Informed and Uninformed Trading in the EUR/PLN Spot Market

Optimal Informed Trading in a Quote-Driven Market

This paper presents a model of a quote-driven market with asymmetric information. The model is similar to the Glosten-Milgrom (1985) model, except that we allow the informed trader to optimally time his trades, rather than employing a probabilistic selection process for informed and uninformed trades. The contribution of the paper is to show that the probabilistic arrival process is a robust as...

Towards a European Market of Electricity : Spot and Derivatives Trading

Public information and uninformed trading: Implications for market liquidity and price efficiency

We develop a rational expectations equilibrium model in which noise trading comes from discretionary liquidity traders. The equilibrium quantity of aggregate noise trading is endogenously determined by the population size of liquidity traders active in the financial market. By improving market liquidity, public information reduces the expected trading loss of liquidity traders and thus attracts...

Assessment of informed trading in the Brazilian equity market: Market cleanliness methodology

This study extends prior work on the measurement of informed trading to the Brazilian equity market. The quantitative analysis employed two market cleanliness methodologies that have been widely applied in academic and regulatory research and that could be replicated using public data. The analysis advances our understanding of Brazil’s capital market integrity, provides a baseline for assessme...

The Informed and Uninformed Agent's Price of a Contingent Claim

The existence of an adapted solution to a backward stochastic differential equation which is not adapted to the ltration of the underlying Brownian motion is proved. This result is applied to the pricing of contingent claims. It allows to compare the prices of agents who have di erent information about the evolution of the market. The problem is considered in both the classical and the F ollme...