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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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Whose trades convey information? Evidence from a cross-section of traders
Menkhoff, Lukas; Schmeling, Maik - 2007
This paper contributes empirically to our understanding of informed traders. It analyzes traders? characteristics in an electronic limit order market via anonymous trader identities. We use six indicators of informed trading in a cross-sectional multivariate approach to identify traders with...
Persistent link: https://www.econbiz.de/10010262971
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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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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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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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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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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