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 کاملNoise Traders Incarnate: Describing a Realistic Noise Trading Process
We estimate a realistic process for noise trading to help theorists calibrate their models. For this purpose we characterize the trades executed by individual investors, who are natural candidates for the role of noise traders because their trades are (on average) cross-correlated, loss making, and weakly correlated with stocks’ future fundamentals. We use transactions data from a retail broker...
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...
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ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2012
ISSN: 1862-9679,1862-9660
DOI: 10.1007/s11579-012-0075-4