Imperfect competition among informed traders

Journal of Finance

Volumn 55, Issue 5, 2000, Pages 2117-2155

  Back, Kerry ^a   Cao, C Henry ^b   Willard, Gregory A ^c  

^a WASHINGTON UNIVERSITY IN ST LOUIS   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038957302     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00282     Document Type: Article

References (12)

1. Attiyeh, Gregory M., 1994, A theoretical examination of volatility persistence in strategic settings, Working paper, University of Arizona.
2. Back, Kerry, 1992, Insider trading in continuous time, Review of Financial Studies 5, 387-409.
3. Back, Kerry, and Hal Pedersen, 1998, Long-lived information and intraday patterns, Journal of Financial Markets 1, 385-402.
4. Baruch, Shmuel, 1997, Insider trading and risk aversion, Working paper, Washington University in St. Louis.
5. Cao, H. Henry, 1995, Imperfect competition in securities markets with diversely informed traders, Working paper, University of California at Berkeley.
6. Foster, F. Douglas, and S. Viswanathan, 1996, Strategic trading when agents forecast the forecasts of others, Journal of Finance 51, 1437-1478.
7. Holden, Craig W, and Avanidhar Subrahmanyam, 1992, Long-lived private information and imperfect competition, Journal of Finance 47, 247-270.
8. Holden, Craig W., and Avanidhar Subrahmanyam, 1994, Risk aversion, imperfect competition and long lived information, Economics Letters 44, 181-190.
9. Kallianpur, Gopinath, 1980, Stochastic Filtering Theory (Springer-Verlag, New York).
10. Kyle, Albert S., 1985, Continuous auctions and insider trading, Econometrica 53, 1315-1335.
11. Protter, Philip, 1990, Stochastic Integration and Differential Equations (Springer-Verlag, Berlin).
12. Revuz, Daniel, and Marc Yor, 1991, Continuous Martingales and Brownian Motion (Springer-Verlag, Berlin).