Anat R. Admati and Paul Pfleiderer
Jan 1988
Review of Financial Studies, Vol. 1, Issue 1, Pages 3-40
This article develops a theory in which concentrated-trading patterns arise endogenously as a results of the strategic behavior of liquidity traders and informed traders. Our results provide a partial explanation for some of the recent empirical findings concerning the patterns of volume and price variability in intraday transaction data.