Abstract
In a dynamic model of financial market trading multiple heterogeneously informed traders choose when to place orders. Better informed traders trade immediately, worse informed delay even though they expect the public expectation to move against them. This behavior causes distinct patterns with decreasing spreads and probability of informed trading (PIN) and increasing volume. Competition increases market participation and volume, and it causes more pronounced spread and less pronounced volume patterns. Systematic improvements in information increase spreads, volume, and market participation. Very short-lived private information inverts the volume pattern.
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