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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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Exchange rate predictability and dynamic Bayesian learning
Schüssler, Rainer; Beckmann, Joscha; Koop, Gary; … - 2018
small set of macroeconomic fundamentals being relevant for forecasting. …
Persistent link: https://www.econbiz.de/10011892028
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 The Validity of Models on the Information Content of Trades
Brandes, Â Leif; Franck, Â Egon; Verbeek, Â Erwin - Institut für Strategie und Unternehmensökonomik …
 Measuring the (private) information content of stock trades is an important topic in market microstructure research. A common problem of stock markets is that it is ex-ante not possible to separate phases where the scope for asymmetric information is likely to be broader from those, where...
Persistent link: https://www.econbiz.de/10008594238
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Decomposing the Probability of Informed Trading Measure
Wei, Wang Chun - 2018
This paper aims to analyze the dynamics of information asymmetry in market microstructure through the Easley et al. (2002)'s PIN framework in two segments. Firstly, we test to see if factors such as size, value and illiquidity can be used to explain PIN. Secondly, we extend beyond the...
Persistent link: https://www.econbiz.de/10012940131
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Multilayer Probability of Informed Trading
Ersan, Oguz - 2017
This paper demonstrates the multilayer structure of information in financial markets. While only 3.59% of 8,190 stock/quarter pairs have single information layer, 75% have two to five layers and 18% have six to eight layers. We develop a clustering algorithm which determines the number of...
Persistent link: https://www.econbiz.de/10012967326
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Term-Structure Analysis of Hidden Order in the Limit Order Book : Evidence from the E-Mini S&P 500
Phuensane, Pongsutti - 2016
The hidden order is currently increasingly popular as a standard feature of electronic limit order book markets. The invisible order allows traders to hide all, or partially hide their orders to avoid exposure to risk. I propose a new hidden order detection algorithm for the limit order book to...
Persistent link: https://www.econbiz.de/10012981156
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On the Dark Side of the Market : Identifying and Analyzing Hidden Order Placements
Hautsch, Nikolaus - 2012
Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...
Persistent link: https://www.econbiz.de/10013110796
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On the dark side of the market : identifying and analyzing hidden order placements
Hautsch, Nikolaus; Huang, Ruihong - 2012 - First Version: December 2010, This Version: January 2012
Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...
Persistent link: https://www.econbiz.de/10009487319
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On the dark side of the market : identifying and analyzing hidden order placements
Hautsch, Nikolaus; Huang, Ruihong - 2012
Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...
Persistent link: https://www.econbiz.de/10009504616
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Estimation of the Probability of Informed Trading Models Via an Expectation-Conditional Maximization Algorithm
Ghachem, Montasser; Ersan, Oguz - 2022
-conditional maximization (ECM) algorithm to estimate the various models of probability of informed trading. In particular, we derive optimal … literature. In addition to providing more accurate estimates of probability parameters, the ECM algorithm allows for an … the ECM estimation in the R package dedicated to the estimation of probability of informed trading models: PINstimation …
Persistent link: https://www.econbiz.de/10013406017