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Public Information and Stale Limit Orders : The Evidence

Lamoureux, Chris - 2014

In a specialist market public information shocks may generate a sequence of transactions at stale prices, as nimble ﬂoor traders pick oﬀ obsolete limit orders. We design a test for the importance of public information in price formation around this fact. We ﬁnd that removing all...

Persistent link: https://www.econbiz.de/10013065332

Do extreme market value ratios mean that the market is informationally inefficient? : a study of the Warsaw Stock Exchange

Karasiński, Jacek; Zduńczak, Patryk - In: Journal of economics & management 43 (2021) 1, pp. 206-224

Aim/purpose - The aim of this paper is to verify whether extremely high values of market value ratios are the symptoms of informational inefficiency of the market in a weak form. The authors intend to examine whether these phenomena co-occur with each other. Design/methodology/approach -...

Persistent link: https://www.econbiz.de/10013166614

Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models

Alfonsi, Aurélien - 2010

We continue the analysis of optimal execution strategies in the model for a limit order book with nonlinear price impact and exponential resilience that was considered in Alfonsi, Schied, and Fruth (2009). We now allow for non-homogeneous resilience rates and arbitrary trading dates and consider...

Persistent link: https://www.econbiz.de/10013150422

Explaining Securities Markets Efficiency

Sappideen, Razeen - 2009

substantiated truth in 1978. The claims of EMH have been challenged by behavioural theory (which shows that individuals do not act … to maximise their utility as asserted by neoclassical economists), entrepreneurial theory (which explains share price …

Persistent link: https://www.econbiz.de/10013156254

The Paradox of Securities Markets Efficiency

Sappideen, Razeen - 2009

Fama proclaimed to be a well substantiated truth in 1978. Behavioural theory shows that individuals do not act to maximise … their utility as asserted by neoclassical economists, while entrepreneurial theory explains share price movements as being …, securities markets remain competitive. This article explains the need for a new theory which incorporates behavioural aspects of …

Persistent link: https://www.econbiz.de/10013156571

Predatory Trading

Pedersen, Lasse Heje - 2004

This paper studies predatory trading: trading that induces and/or exploits other investors' need to reduce their positions. We show that if one trader needs to sell, others also sell and subsequently buy back the asset. This leads to price overshooting and a reduced liquidation value for the...

Persistent link: https://www.econbiz.de/10012785459

Predatory Trading in a Rational Market

Fardeau, Vincent - 2019

Theories of predatory trading assume exogenous market depth and/or exogenous distress of the prey. By endogenizing both, I obtain a new feedback loop between liquidity and predatory trading. On the one hand, limited depth helps predators move prices to push the prey into distress. On the other...

Persistent link: https://www.econbiz.de/10012905755

Comparison of Stock Valuation Models With Their Intrinsic Value in Tehran Stock Exchange

Amiri, Ali - 2019

Stock evaluation is one of the most important and most complex operational processes in the stock exchange. In financial markets, the pricing of tradable assets plays a basic role in resource allocation. After initial stock valuation of listed companies in Tehran Stock Exchange, some changes...

Persistent link: https://www.econbiz.de/10012891857

The Role of Algorithmic Trading in Stock Liquidity and Commonality in Electronic Limit Order Markets

Moriyasu, Hiroshi - 2018

Using the adoption of the Arrowhead trading platform in January 2010 as an exogenous event, we investigate the effects of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the Tokyo Stock Exchange. After controlling for endogeneity,...

Persistent link: https://www.econbiz.de/10012938466

Uncertain execution in order-driven markets

Sánchez-Betancourt, Leandro - 2021

Persistent link: https://www.econbiz.de/10012939003