The dynamics of strategic information flows in stock markets
构建了一个多股票动态模型，研究多个知情交易者如何战略性地利用新信息，并分析信息融入价格的速度。结果发现，多资产环境加速信息释放，降低知情交易者的利润。
We model a stock market with multiple stocks in a dynamic setting. Multiple informed traders receive new and heterogeneous information about the stocks in each period and use this information strategically. We characterize the decay rate of the information as it is incorporated into prices. The presence of multiple assets speeds information release by providing more channels for market makers to acquire information and incorporate that information in prices. The result is not only that profits are reduced in multi-asset settings, but that information release tilts toward new information relative to old information, reducing the profits that can be acquired by privately informed traders. \n