Taking advantage of a unique corporate bond transaction dataset from the National Association of Securities Dealers (NASD), this paper investigates whether information-based trading takes place in the high-yield corporate bond market, and how firm-specific information flow across related securities, including stocks, options and corporate bonds. Differing from previous studies, I find that curr...

This paper develops a dynamic model of trading with asymmetrically informed traders engaging in (and/or a priori experiencing) information sharing about the long-term value of an asset. We show that in the presence of information sharing, the equilibrium price process is affected by the amount of information shared; trading activity and price volatility both cluster at the end of the trading pe...

We evaluate an agent-based model featuring nearzero-intelligence traders operating in a call market with a wide range of trading rules governing the determination of prices, which orders are executed as well as a range of parameters regarding market intervention by market makers and the presence of informed traders. We optimize these trading rules using a multi-objective population-based increm...

The role of abnormal trading volume on Italian Stock Market is here investigated. According to Fama’s definition of Market Efficiency, no relevancy is left for trading volume. Prices fully reflect all the firm information, so that extra trading investor’s activity cannot have any informative power. In this paper, it is supposed that abnormal volumes can be considered as a signal for informed tr...