinity, the market depth and the trading intensity at the first auction are all constants with the requirement of "public disclosure", while the market depth at the first auction goes to zero and the trading intensity of the first period goes to infinity without the requirement of "public disclosure".Moreover, we give the exact speed of the revelation of the private information, and show that all information is revealed immediately and the market depth goes to infinity immediately as trading happens infinitely frequently.