This paper examines the connection between the trading market and liquidity in a simple model with informed and uninformed traders. When agents in the market have plenty of information, assets are traded frequently. However, when news arrives the informed trader behaves as a predator making profit from that news, this in turn leading to sudden drops in liquidity which I refer to as liquidity drops.
Liquidity drops / Morelli, Giacomo. - In: ANNALS OF OPERATIONS RESEARCH. - ISSN 0254-5330. - (2019), pp. 1-9.
Liquidity drops
Giacomo Morelli
2019
Abstract
This paper examines the connection between the trading market and liquidity in a simple model with informed and uninformed traders. When agents in the market have plenty of information, assets are traded frequently. However, when news arrives the informed trader behaves as a predator making profit from that news, this in turn leading to sudden drops in liquidity which I refer to as liquidity drops.File allegati a questo prodotto
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