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News Trading and Speed
Foucault, Thierry; Hombert, Johan; Rosu, Ioanid - HEC Paris (École des Hautes Études Commerciales) - 2013
Speed matters: we show that an investor's optimal trading strategy is significantly different when he observes news … to news, his trades are much more sensitive to news, account for a much bigger fraction of trading volume, and forecast … short run price changes. Moreover, in this case, an increase in news informativeness increases liquidity, volume, and the …
Persistent link: https://www.econbiz.de/10010832933
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Limelight on dark markets : an experimental study of liquidity and information
Berentsen, Aleksander; McBride, Michael; Rocheteau, … - 2013
The goal of this paper is to study how informational frictions affect asset liquidity in OTC markets in a laboratory setting. The experiments replicate an OTC market similar to the one used in monetary and financial economics (Shi, 1995; Trejos and Wright, 1995; Duffie, Garleanu, and Pedersen, 2005):...
Persistent link: https://www.econbiz.de/10009763984
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High Frequency Trading with Speed Hierarchies
Li, Wei - 2019
Traders differ in speed and their speed differences matter. I model strategic interactions induced when high frequency traders (HFTs) have different speeds in an extended Kyle (1985) framework. HFTs are assumed to anticipate incoming orders and trade rapidly to exploit normal-speed traders'...
Persistent link: https://www.econbiz.de/10012905107
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Limelight on Dark Markets : Theory and Experimental Evidence on Liquidity and Information
Berentsen, Aleksander - 2015
We investigate how informational frictions affect trading in decentralized markets in theory and in a laboratory setting. Subjects, matched pairwise at random, trade divisible commodities that have different private values for a divisible asset with a common value (interpreted as money). We...
Persistent link: https://www.econbiz.de/10013035411
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Chapter 19. Market Liquidity—Theory and Empirical Evidence
Vayanos, Dimitri; Wang, Jiang - 2013
In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures around three basic questions: (a) how to measure illiquidity, (b) how illiquidity relates to underlying market imperfections and other asset characteristics, and (c) how...
Persistent link: https://www.econbiz.de/10014025359
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Search costs and investor trading activity: evidences from limit order book
Lin, William; Tsai, Shih-Chuan; Sun, David - Volkswirtschaftliche Fakultät, … - 2010
We analyze in this study investor trading behavior based not on information related assumptions but on the search model of Vayanos and Wang (2007). Our study shows that search cost dictates trading polarization across investors, firm size and time of day. We find that individual investors prefer...
Persistent link: https://www.econbiz.de/10009654221
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The limits of Central Counterparty Clearing : collusive moral hazard and market liquidity
Koeppl, Thorsten V. - 2013
Can central counterparty (CCP) clearing control counterparty risk in the presence of risk taking that can aggravate such risk? When counterparty risk is not observable, I show that central clearing leads to higher collateral requirements for two different reasons. Without collusion about risk...
Persistent link: https://www.econbiz.de/10009778596
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Learning and Evolution of Trading Strategies in Limit Order Markets
Chiarella, Carl; He, Xue-Zhong; Wei, Lijian - Finance Discipline Group, Business School - 2013
How do traders process and learn from market information, what trading strategies should they use, and how does learning affect the market? This paper proposes a learning model of an articial limit order market with asymmetric information to address these issues. Using a genetic algorithm as a...
Persistent link: https://www.econbiz.de/10010883499
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Learning and Information Dissemination in Limit Order Markets
Wei, Lijian; Zhang, Wei; He, Xue-Zhong; Zhang, Yongjie - Finance Discipline Group, Business School - 2013
What can traders learn and how does learning affect the market? When information is asymmetric, short-lived, and uninformed traders learn, we present an artificial limit order market model to examine the effect of learning, information value, and order aggressiveness on information dissemination...
Persistent link: https://www.econbiz.de/10010754098
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The geography of investor attention
Mengoli, Stefano; Pagano, Marco; Pattitoni, Pierpaolo - 2021
. News volume and volatility amplify this attention gap. Attention appears causally related to perceived proximity: first …
Persistent link: https://www.econbiz.de/10012705617