Information and trading targets in a dynamic market equilibrium

Jin Hyuk Choi, Kasper Larsen, Duane J. Seppi

Research output: Contribution to journalArticlepeer-review

15 Scopus citations


This paper describes equilibrium interactions between dynamic portfolio rebalancing given a private end-of-day trading target and dynamic trading on long-lived private information. Order-splitting for portfolio rebalancing injects multifaceted dynamics in the market. These include autocorrelated order flow, sunshine trading, endogenous learning, and short-term speculation. The model has testable implications for intraday patterns in volume, liquidity, price volatility, order-flow autocorrelation, differences between informed-investor and rebalancer trading strategies, and for how these patterns comove with trading-target volatility and other market conditions.

Original languageEnglish (US)
Pages (from-to)22-49
Number of pages28
JournalJournal of Financial Economics
Issue number3
StatePublished - Jun 2019

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics
  • Strategy and Management


  • Market microstructure
  • Optimal order execution
  • Order-splitting
  • Parent and child orders
  • Portfolio rebalancing


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