Frequent Batch Auctions and Informed Trading
نویسندگان
چکیده
منابع مشابه
Implementation Details for Frequent Batch Auctions: Slowing Down Markets to the Blink of an Eye
Financial exchanges around the world predominantly use a market design called the continuous limit order book (CLOB). Our recent research, Budish, Cramton, and Shim (2013)— henceforth, BCS—argues that this design is flawed. In a continuous-time market, every time there is new public information that has implications for security prices—every change in the price of one security that has implicat...
متن کاملHow (Un)Informed Is Trading?
We estimate a structural model of strategic trader behavior that sheds light on the determinants of trading volume and stock returns. Our novel identification approach exploits enormous empirical variation in trading and volatility associated with the time of day and public news arrival. Over 95% of trading occurs during regular market hours (9:30am to 4pm), even though prices exhibit considera...
متن کاملInformed Trading in Stock and Option Markets
We investigate the contribution of option markets to price discovery, using a modification of Hasbrouck’s (1995) “information share” approach. Based on five years of stock and options data for 60 firms, we estimate the option market’s contribution to price discovery to be about 17% on average. Option market price discovery is related to trading volume and spreads in both markets, and stock vola...
متن کاملInformed trading and the 'leakage' of information
This paper, in a Shapley-Shubik market game framework, examines the effect of “leakage” of information: private information becoming available to uninformed traders at a later date. We show that (a) If information acquisition by the informed traders is costless, this leads to faster revelation of information; (b) If information acquisition is costly, there may be no acquisition of information; ...
متن کاملInformed Trading and the Cost of Capital
Does information asymmetry among traders of a firm’s stock increase its cost of capital? We first show that institutional traders in the Shanghai Stock Exchange have a strong information advantage. We then show that past aggressiveness of institutional trading in a stock is a good predictor of institutions’ current and future information advantage in this stock. Sorting stocks on this predictor...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2022
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.4065547