Journal article
The impact of competition and information on intraday trading
Abstract
In a dynamic model of financial market trading multiple heterogeneously informed traders choose when to place orders. Better informed traders trade immediately, worse informed delay – even though they expect the market to move against them. This behavior generates intraday patterns with decreasing spreads, decreasing probability of informed trading (PIN), and increasing volume. We predict that policies that foster market entry improve the …
Authors
Malinova K; Park A
Journal
Journal of Banking & Finance, Vol. 44, , pp. 55–71
Publisher
Elsevier
Publication Date
7 2014
DOI
10.1016/j.jbankfin.2014.03.026
ISSN
0378-4266