Optimal Informed Trading in a Quote-Driven Market

Abstract

This paper presents a model of a quote-driven market with asymmetric information. The model is similar to the Glosten-Milgrom (1985) model, except that we allow the informed trader to optimally time his trades, rather than employing a probabilistic selection process for informed and uninformed trades. The contribution of the paper is to show that the… (More)

8 Figures and Tables

Topics

  • Presentations referencing similar topics