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q-fin.TR2021
Learning about latent dynamic trading demand
Xiao Chen, Jin Hyuk Choi, Kasper Larsen +1
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private,…
q-fin.TR2015
Information and Trading Targets in a Dynamic Market Equilibrium
Jin Hyuk Choi, Kasper Larsen, Duane J. Seppi
This paper investigates the equilibrium interactions between trading targets and private information in a multi-period Kyle (1985) market. There are two investors who each follow d…