Similar Search Results

Detecting informed trading activities in the options markets

Chesney, Marc; Crameri, Remo; Mancini, Loriano - 2011

We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading tends to cluster prior to certain events, takes place...

Persistent link: https://www.econbiz.de/10009314008

Detecting informed trading activities in the options markets : appendix on subprime financial crisis

Chesney, Marc; Crameri, Remo; Mancini, Loriano - 2011

This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such...

Persistent link: https://www.econbiz.de/10009314012

Crashes and high frequency trading : [an evaluation of risks posed by high-speed algorithmic trading]

Becke, Susanne von der; Sornette, Didier - 2011

Persistent link: https://www.econbiz.de/10009561750

Super-exponential bubbles in lab experiments : evidence for anchoring over-optimistic expectations on price

Huesler, Andreas D.; Sornette, Didier; Hommes, Cars H. - 2012

We analyze a controlled price formation experiment in the laboratory that shows evidence for bubbles. We calibrate two … models that demonstrate with high statistical significance that these laboratory bubbles have a tendency to grow faster than …

Persistent link: https://www.econbiz.de/10009560804

Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders

Kaizoji, Taisei; Leiss, Matthias; Saičev, Aleksandr I.; … - 2015

We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which …

Persistent link: https://www.econbiz.de/10011293440

Rational asset pricing bubbles and portfolio constraints

Hugonnier, Julien - 2010

This article shows that the presence of portfolio constraints can give rise to rational asset pricing bubbles in … opportunities. Furthermore, it is shown that when they are present bubbles can lead to both multiplicity and real indeterminacy of … make bubbles a necessary condition for the existence of an equilibrium …

Persistent link: https://www.econbiz.de/10003966068

NFT Bubbles

Barbon, Andrea; Ranaldo, Angelo - 2023

asset bubbles.Given that NFTs are recorded in public blockchains, we are able to track investor behavior over time, leading … narrative surrounding asset pricing bubbles …

Persistent link: https://www.econbiz.de/10014254196

FinTech, Investor Sophistication and Financial Portfolio Choices

Gambacorta, Leonardo; Gambacorta, Romina; Mihet, Roxana - 2023

This paper analyses the links between advances in financial technology, investors’ sophistication, and the composition and returns of their financial portfolios. We develop a simple portfolio choice model under asymmetric information and derive some theoretical predictions. Using detailed...

Persistent link: https://www.econbiz.de/10014355114

Crash-o-phobia in currency carry trade returns

Hammerschmid, Regina; Janssen, Alexandra - 2018

Currency carry trade returns are on average large and non-normally distributed. While the literature has found different explanations for the existence of carry trade returns, the higher order moments of their return distribution still pose a puzzle. We propose a new model to explain these...

Persistent link: https://www.econbiz.de/10011937090

Electronic trading in OTC markets vs. centralized exchange

Liu, Ying; Vogel, Sebastian; Zhang, Yuan - 2017

We model a two-tiered market structure in which an investor can trade an asset on a trading platform with a set of dealers who in turn have access to an interdealer market. The investor's order is informative about the asset's payoff and dealers who were contacted by the investor use this...

Persistent link: https://www.econbiz.de/10011877487