Asymmetries of information in centralized order-driven markets

Nicolas Boccard () and Riccardo Calcagno ()
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Riccardo Calcagno: Center for Operations Research and Econometrics (CORE) and Institut de Recherches Economiques et Sociales, Université catholique de Louvain (UCL), Louvain la Neuve, Belgium

No 1999035, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: We study the efficiency of the equilibrium price in a centralized, orderdriven market where many asymmetrically informed traders are active for many periods. We show that asymmetries of information can lead to suboptimal information revelation with respect to the symmetric case. In particular, we assess that the more precise the information the higher the incentive to reveal it, and that the value of private information is related to the volume of exogenous trade present on the market. Moreover, we prove that any informed trader, whatever his information, reveals its private signal during an active phase of the market, concluding that long pre-opening phases are not effective as an information discovering device in the presence of strategic players.

Keywords: asymmetric information; pre-opening; insider trading (search for similar items in EconPapers)
JEL-codes: D G (search for similar items in EconPapers)
Date: 1999-06-01
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Related works:
Working Paper: Asymmetries of information in centralized order-driven markets (1999)
Working Paper: Asymmetries of Information in Centralized Order-Driven Markets (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1999035

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