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Introducing a spread into the Kyle model

Salomonsson, Marcus - 2009

The Kyle (1985) model is extended to take into account market maker competition and the spread. It is shown that with a … spread the Kyle model has a Nash equilibrium also with two market makers, not only with three or more, as shown in earlier … research. The spread is endogenized, and two testable predictions of the model are generated. The first is that the spread is …

Persistent link: https://www.econbiz.de/10003814130

The information content of option demand

Kehrle, Kerstin; Puhan, Tatjana-Xenia - 2012

This paper combines the concept of market sidedness with excess option demand (changes in open interest) to solve the empirical challenge of separating directional from uninformed trading motives in widely available, unsigned options data. Our measure of options market sidedness persistently...

Persistent link: https://www.econbiz.de/10009684072

Market Microstructure and the Risks of High-Frequency Trading

Aldridge, Irene - 2013

The current research assesses the risks commonly attributed to the presence of HFT in the context of different market structures deployed by the U.S. exchanges. In particular, we find that, by design, the so-called “normal” exchanges have the lowest market quality, including the highest...

Persistent link: https://www.econbiz.de/10013079007

How do insiders trade?

Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2016

We characterize how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about (i) the timing of the announcement and (ii) its impact on stock prices. Our theoretical framework generates a rich set of predictions about the...

Persistent link: https://www.econbiz.de/10011541417

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

Estimation procedure for "price formation in call actions with insider information"

Brünner, Tobias - 2021

This note provides the details of the estimation procedure in Br¨unner (2019). In Section 2 we derive the posterior distribution. Section 3 describes the MCMC algorithm used to obtain draws from the posterior distribution and in Section 4 we present the method for our model check. We conclude...

Persistent link: https://www.econbiz.de/10012507949

Insiderhandel und Optionspreisspannen

Behr, Matina L. - 2000 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001516335

Who sees the trades? : the effect of information on liquidity in inter-dealer markets

Garratt, Rod; Lee, Michael Junho; Martin, Antoine; … - 2019

Dealers, who strategically supply liquidity to traders, are subject to both liquidity and adverse selection costs. While liquidity costs can be mitigated through inter-dealer trading, individual dealers' private motives to acquire information compromise inter-dealer market liquidity. Post-trade...

Persistent link: https://www.econbiz.de/10012038817

Do prices in the unmediated call auction reflect insider information? : an experimental analysis

Brünner, Tobias; Levínský, René - 2008

The unmediated call auction is a useful trading mechanism to aggregate dispersed information. Its ability to incorporate information of a single informed insider, however, is less well understood. We analyse this question by presenting a simple call auction game where both auction prices and...

Persistent link: https://www.econbiz.de/10003798364

¿SE PUEDE MEDIR LA NEGOCIACIÓN INFORMADA?: UNA REVISIÓN DE LA METODOLOGÍA BASADA EN LAS COVARIANZAS DE LAS SERIES DE PRECIOS / CAN WE MEASURE THE INSIDER TRADING? A REVIEW OF THE A...

Farinós Viñas, J.E.; García Martín, C.J.; Ibáñez … - In: Investigaciones Europeas de Dirección y Economía de … 15 (2009) 2, pp. 201-222

El desarrollo en los modelos teóricos de microestructura ha motivado la aparición de un grupo de trabajos encaminado al estudio empírico de los costes de transacción y sus componentes dada la importancia que han tenido los mismos en el estudio del funcionamiento de los mercados y la...

Persistent link: https://www.econbiz.de/10010565860