Long‐Lived Private Information and Imperfect Competition

摘要: We develop a multi-period auction model in which multiple privately informed agents strategically exploit their long-lived information. show that such traders compete aggressively and cause most of common private information to be revealed very rapidly. In the limit as interval between auctions approaches zero, market depth becomes infinite all is immediately. These results are contrast those Kyle (1985) monopolistic trader causes his incorporated into prices gradually, and, when vanishingly small, constant over time. FAMA (1970) DEFINES A "STRONG form" efficient one security fully reflect available information, including both publicly held pioneering influential article, develops single with optimally exploits monopoly power Kyle's main are: (i) trades gradual manner, so at slow, almost linear rate, (ii) continuously, However, assumption strong, sense actual financial markets, it reasonable expect least few players will have access trade knowledge they face competition other market. 1 (strategic) informational advantage. thus explore restrictiveness trader, also examine