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Strategic Trading around Anticipated Supply/Demand Shocks

NRU HSE , 2022. No. WP9/2022/02.
Fardeau V.
I study the price/quantity effects of anticipated supply or demand shocks in a model of strategic trading, where imperfectly competitive traders share risk with price-takers. When there are at least two traders, anticipated shocks lead to the V-shaped pattern observed empirically: prices drift away from fundamentals before the shock, and slowly revert afterwards. How traders behave before the shock depends on whether they compete `a la Cournot (i.e. submit market orders) or in demand schedules (using limit orders). Consistent with empirical evidence, Cournot traders act as contrarians, while demand schedule traders first trade against, then with the shock.
Language: English
Text on another site
Keywords: price impactstrategic trading liquiditythin marketsV-shaped price patternsmomentum and reversalanticipated shocks
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