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Imperfect Competition and Market Liquidity with a Supply Informed Trader

Dumitrescu, Ariadna - Departament d'Economia i Història Econòmica, … - 2003

We develop a model of insider trading where agents have private information either about liquidation value or about supply and behave strategically to maximize their profits. The supply informed trader plays a dual role in market making and in information revelation. This trader not only reveals...

Persistent link: https://www.econbiz.de/10005572267

Whose trades convey information? Evidence from a cross-section of traders

Menkhoff, Lukas; Schmeling, Maik - 2007

This paper contributes empirically to our understanding of informed traders. It analyzes traders? characteristics in an electronic limit order market via anonymous trader identities. We use six indicators of informed trading in a cross-sectional multivariate approach to identify traders with...

Persistent link: https://www.econbiz.de/10010262971

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

The Trader, the Market Maker, his Guru and her Information

Melissas, Nicolas - Centro de Investigación Económica (CIE), Departamento … - 2007

This paper argues that a guru possessing a multi-dimensional informational advantage may want to truthfully report her opinion to the media to learn more out of the actions of other, sometimes better-informed traders.

Persistent link: https://www.econbiz.de/10005151230

Non-Fundamental Information and Market-Makers' Behavior during the NASDAQ Preopening Session

Lescourret, Laurence - ESSEC Business School - 2012

This paper examines whether NASDAQ dealers' preopening quotes might be related to non-fundamental information, that is, information about transient trading pressure un- related to fundamentals. Preopening quotes posted by wholesalers (dealers specialized in market-making and thus presumably more...

Persistent link: https://www.econbiz.de/10010604054

Revolutionizing finance with bitcoin and blockchain : a literature review and research agenda

Han, Sirui; Lu, Haitian; Wu, Hao - In: China Accounting and Finance Review 26 (2024) 4, pp. 413-430

Purpose Our analysis is targeted at researchers in the fields of economics and finance, and we place emphasis on the incremental contributions of each paper, key research questions, study methodology, main conclusions and data and identification tactics. By focusing on these critical areas, our...

Persistent link: https://www.econbiz.de/10015077482

Strategic Behaviour and Price Discovery

Medrano, Luis Angel; Vives, Xavier - C.E.P.R. Discussion Papers - 1997

The paper analyses the effects of strategic behaviour by an insider in a price discovery process, akin to an information tâtonnement, in the presence of a competitive informed sector. Such processes are used in the pre-opening period of continuous trading systems in several exchanges. It is...

Persistent link: https://www.econbiz.de/10005124308

Does it pay to voluntarily disclose private information?

LESHCHINSKII, Dima - HEC Paris (École des Hautes Études Commerciales) - 2001

This paper studies how strategic interaction between players can influence their decisions as to whether to acquire information and whether to reveal their private information to others. We show how a player can increase his utility by disclosing part of his private information, when such...

Persistent link: https://www.econbiz.de/10005011539