This paper presents a dynamic equilibrium model of information aggregation which occurs through locally intermediated trading in a large population. We analyze how dispersed information is aggregated over time, and how it affects allocations overtime. The model exhibits excess trading due to information aggregation. We show that in the absence of private signals, dynamic trading leads to the ex...

To investigate the effects of carbon trading pricing and overconfidence on supply chain emission reduction decisions, this paper establishes a model consisting manufacturer retailer applies Stackelberg game model. The objective is to explore members’ decisions profits. study shows that prices can be good guide for low-cost manufacturers reduce emissions when are rational under policies. However...

Modern electronic markets have been characterized by a relentless drive towards faster decision making. Significant technological investments have led to dramatic improvements in latency, the delay between a trading decision and the resulting trade execution. We describe a theoretical model for the quantitative valuation of latency. Our model measures the trading frictions created by the presen...

Modern electronic markets have been characterized by a relentless drive toward faster decision making. Significant technological investments have led to dramatic improvements in latency, the delay between a trading decision and the resulting trade execution. We describe a theoretical model for the quantitative valuation of latency. Our model measures the trading frictions created by the presenc...

This paper is devoted to evaluating the optimal self-financing portfolio and the optimal trading frequency on a risky and risk-free asset to maximize the expected future utility of the terminal wealth in a stochastic volatility setting, when proportional transaction costs are incurred at each discrete trading time. The HARA utility function is used, allowing a simple approximation of the optimi...

The evaluation of the cost of reduction for the different region and the resulting emission permit prices is a typical model application. The usual approach to analyze emission trading is to obtain marginal emission reduction cost curves from the models and subsequently carry out a static, expost analysis of emission trading based on these cost curves. The drawback of this approach is that effe...

Does information asymmetry among traders of a firm’s stock increase its cost of capital? We first show that institutional traders in the Shanghai Stock Exchange have a strong information advantage. We then show that past aggressiveness of institutional trading in a stock is a good predictor of institutions’ current and future information advantage in this stock. Sorting stocks on this predictor...

Abstract: We experimentally compare first-price auctions and multilateral negotiations after introducing horizontal product differentiation into a standard procurement setting. Both institutions yield identical surplus for the buyer, a difference from prior findings with homogeneous products that results from differentiation’s influence on sellers’ pricing behavior. The data are consistent with...

We examine the impact of aid for trade (AFT) on bilateral trade costs of African Nations. Using a comprehensive bilateral trade cost data from Arvis et al. (2013) and focusing on AFT recipients in Africa spanning the years 2002-2010, we show that increased AFT reduces bilateral trading costs, more so for the recipient’s trade with each other than recipients’ trade with their donors. Despite dif...

We derive dynamic optimal trading strategies that minimize the expected cost of trading a large block of equity over a fixed time horizon. Specifically, given a fixed block SM of shares to be executed within a fixed finite number of periods 1, and given a price-impact function that yields the execution price of an individual trade as a function of the shares traded and market conditions, we obt...