Pricing Accuracy, Liquidity and Trader Behavior with Closing Price Manipulation

Trader Anonymity, Price Formation and Liquidity

Using data from the Frankfurt Stock Exchange we analyze price formation and liquidity in a non-anonymous environment with similarities to the floor of the NYSE. Our main hypothesis is that the non-anonymity allows the specialist to assess the probability that a trader trades on the basis of private information. He uses this knowledge to price discriminate. This can be achieved by quoting a larg...

Option pricing for a large trader with price impact and liquidity costs

Article history: Received 27 September 2016 Available online xxxx Submitted by A. Sulem

Liquidity, Asset Price and Banking

We consider an economy where people have the needs for liquidity because of the unanticipated consumption opportunity, yet banks may not provide su¢ cient liquidity due to imperfect technology in commitment, enforcement and record-keeping. We show a link between the liquidity generated by bank lending, the value of the asset used as collateral and aggregate economic activity. When the record-ke...

The Effect of Price Tests on Trader Behavior and Market Quality: An Analysis of Reg SHO

Using data from Regulation SHO’s pilot program, we examine how price tests affect trader behavior and market quality, which are areas of interest given by the U.S. Securities and Exchange Commission in evaluating these tests. After comparing sampled matched pairs of pilot and control stocks, we find that the removal of price tests benefit traders by allowing them to trade more aggressively by p...

Pricing Liquidity in Electronic Markets