Abstract
A model of trading multiple assets in a financial
market by a risk neutral insider is employed to examine the price formation and
the insider’s trading behavior. Due to information spillover across different
assets, the insider strategically trades the multiple assets in order to
maintain the information structure across the assets. As a result, trading
intensities and market depths in one asset are closely intertwined with those
in other assets. The insider may trade very intensely even with low asset
correlations
