Equilibrium Pricing and Trading Volume under Preference Uncertainty
研究了交易员面临偏好不确定性时的最优交易策略和均衡价格，发现偏好不确定性会导致配置效率低下但未必降低价格，并增加交易量，初始价格跌幅与总交易量正相关。
Information collection and processing in financial institutions is challenging. This can delay the observation by traders of the exact capital charges and constraints of their institution. During this delay, traders face preference uncertainty. In this context, we study optimal trading strategies and equilibrium prices in a continuous centralized market. We focus on liquidity shocks, during which preference uncertainty is likely to matter most. Preference uncertainty generates allocative inefficiency, but need not reduce prices. Progressively learning about preferences generate round–trip trades, which increase volume relative to the frictionless market. In a cross section of liquidity shocks, the initial price drop is positively correlated with total trading volume. Across traders, the number of round–trips is negatively correlated with trading profits and average inventory.