This paper is concerned with how a front-running high-frequency trader (HFT) influences the large trader: whether and under what conditions the latter is harmed or benefited. We study, in the extended Kyle's model, the interactions between a large informed trader and an HFT who can predict the...

In this paper, we present a straightforward economic model that explains the incentives to manipulate nodal energy prices in a “Day 2” RTO market. The model distinguishes between legitimate market participation that increases overall market efficiency and manipulative behavior that distorts...

We study the timing of leniency applications using a novel application of multi-spell discrete-time survival analysis for a sample of cartels that were prosecuted by the European Commission (EC) between 1996 and 2014. The start of an EC investigation does not affect the rate at which...

To establish stock-versus-flow orientations of a commodity, the mediating role of inventories in price formation is considered. This framework is tested by examining responses of COMEX gold, silver, and copper to macroeconomic news releases. Standard responsiveness-tests, which ignore the role...

Competition among sellers of information in a noisy rational expectation equilibrium is considered. Trader's preferences for information are explicitly characterized. It is shown that the competition on market for information makes providers of financial information to price their products in a...

This paper examines the interplay between financial market trading and product market competition. An entrant learns about product demand from trading volume in incumbent firm’s stock market before his entry decision. Without initial stake in incumbent firm, an informed investor trades on her...

The spread of the COVID-19 pandemic and government interventions have reshaped economic activity with abrupt changes in household consumption behavior across the world. This paper provides an empirical investigation of how the COVID-19 vaccine rollout has affected consumer spending at daily...

In this paper, the interactions between a large informed trader (IT, for short) and a high-frequency trader (HFT, for short) who can anticipate the former's incoming order are studied in an extended Kyle's model. Equilibria under various specific situations are discussed. We find that, in...

We provide a discipline for beliefs formation through a model of subjective beliefs, in which agents hold incorrect but strategic beliefs. More precisely, we consider beliefs as a strategic variable that agents can manipulate to maximize their utility from trade. Our framework is therefore an...

We consider a 2-period model in which buyers can store the good - purchasing in advance of consumption so as to realize potential gains from inter-temporal price arbitrage - and examine the impact of market structure on the resulting inter-temporal price path and allocation. The main result is...