Learning about Latent Dynamic Trading Demand

  title={Learning about Latent Dynamic Trading Demand},
  author={Xiao Chen and Jin Hyuk Choi and Kasper Larsen and Duane J. Seppi},
  journal={Paris 2021: Proceedings},
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order flow over time to estimate the latent underlying parent trading demand imbalance and its expected impact on subsequent price pressure dynamics. We prove existence of the equilibrium and solve for equilibrium trading strategies and prices in terms of the… 
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