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

Abstract: 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)
Date: 2005
New Economics Papers: this item is included in nep-fin and nep-fmk
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Related works:
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)
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Persistent link: https://EconPapers.repec.org/RePEc:sbs:wpsefe:2005fe10

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