Strategic trading when agents forecast the forecasts of others
Publication
, Journal Article
Foster, FD; Viswanathan, S
Published in: Journal of Finance
January 1, 1996
We analyze a multi-period model of trading with differentially informed traders, liquidity traders, and a market maker. Each informed trader's initial information is a noisy estimate of the long-term value of the asset, and the different signals received by informed traders can have a variety of correlation structures. With this setup, informed traders not only compete with each other for trading profits, they also learn about other traders' signals from the observed order flow. Our work suggests that the initial correlation among the informed traders' signals has a significant effect on the informed traders' profits and the informativeness of prices.
Duke Scholars
Published In
Journal of Finance
DOI
ISSN
0022-1082
Publication Date
January 1, 1996
Volume
51
Issue
4
Start / End Page
1437 / 1478
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
Citation
APA
Chicago
ICMJE
MLA
NLM
Foster, F. D., & Viswanathan, S. (1996). Strategic trading when agents forecast the forecasts of others. Journal of Finance, 51(4), 1437–1478. https://doi.org/10.1111/j.1540-6261.1996.tb04075.x
Foster, F. D., and S. Viswanathan. “Strategic trading when agents forecast the forecasts of others.” Journal of Finance 51, no. 4 (January 1, 1996): 1437–78. https://doi.org/10.1111/j.1540-6261.1996.tb04075.x.
Foster FD, Viswanathan S. Strategic trading when agents forecast the forecasts of others. Journal of Finance. 1996 Jan 1;51(4):1437–78.
Foster, F. D., and S. Viswanathan. “Strategic trading when agents forecast the forecasts of others.” Journal of Finance, vol. 51, no. 4, Jan. 1996, pp. 1437–78. Scopus, doi:10.1111/j.1540-6261.1996.tb04075.x.
Foster FD, Viswanathan S. Strategic trading when agents forecast the forecasts of others. Journal of Finance. 1996 Jan 1;51(4):1437–1478.
Published In
Journal of Finance
DOI
ISSN
0022-1082
Publication Date
January 1, 1996
Volume
51
Issue
4
Start / End Page
1437 / 1478
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment