A dynamic strategy of the informed trader with market manipulation

Takayama, Shino (2010) A dynamic strategy of the informed trader with market manipulation. Annals of Finance, 6 2: 287-294. doi:10.1007/s10436-009-0140-z


Author Takayama, Shino
Title A dynamic strategy of the informed trader with market manipulation
Journal name Annals of Finance   Check publisher's open access policy
ISSN 1614-2446
1614-2454
Publication date 2010-03
Year available 2009
Sub-type Article (original research)
DOI 10.1007/s10436-009-0140-z
Volume 6
Issue 2
Start page 287
End page 294
Total pages 8
Place of publication Heidelberg, Germany
Publisher Springer
Language eng
Abstract This paper considers stock price manipulation by a dynamic informed trader. We provide a simple proof of the existence of manipulation in a market in a standard sequential trade model. We also give the lower bound of the number of trading periods for the existence of manipulation in equilibrium and show that if the number of trading periods is larger than that lower bound, every equilibrium involves stock price manipulation. Irrespective of the prior of the market maker, if the informed trading probability is high enough, every equilibrium involves manipulation.
Keyword Information asymmetry
Price manipulation
Dynamic strategy
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status UQ
Additional Notes Published online: 7 November 2009

Document type: Journal Article
Sub-type: Article (original research)
Collections: ERA 2012 Admin Only
School of Economics Publications
 
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Created: Thu, 13 Oct 2011, 14:53:49 EST by Shino Takayama on behalf of School of Economics