Long‐Lived Private Information and Imperfect Competition
构建多期拍卖模型，研究多个知情交易者如何策略性地利用长期私有信息，发现他们竞争激烈导致信息快速泄露，与Kyle垄断模型的信息缓慢融入价格形成对比。
ABSTRACT We develop a multi‐period auction model in which multiple privately informed agents strategically exploit their long‐lived information. We show that such traders compete aggressively and cause most of their common private information to be revealed very rapidly. In the limit as the interval between auctions approaches zero, market depth becomes infinite and all private information is revealed immediately. These results are in contrast to those of Kyle (1985) in which the monopolistic informed trader causes his information to be incorporated into prices gradually, and, when the interval between auctions is vanishingly small, market depth is constant over time.