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Introducing a spread into the Kyle model
Salomonsson, Marcus - 2009
The Kyle (1985) model is extended to take into account market maker competition and the spread. It is shown that with a … spread the Kyle model has a Nash equilibrium also with two market makers, not only with three or more, as shown in earlier … research. The spread is endogenized, and two testable predictions of the model are generated. The first is that the spread is …
Persistent link: https://www.econbiz.de/10010281344
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Price efficiency and trading behavior in limit order markets with competing insiders
Stöckl, Thomas - 2013
limit (market) orders if the asset's value is inside (outside) the bid-ask spread. (v) In situations where limit and market …
Persistent link: https://www.econbiz.de/10009744178
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Cross-Sectional Identification of Informed Trading
Bongaerts, Dion - 2016
We propose a new approach to measuring informed trading in individual securities based on a portfolio optimization model for investors facing information and liquidity shocks. These shocks induce speculative and liquidity-motivated order flow, taking into account the price impact of trading. The...
Persistent link: https://www.econbiz.de/10013000039
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Asymmetric Information and the Distribution of Trading Volume
Lof, Matthijs - 2019
We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a microstructure model to demonstrate that VCV is strictly increasing in the...
Persistent link: https://www.econbiz.de/10012903640
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Demand Shocks and Market Manipulation
Pinheiro, Marcelo - 2015
In this paper, we analyze the conflicts of interest of an informed agent who is responsible for divulging his private information about a company and has a reward function positively dependent on its stock price. We assume that the demand for the stock is subject to shocks that may increase...
Persistent link: https://www.econbiz.de/10013011536
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Asymmetric Information and the Distribution of Trading Volume
Lof, Matthijs - 2018
We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a simple microstructure model to demonstrate that VCV is strictly increasing in the...
Persistent link: https://www.econbiz.de/10012929586
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Dynamic Noisy Rational Expectations Equilibrium with Insider Information
Detemple, Jerome; Rindisbacher, Marcel; Robertson, Scott - 2020
We study equilibria in multi-asset and multi-agent continuous-time economies with asymmetric information and bounded rational noise traders. We establish existence of two equilibria. First, a full communication one where the informed agents' signal is disclosed to the market, and static policies...
Persistent link: https://www.econbiz.de/10014096110
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Introducing a spread into the Kyle model
Salomonsson, Marcus - 2009
The Kyle (1985) model is extended to take into account market maker competition and the spread. It is shown that with a … spread the Kyle model has a Nash equilibrium also with two market makers, not only with three or more, as shown in earlier … research. The spread is endogenized, and two testable predictions of the model are generated. The first is that the spread is …
Persistent link: https://www.econbiz.de/10003814130
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Estimation procedure for "price formation in call actions with insider information"
Brünner, Tobias - 2021
This note provides the details of the estimation procedure in Br¨unner (2019). In Section 2 we derive the posterior distribution. Section 3 describes the MCMC algorithm used to obtain draws from the posterior distribution and in Section 4 we present the method for our model check. We conclude...
Persistent link: https://www.econbiz.de/10012507949
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Strategic Insider Trading : Disguising Order Flows to Escape Trading Competition
Gu, Dingwei; Liu, Xin; Sun, Hanwen; Zhao, Huainan - 2021
Short sellers actively exploit trading opportunities from insider sales. We argue that, in response to concern about potential order flow information leakage, insiders strategically disguise their order flows to escape trading competition. Our model predicts that, when short sellers are...
Persistent link: https://www.econbiz.de/10013244623