Do Rational Traders Frenzy?

Lones Smith

Working papers from Massachusetts Institute of Technology (MIT), Department of Economics

Abstract: I develop a simple new model of strategic trade with endogenous timing, generalizaing Glosten and Milgrom (1985) : A competitive market maker faces n risk neutral traders with unit demands or suppliers. It is private information whether any given trader is either informed, with a heterogeneous informative signal about the asset payoff, or a pure noise trader planning to make a trade at a random time. The market is open for an exponential length of time.

Keywords: TRADE; RISK; INFORMATION; DECISION MAKING; UNCERTAINTY; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: D81 D82 F1 (search for similar items in EconPapers)
Pages: 41 pages
Date: 1996
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mit:worpap:96-20

Ordering information: This working paper can be ordered from
MASSACHUSETTS INSTITUTE OF TECHNOLOGY (MIT), DEPARTMENT OF ECONOMICS, 50 MEMORIAL DRIVE CAMBRIDGE MASSACHUSETTS 02142 USA

Access Statistics for this paper

More papers in Working papers from Massachusetts Institute of Technology (MIT), Department of Economics MASSACHUSETTS INSTITUTE OF TECHNOLOGY (MIT), DEPARTMENT OF ECONOMICS, 50 MEMORIAL DRIVE CAMBRIDGE MASSACHUSETTS 02142 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Linda Woodbury ( this e-mail address is bad, please contact ).