Price manipulation in a market impact model with dark pool

Market Price Manipulation in a Sequential Trade Model∗

The dynamic version of the Glosten and Milgrom (1985) model of asset pricing with asymmetric information is studied. It is shown that there is a unique equilibrium when the next-period value function of the informed trader, who knows the terminal value of the asset, is strictly convex and strictly monotone in terms of the market maker’s prior belief. A characterization of the bid and ask prices...

Reviewing the Impact of FACTS Devices to Reduce Losses and Voltage Profile in the Pool Market

Abstract: In this paper, a generalized Lagrangian-based algorithm (TRALM) and gravitational search algorithm (GSA) are used to solve the Optimal Load Distribution Problem (OPF) in the presence of FACTS equipment. Four TCSC, TCPST UPFC and SVC equipment’s have been tested. Modeling of FACTS equipment is based on power injection method. To optimally manage production, losses and voltage profiles,...

Unchecked intermediaries: Price manipulation in an emerging stock market

How costly is the poor governance of market intermediaries? Using unique trade level data from the stock market in Pakistan, we find that when brokers trade on their own behalf, they earn annual rates of return that are 50-90 percentage points higher than those earned by outside investors. Neither market timing nor liquidity provision by brokers can explain this profitability differential. Inst...

Market Structure and Price Adjustment in the Iranian Tea Market

A Model of Instantaneous Price Impact and Implied True Price∗

We show that the S-shaped hyperbolic tangent function of signed volume is appropriate to model the price impact of a trade. This model enables an implied true price to be obtained without relying on the quotes. We compare this implied true price with the quotes’ midpoint. For the 1,748 common stocks traded on the NYSE in 1997, we find that the implied true price is superior than the midpoint in...