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Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?
Grammig, Joachim; Theissen, Erik - University of Bonn, Germany - 2002
. The data needed for estimation is the number of buyer- and seller-initiated trades. This information often has to be … biased estimation of the probability of informed trading when applying the EKOP methodology. The estimate is biased downward …
Persistent link: https://www.econbiz.de/10004968342
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Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?
Grammig, Joachim; Theissen, Erik - School of Economics and Political Science, Universität … - 2003
. The data needed for estimation is the number of buyer- and seller-initiated trades. This information often has to be … biased estimation of the probability of informed trading when applying the EKOP methodology. The estimate is biased downward …
Persistent link: https://www.econbiz.de/10005200671
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Fair risk allocation in illiquid markets
Csoka, Peter - Közgazdaság-tudományi Intézet, Közgazdaság- és … - 2015
performance evaluation of the divisions. In this paper we use cooperative game theory and simulation to assess the possibility to …
Persistent link: https://www.econbiz.de/10011253012
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A Case Study of Illegal Insider Trading — The Scandal of Vultures' Insider Trading
Huang, Yu Chuan; Chan, Shu Hui - In: Review of Pacific Basin Financial Markets and Policies … 14 (2011) 01, pp. 81-99
The purpose of this paper is to look at the duration of the four-month period before the window dressing of Power Quotient International Co., LTD. (PQI) annual report between 2004 and 2005 was disclosed. The vultures sold 6,373,000 shares of PQI's stock based on the illegally obtained insider...
Persistent link: https://www.econbiz.de/10008863008
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Risk Allocation under Liquidity Constraints
Csoka, Peter; Herings, P. Jean-Jacques - Közgazdaság-tudományi Intézet, Közgazdaság- és … - 2013
Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity policy specifies state-dependent liquidity requirements...
Persistent link: https://www.econbiz.de/10010699525
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Risk allocation under liquidity constraints
Csóka, Péter; Herings, P. Jean-Jacques - In: Journal of Banking & Finance 49 (2014) C, pp. 1-9
Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity policy specifies state-dependent liquidity requirements...
Persistent link: https://www.econbiz.de/10011118105
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On Linearity Of Transaction Costs In Order Driven Market
Andreev, Nikolay A. - National Research University Higher School of Economics - 2014
We research the properties of implicit transaction costs function for general-shaped limit order book. Equivalent conditions for linearity of the function are presented in terms of market liquidity. We also present a suitable functional form of implicit costs for order-driven market on the...
Persistent link: https://www.econbiz.de/10011098911
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The Empirical Analysis of Liquidity
Holden, Craig W.; Jacobsen, Stacey; Subrahmanyam, Avanidhar - In: Foundations and Trends(R) in Finance 8 (2014) 4, pp. 263-365
We provide a synthesis of the empirical evidence on market liquidity. The liquidity measurement literature has established standard measures of liquidity that apply to broad categories of market microstructure data. Specialized measures of liquidity have been developed to deal with data...
Persistent link: https://www.econbiz.de/10011099777
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Risk Allocation under Liquidity Constraints
Csóka, Péter; Herings, P. Jean-Jacques - Fondazione ENI Enrico Mattei (FEEM) - 2014
Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity policy specifies state-dependent liquidity requirements...
Persistent link: https://www.econbiz.de/10010781880
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Modeling Trade Direction
Rosenthal, Dale W.R. - Volkswirtschaftliche Fakultät, … - 2008
The problem of classifying trades as buys or sells is examined. I propose estimated quotes for midpoint and bid/ask tests and a modeling approach to classification. Prevailing quotes are estimated using flexible approximations to the distribution for delays of quotes relative to trade...
Persistent link: https://www.econbiz.de/10005619383