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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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The information content of option demand
Kehrle, Kerstin; Puhan, Tatjana-Xenia - 2012
This paper combines the concept of market sidedness with excess option demand (changes in open interest) to solve the empirical challenge of separating directional from uninformed trading motives in widely available, unsigned options data. Our measure of options market sidedness persistently...
Persistent link: https://www.econbiz.de/10009684072
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Market Microstructure and the Risks of High-Frequency Trading
Aldridge, Irene - 2013
The current research assesses the risks commonly attributed to the presence of HFT in the context of different market structures deployed by the U.S. exchanges. In particular, we find that, by design, the so-called “normal” exchanges have the lowest market quality, including the highest...
Persistent link: https://www.econbiz.de/10013079007
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How do insiders trade?
Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2016
We characterize how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about (i) the timing of the announcement and (ii) its impact on stock prices. Our theoretical framework generates a rich set of predictions about the...
Persistent link: https://www.econbiz.de/10011541417
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Informed options strategies before corporate events
Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2022
We analyze how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about the timing and impact of these announcements on stock prices. We propose a framework that ranks options trading strategies (option type, maturity, and...
Persistent link: https://www.econbiz.de/10013332282
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Insiderhandel und Optionspreisspannen
Behr, Matina L. - 2000 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001516335
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Do prices in the unmediated call auction reflect insider information? : an experimental analysis
Brünner, Tobias; Levínský, René - 2008
The unmediated call auction is a useful trading mechanism to aggregate dispersed information. Its ability to incorporate information of a single informed insider, however, is less well understood. We analyse this question by presenting a simple call auction game where both auction prices and...
Persistent link: https://www.econbiz.de/10003798364
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Who sees the trades? : the effect of information on liquidity in inter-dealer markets
Garratt, Rod; Lee, Michael Junho; Martin, Antoine; … - 2019
Dealers, who strategically supply liquidity to traders, are subject to both liquidity and adverse selection costs. While liquidity costs can be mitigated through inter-dealer trading, individual dealers' private motives to acquire information compromise inter-dealer market liquidity. Post-trade...
Persistent link: https://www.econbiz.de/10012038817
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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
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Informed Trading Intensity
Bogousslavsky, Vincent; Fos, Vyacheslav; Muravyev, Dmitriy - 2022
We train a machine learning method on a class of informed trades to develop a new measure of informed trading, the Informed Trading Intensity (``ITI''). ITI increases before earnings, M&A, and news announcements, and has implications for return reversal and asset pricing. ITI is effective...
Persistent link: https://www.econbiz.de/10014258813