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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
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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
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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
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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
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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
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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
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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
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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
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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
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Municipal bond markets
Cestau, Dario; Hollifield, Burton; Li, Dan; Schürhoff, … - 2018
The effective functioning of the municipal bond market is crucial for the provision of public services, as it is the largest capital market for state and municipal issuers. Prior research has documented tax, credit, liquidity, and segmentation effects in municipal bonds. Recent regulatory...
Persistent link: https://www.econbiz.de/10011938223