This paper considers the problem of information acquisition in an intermediated market, where the specialists have access to superior technology for acquiring information. These informational advantages of specialists relative to households lead to disagreement between the two groups, changing...

In the repo market, forward agreements are security-specific (i.e., there are no deliverable substitutes), which makes it an ideal place to measure the value of fluctuations in a security's available supply. In this study, we quantify the scarcity value of Treasury collateral by estimating the...

Can limits to arbitrage explain historical asset price reversals? During the "British Bicycle Mania" of 1896-1898, cycle share prices rose by 200 per cent before falling 76 per cent from their peak value. This paper argues that arbitrage during this episode was limited by the risk of being...

This paper studies how the allocation of residual losses affects trading and welfare in a central counterparty. I compare loss sharing under two loss-allocation mechanisms - variation margin haircutting and cash calls - and study the privately and socially optimal degree of loss sharing. For...

Technological revolutions are often accompanied by substantial stock price reversals, but previous literature has produced competing explanations for why this is the case. This paper brings new evidence to this debate using data from the innovation-driven British Bicycle Mania of 1895-1900, in...

In this study we combine clustering techniques with a moving window algorithm in order to filter financial market data outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset using a cluster analysis technique taking into...

We study the role of high-frequency trading in a dynamic limit order market. Being fast is valuable because it enables traders to revise outstanding limit orders upon news arrivals when interacting with slow market participants. On the one hand, the existence of fast traders can help to reduce...

This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are...

The present study explores the effect of the gambler's fallacy on stock trading volumes. I hypothesize that if a stock's price rises (falls) during a number of consecutive trading days, then the gambler's fallacy may cause at least some of the investors to expect that the stock's price 'has' to...

The implementation of an innovative idea by small and medium-sized enterprises often is difficult because of the difficulty in finding a source of financing. The modern level of development of communication technology, exchange of information, the possibility of combining these potentials and...