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Price, trade size, and information revelation in multi-period securities markets

Abstract:

We study price formation in securities markets, using the sequential trade framework of Glosten and Milgrom [7]. This paper makes one basic methodological advance over previous research on sequential securities trading: we allow traders to choose from n trade sizes in a multi-period market, where n can be arbitrarily large. We examine how trade size multiplicity affects the intertemporal dynamics of trading strategies, bid-ask spreads, and information revelation We show that price impact, as ...

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Publication status:
Published

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Publisher:
University of Oxford Publisher's website
Series:
Department of Economics Discussion Paper Series
Publication date:
2005-10-01
Paper number:
2005-FE-10
Keywords:
Pubs id:
1144186
Local pid:
pubs:1144186
Deposit date:
2020-12-15

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