In this study, we examine the rationale that informed traders use in choosing various financial instruments in order to speculate on the volatility of the underlying asset, here a common stock. Using a continuous-time trading model, we demonstrate that the quality of the private information...

The rate of information diffusion and, consequently, price discovery are conditional not only upon the design of the market microstructure but also the informational structure. This paper presents a market microstructure model showing that an increasing number of information hierarchies among...

This paper introduces a new nonparametric test to identify jump arrival times in high frequency financial time series data. The asymptotic distribution of the test is derived. We demonstrate that the test is robust for different specifications of price processes and the presence of the...