International Journal of

Business & Management Studies

ISSN 2694-1430 (Print), ISSN 2694-1449 (Online)
Informed Trading in Multi-Asset Markets

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