Bullish/Bearish Strategies of Trading: A Nonlinear Equilibrium
研究风险中性交易者利用完美揭示资产价值方向的信号进行交易，订单流对价格的影响呈非线性多头/空头结构，且私人信息比战略寡头市场更快被揭示。
Abstract We study a financial market where risk-neutral traders are endowed with a signal that perfectly reveals the direction (but not the exact amount) of the liquidation value of a normally distributed risky asset. The impact of order flow on prices is nonlinear with a bullish/bearish information structure, which is broadly consistent with empirical evidence. Also, private information is revealed quicker than in a strategic oligopoly.