文档介绍：Strategic T rading in a Dynamic Noisy Mark et
Dimitri V a y anos
Marc h 18, 2000
ABSTRA CT
This pap er studies a dynamic mo del of a nancial mark et with a strategic trader. In
eac h p erio d the strategic trader receiv es a priv ately observ ed endo wmen t in the sto c k.
He trades p etitiv e mark et mak ers to share risk. Noise traders are presen tin
the mark et. After receiving a sto c kendo wmen t, the strategic trader is sho wn to reduce
his risk exp osure either b y selling at a decreasing rate o v er time, or b y selling and
then buying bac k some of the shares sold. When the time b et w een trades is small, the
strategic trader rev eals the information regarding his endo wmen tv ery quic kly .
MIT and NBER. I thank Anat Admati, Denis Grom b, P ete Kyle, Andy Lo, Lee-Bath Nelson, P aul
P
eiderer, Jose Sc heinkman, Matt Spiegel, Ren eStulz, Rangara jan Sundaram, Jean Tirole, Jiang W ang,
Ingrid W erner, Je Zwieb el, seminar participan ts at Chicago, Harv ard, LSE, MIT, UCSD, and participan ts
at the W estern Finance Asso ciation, NBER mark et microstructure, and Europ ean Econometric So ciet y
conferences for v ery men ts. I am esp ecially grateful to Av anidhar Subrahman y am for man y
v men ts and suggestions. I thank Muhamet Yildiz for excellen t researc h assistance.
Large traders, suc h as dealers, m utual funds, and p ension funds, pla y an imp ortan t
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role in nancial mark ets. Man y empirical studies sho w that these agen ts' trades ha v e a
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signi can t price impact. Recen t studies also sho w that large traders execute their trades
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slo wly , o v er sev eral da ys, presumably to reduce their price impact. These studies raise a
n um b er of theoretical questions. F or instance, what dynamic strategies should large traders
emplo y to minimize their price impact? In particular, ho w quic kly should they execute
their trades? Ho w quic kly do es the price adjust to re
ect the presence of a large