文档介绍：In a one-period model of market making with many
exogenously informed traders, we first show that
the variance of prices and expected trading vol-
ume depend on the public information released at
the start of trading. This is plished by rep-
resenting beliefs with elliptically contoured distri-
butions, for which the form of optimal decision
rules does not depend on the specific distribution
used. Second, if the model is altered so that the
decision to e informed is made endogenous,
then the decision rules of the market-maker and
informed traders depend on the public informa-
tion. Third, in a multiperiod model with many
informed traders and long-lived private infor-
mation, recursion formulas similar to those of Kyle
(1985) hold for all elliptically contoured distri-
butions, trading volume is autocorrelated and,
unless per period liquidity trading is bounded away
from zero as new trading periods are added,
informed traders' profits vanish.
We thank seminar participants at Duke University, the Annual Meetings of
the European Finance Association at Rotterdam, and the University of Florida
at Gainesville, David Hsieh, Robert Jarrow, Nancy Keeshan, Maureen O’Hara,
Chester Spatt (the editor). Avanidhar Subrahmanyam, and the referee (Anat
Admati) for their ments. We owe a special debt to Kevin McCardle
for the time he has spent in discussions with us. Financial support from the
Business Associates Fund (Viswanathan) and the Isle Maligne Fund (Foster)
of the Fuqua School of Business is appreciated. An earlier version of this
article was circulated with the title “Market Microstructure: Models Using
the Class of Elliptically Contoured Distributions.” Address correspondence
and reprint requests to F. Douglas Foster, The Fuqua School of Business,
Duke University, Durham NC 27706.
The Review of Financial Studies 1993 Volume 6, number 1, pp. 23-56
© 1993 The Review of Financial Studies 0893-9454/93/$
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