Rogue traders
نویسندگان
چکیده
Abstract Investing on behalf of a firm, trader can feign personal skill by committing fraud that with high probability remains undetected and generates small gains, but low bankrupts the offsetting ostensible gains. Honesty requires enough skin in game : if two traders isoelastic preferences operate continuous time one them is honest, other honest as long respective fraction capital above an endogenous threshold depends trader’s skill. If both cheat, they reach Nash equilibrium which each lower than were honest. More skill, higher risk aversion, longer horizons volatility all lead to honesty wider range allocations between traders.
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 کاملRogue waves
“It came from nowhere, snapping giant ships in two. No one believed the survivors ... until now” screamed the cover of New Scientist magazine on 30 June 2001, introducing an article entitled “Monsters of the Deep”. The power and danger suggested by the term “rogue” add to the public fascination with extreme ocean waves, but they also present important and challenging scientific problems and pro...
متن کاملDo retail traders suffer from high frequency traders?
Using a change in regulatory fees in Canada in April 2012 that affected algorithmic quoting activities, we analyze the impact of high frequency quoting and trading on market quality, trader behavior, and trading costs and profits. Following the change, algorithmic message traffic, i.e. the number of orders, trades, and order cancellations, dropped by 30% and the bid-ask spread rose by 9%. Using...
متن کاملCooperation Policies for Traders
[NiGo94] Y. Ni and A. Goscinski. Trader cooperation to enable object sharing among users of homogeneous distributed systems. been described in section 3 are applied. This means answering the questions of the introduction either by the system administrator or automatically. In a next step, cost and security aspects will be included. To prepare this, cost have already been included in the general...
متن کاملZero-Knowledge Traders
We provide simple general-purpose rules for agents to buy inputs, sell outputs and set production rates. The agents proceed by trial and error using PID controllers to adapt to past mistakes. These rules are computationally inexpensive, use little memory and have zero-knowledge of the outside world. We place these zero-knowledge agents in a monopolist and a competitive market where they achieve...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2023
ISSN: ['1432-1122', '0949-2984']
DOI: https://doi.org/10.1007/s00780-023-00507-z