We study the manipulation of prices in a dynamic version of the Glosten and Milgrom (1985) model with a long-lived informed trader. We clarify the conditions under which a unique equilibrium exists and show that when the equilibrium is unique, bid and ask prices are monotonically increasing functions of the market maker’s belief about the value of the asset. We also characterize the situations in which this equilibrium involves manipulation of prices by the informed trader. Finally, we describe a computational method to find equilibria in the model, and simulation results confirm and extend our theoretical findings.

中文翻译：

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价格操纵，动态知情交易和顺序交易中均衡的独特性

我们研究了动态的Glosten和Milgrom（1985）模型中的价格操纵情况，该模型具有长期存在的知情交易者。我们弄清存在唯一均衡的条件，并表明当均衡是唯一时，买价和卖价是做市商对资产价值的信念的单调递增函数。我们还描述了这种均衡涉及知情交易者操纵价格的情况。最后，我们描述了一种在模型中找到平衡点的计算方法，仿真结果证实并扩展了我们的理论发现。