Strategic Trading in a Dynamic Noisy Market
研究一个策略性交易者在动态金融市场中的交易行为，他收到私人观察到的股票 endowment 后，通过逐步卖出或先卖后买来降低风险，并在交易间隔短时快速揭示信息。
ABSTRACT This paper studies a dynamic model of a financial market with a strategic trader. In each period the strategic trader receives a privately observed endowment in the stock. He trades with competitive market makers to share risk. Noise traders are present in the market. After receiving a stock endowment, the strategic trader is shown to reduce his risk exposure either by selling at a decreasing rate over time or by selling and then buying back some of the shares sold. When the time between trades is small, the strategic trader reveals the information regarding his endowment very quickly.