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Informed Trading and Maker-Taker Fees in a Low-Latency Limit Order Market
Brolley, Michael - 2020
We model a financial market where privately informed investors trade in a limit order book monitored by professional liquidity providers. Price competition between informed limit order submitters and professional market makers allows us to capture tradeoffs between informed limit and market...
Persistent link: https://www.econbiz.de/10012857157
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Price manipulation, dynamic informed trading, and the uniqueness of equilibrium in sequential trading
Takayama, Shino - In: Journal of economic dynamics & control 125 (2021), pp. 1-34
Persistent link: https://www.econbiz.de/10012666959
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Price manipulation, dynamic informed trading, and the uniqueness of equilibrium in sequential trading
Takayama, Shino - 2020
Persistent link: https://www.econbiz.de/10012317719
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Pinning down an effective measure for probability of informed trading
Petchey, James; Wee, Marvin; Yang, Wenling - In: Pacific-Basin finance journal 40 (2016), pp. 456-475
Persistent link: https://www.econbiz.de/10011712277
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Informed trading and the price impact of block trades : a high frequency trading analysis
Sun, Yuxin; Ibikunle, Gbenga - In: International review of financial analysis 54 (2017), pp. 114-129
Persistent link: https://www.econbiz.de/10011878187
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Are trading imbalances indicative of private information?
Kim, Sukwon Thomas; Stoll, Hans R. - In: Journal of financial markets 20 (2014), pp. 151-174
Persistent link: https://www.econbiz.de/10010442382
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Strategic insider trading equilibrium with a non-fiduciary market maker
Aase, Knut K.; Øksendal, Bernt K. - 2019
Persistent link: https://www.econbiz.de/10012178138
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Insider trading with temporary price impact
Barger, Weston; Donnelly, Ryan - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10012650316
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Price formation and market quality when the number and presence of insiders is unknown
Schnitzlein, Charles R. - In: The review of financial studies 15 (2002) 4, pp. 1077-1109
Persistent link: https://www.econbiz.de/10001716077
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Snowballing private information
Sadzik, Tomasz; Woolnough, Chris - In: Journal of economic theory 198 (2021), pp. 1-33
Persistent link: https://www.econbiz.de/10012818831