We analyze the optimal allocation of trades to portfolios when the cost associated with an allocation is proportional to each portfolio’s risk. Our investigation is motivated by changes in the over-the-counter derivatives markets, under which some contracts may be traded bilaterally or through central counterparties, splitting a set of trades into two or more portfolios. A derivatives dealer fa...

We consider the implications of a regime change regarding the timing of reports of trades made by corporate insiders. Presently, insiders report their trades after the fact; however, recently there have been renewed calls for insiders to pre-announce their trades to curb insiders’ ability to profit from their information advantage. Pre-announcement by insiders removes noise trades as source of ...

We provide empirical evidence on the economic benefits of negotiating trades in the upstairs trading room of brokerage firms relative to the downstairs market. Using Helsinki Stock Exchange data, we find that upstairs trades tend to have lower information content and lower price impacts than downstairs trades. This is consistent with the hypotheses that the upstairs market is better at pricing ...

A μ-way k-homogeneous Latin trade was defined by Bagheri Gh, Donovan, Mahmoodian (2012), where the existence of 3-way k-homogeneous Latin trades was specifically investigated. We investigate the existence of a certain class of μ-way k-homogeneous Latin trades with an idempotent like property. We present a number of constructions for μ-way k-homogeneous Latin trades with this property, and show ...

Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades, we show that the underlying point process is essentially nonMarkovian. A detailed analysis of all trades in the EESR stock on the Moscow International Currency Exchange in the period J...