Strategic Trading When Agents Forecast the Forecasts of Others
分析了一个多期交易模型，其中知情交易者拥有关于资产长期价值的不同噪声信号，他们不仅相互竞争交易利润，还从订单流中学习他人信号。研究发现信号初始相关性显著影响知情交易者利润和价格信息含量。
ABSTRACT We analyze a multi‐period model of trading with differentially informed traders, liquidity traders, and a market maker. Each informed trader's initial information is a noisy estimate of the long‐term value of the asset, and the different signals received by informed traders can have a variety of correlation structures. With this setup, informed traders not only compete with each other for trading profits, they also learn about other traders' signals from the observed order flow. Our work suggests that the initial correlation among the informed traders' signals has a significant effect on the informed traders' profits and the informativeness of prices.