Information Linkages and Correlated Trading ∗

@inproceedings{Colla2004InformationLA,
  title={Information Linkages and Correlated Trading ∗},
  author={Paolo Colla},
  year={2004}
}
In a market with informationally connected traders, the dynamics of volume, price informativeness, price volatility, and liquidity are severely affected by the information linkages every trader experiences with his peers. We show that in the presence of information linkages among traders, volume and price informativeness increase and liquidity improves. Moreover, we find that information linkages boost or damage the traders’ profits according to whether these linkages convey negatively or… CONTINUE READING
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