Strategic Trading and Welfare in a Dynamic Market
研究一个动态金融市场模型，其中N个策略性交易者通过交易来分担股息风险。研究发现，即使交易间隔趋近于零，交易者仍会缓慢交易，且策略行为导致的福利损失随交易间隔缩短而增加，极限情况下福利损失为1/N阶，而非静态模型中的1/N²阶。
This paper studies a dynamic model of a financial market with N strategic agents. Agents receive random stock endowments at each period and trade to share dividend risk. Endowments are the only private information in the model. We find that agents trade slowly even when the time between trades goes to 0. In fact, welfare loss due to strategic behavior increases as the time between trades decreases. In the limit when the time between trades goes to 0, welfare loss is of order 1/N, and not 1/N² as in the static models of the double auctions literature. The model is very tractable and closed-form solutions are obtained in a special case.