منابع مشابه
Informed Traders
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies based on the additional information. In this model market participants have access to a stream of noisy information concerning the future return of an asset, whe...
متن کاملSo What Orders Do Informed Traders Use ? ∗
We present a simple, Glosten-Milgrom type equilibrium model to analyze the decision of informed traders on whether to use limit or market orders. We show that even after incorporating an order’s price impact, not only may informed traders prefer to use limit orders, but the probability that they submit limit orders can be so high that limit orders convey more information than market orders. We ...
متن کاملAre Accruals Profits Illusory to Informed Traders?∗
We find that accruals mispricing is more pronounced for stocks with higher level of probability of informed trading (PIN). We interpret it as the evidence of informed traders using their proprietary information on accruals quality to trade against average investors. The informed traders’ arbitrage generates an annualized size and book-to-market adjusted abnormal return of 19.81% over the 1993-2...
متن کاملPrice Discovery on Foreign Exchange Markets with Differentially Informed Traders
This paper uses Reuters high-frequency exchange rate data to investigate the contributions to the price discovery process by individual banks in the foreign exchange market. We propose multivariate time series models in calendar time as well as in tick time to study the dynamic relations between the quotes of individual banks. We investigate the hypothesis that German banks are price leaders in...
متن کاملArrival Dynamics of Informed and Uninformed Traders into Tehran Stock Exchange
Objective: The aim of this study is to model arrival process of informed and uninformed traders into Tehran Stock Exchange (TSE) as well as to assess the interaction between two types of traders which is an important yet neglected topic. Methods: In this study, a sequential trade model was estimated based on trading data of 33 stocks belonging to 11 industries of TSE during the period from 201...
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ژورنال
عنوان ژورنال: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences
سال: 2008
ISSN: 1364-5021,1471-2946
DOI: 10.1098/rspa.2008.0465