Price Formation in Markets with Trading Delays

An earlier version of this paper was circulated under the title “Informed Trading in Markets with Trading Delays” (Üslü 2020). The authors thank, for helpful comments and suggestions, the editor Bruno Biais, one anonymous associate editor, and two anonymous referees, as well as Daniel Andrei, Simon Board, Will Cong, Adrien d’Avernas, Nicolae Gârleanu, Ben Lester, Wei Li, David McAdams, Tomasz Sadzik, Zhaogang Song, Aleh Tsyvinski, Laura Veldkamp, Güner Velioğlu, Pierre-Olivier Weill, and the participants at the UCLA Theory Proseminar. The empirical analyses in this paper were completed when Gábor Pintér was at the Bank of England. The views expressed in this paper are those of the authors, and not necessarily those of the Bank for International Settlements, the Bank of England, or their committees.