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

Han Ozsoylev and Shino Takayama ()

Journal of Financial Markets, 2010, vol. 13, issue 1, 49-76

Abstract: We study price formation in securities markets, using the sequential trade framework of Glosten and Milgrom (1985). 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 a function of trade size, is increasing and exhibits (discrete) concavity.

Keywords: Market; microstructure; Glosten-Milgrom; Price; formation; Sequential; trade; Asymmetric; information; Trade; size; Bid-ask; spreads (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (14)

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Related works:
Working Paper: Price, Trade Size, and Information Revelation in Multi-Period Securities Markets (2005)
Working Paper: Price, Trade Size, and Information Revelation in Multi-Period Securities Markets (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:13:y:2010:i:1:p:49-76

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