Strategic Trading When Agents Forecast the Forecasts of Others
分析了一个多期交易模型，包含信息不同的交易者、流动性交易者和做市商。信息交易者不仅相互竞争交易利润，还从订单流中学习其他交易者的信号。研究发现，信息交易者信号的初始相关性显著影响其利润和价格的信息含量。
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.