Review of Financial Studies
Опубликовано на портале: 22-10-2007Anat R. Admati, Paul Pfleiderer Review of Financial Studies. 1989. Vol. 2. No. 2. P. 189-223.
This article develops a model in which pattern in buy and sell volume, order imbalances, and expected price changes arise endogenously. The model covers cases in which the market maker is competitive and is a monopolist. Our results provide an explanation for the existence of patterns in mean returns within the trading day and across trading days.