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Removing systematic patterns in returns in a financial market model by artificially intelligent traders
Witte, Björn-Christopher - 2011
The unpredictability of returns counts as a stylized fact of financial markets. To reproduce this fact, modelers usually implement noise terms - a method with several downsides. Above all, systematic patterns are not eliminated but merely blurred. The present article introduces a model in which...
Persistent link: https://www.econbiz.de/10009424774
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Measuring Mispricing in Experimental Asset Markets
Powell, Owen - 2015
Mispricing (the difference between prices and their underlying fundamental values) is an important characteristic of markets. The literature on the topic consists of many different measures. This state of affairs is unsatisfactory, since it is not clear to which extent results are sensitive to...
Persistent link: https://www.econbiz.de/10013032538
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Competition for attention in the ETF space
Ben-David, Itzhak; Franzoni, Francesco; Kim, Byungwook; … - 2021
The interplay between investors' demand and providers' incentives has shaped the evolution of exchange-traded funds (ETFs). While early ETFs offered diversification at low cost, later ETFs track niche portfolios and charge high fees. Strikingly, over their first five years, specialized ETFs lose...
Persistent link: https://www.econbiz.de/10012421474
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Momentum Crashes and the 52-Week High
Byun, Suk-Joon - 2018
Momentum strategies suffer from occasional large drawdowns referred to as momentum crashes when the market rebounds. This paper documents that stocks far from peaks outperform stocks near peaks, and momentum crashes are attributable to such outperformance. Market rebounds triggers increase in...
Persistent link: https://www.econbiz.de/10012934906
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High-frequency trading around large institutional orders
Kervel, Vincent van; Menkveld, Albert J. - 2017
Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large …
Persistent link: https://www.econbiz.de/10011725287
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Do algorithmic traders improve liquidity when information asymmetry is high?
Jain, Archana; Jain, Chinmay; Khanapure, Revansiddha … - In: The quarterly journal of finance 11 (2021) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10012649846
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Do Proprietary Algorithmic Traders Withdraw Liquidity During Market Stress?
Nawn, Samarpan - 2017
We investigate the role of proprietary algorithmic traders (PAT) in facilitating liquidity in a limit order market … HFT mimics the behaviour of its parent class. This is inconsistent with the theory that fast traders leave the market when … reducing the supply of liquidity during stress situations. The presence of faster traders in the market possibly instils the …
Persistent link: https://www.econbiz.de/10012944874
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Trader Leverage and Liquidity
Kahraman, Bige - 2016
Does trader leverage drive equity market liquidity? We use the unique features of the margin trading system in India to … identify a causal relationship between traders' ability to borrow and a stock's market liquidity. To quantify the impact of … trading eligibility. We find that liquidity is higher when stocks become eligible for margin trading and that this liquidity …
Persistent link: https://www.econbiz.de/10013006986
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Trader positions and marketwide liquidity demand
Onur, Esen; Roberts, John S.; Tuzun, Tugkan - 2017
changes carries important information about liquidity demand in the market. From this distribution of trader position …-changes, we construct a marketwide measure for intraday liquidity demand that does not necessarily depend on aggressive trading …. Using a rich regulatory dataset on S&P 500 E-mini futures and 10-year Treasury futures markets, we show that this liquidity …
Persistent link: https://www.econbiz.de/10011803199
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Multiple markets, algorithmic trading, and market liquidity
Upson, James; Van Ness, Robert A. - In: Journal of financial markets 32 (2017), pp. 49-68
Persistent link: https://www.econbiz.de/10011814965