Price Formation and Market Quality When the Number and Presence of Insiders Is Unknown
通过实验资产市场，研究当交易者不知道内幕者数量和存在时，价格形成与市场质量的变化，发现内幕者会策略性地利用交易时机和规模来隐藏自己，导致流动性模式与内幕者数量无关。
In most models of market microstructure tractability requires that all market participants know the number (and presence) of competing insiders. I drop this assumption in experimental asset markets. Outcomes are qualitatively consistent with theoretical models when the number of insiders is disclosed prior to trade. When it is not, insiders use the timing and size of trades interactively to hide from the dealers and each other, dealers have difficulty identifying insider trades, and liquidity patterns do not differ as a function of the number of insiders. In general, insider behavior has strategic dimensions not admitted in Kyle (1985) and extensions.