Price, Trade Size, and Information Revelation in Multi-Period Securities Markets
Han Ozsoylev () and
Shino Takayama ()
OFRC Working Papers Series from Oxford Financial Research Centre
We study price formation in securities markets, using the sequential trade framework of Glosten and Milgrom. 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.
JEL-codes: D82 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-fmk
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
Journal Article: Price, trade size, and information revelation in multi-period securities markets (2010)
Working Paper: Price, Trade Size, and Information Revelation in Multi-Period Securities Markets (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:sbs:wpsefe:2005fe10
Access Statistics for this paper
More papers in OFRC Working Papers Series from Oxford Financial Research Centre Contact information at EDIRC.
Bibliographic data for series maintained by Maxine Collett ().