Speculation and Hedging in Segmented Markets
分析了交易机会不同的交易者从价格中学习信息时，投机与对冲动机导致价格信息含量下降、多重均衡和价格跳跃的现象，有助于理解现代金融市场。
We analyze a model in which traders have different trading opportunities and learn information from prices. The difference in trading opportunities implies that different traders may have different trading motives when trading in the same market—some trade for speculation and others for hedging—and thus they may respond to the same information in opposite directions. This implies that adding more informed traders may reduce price informativeness and therefore provides a source for learning complementarities leading to multiple equilibria and price jumps. Our model is relevant to various realistic settings and helps to understand a variety of modern financial markets.