قیمت، اندازه تجارت و افشاء اطلاعات در بازارهای اوراق بهادار چند دوره

We study price formation in securities markets, using the sequential trade framework of Glosten and Milgrom (1985). This paper makes one basic methodological advance over previous research on sequential securities trading: we allow traders to choose from nn trade sizes in a multi-period market, where nn can be arbitrarily large. We examine how trade size multiplicity affects the intertemporal dynamics of trading strategies, bid–ask spreads, and information revelation. We show that price impact, as a function of trade size, is increasing and exhibits (discrete) concavity.