An open distributed environment can be perceived as a service market where services are freely ooered and requested. Any infrastructure which seeks to provide appropriate mechanisms for such an environment has to include mediator functionality (i.e. a trader) that matches service requests and service ooers. Commonly, the matching process is based upon some IDL{based service type deenition, and ...

To capture trader heterogeneity in a market microstructure setting, we model a trader’s option to trade as an optimal stopping problem. This option to trade is much like a firm’s option to invest in the real options literature. The optimal bid-ask prices quoted by any trader are functions of the joint evolution of their own private value and the private value of their intended trading counterpa...

In this paper, we construct a model incorporating the retail trader’s reluctance to sell into losses. We show that in this setup the informed trader always buys the asset when he receives a favorable signal. However, when the informed trader receives an unfavorable signal, he may not sell the asset if the signal is moderately bad and the retail trader is reluctant to realize losses. Hence the a...

Distributed computing systems are composed of various types and sizes of resources. Providing a reliable and e cient distributed computing environment largely depends on the effective management of these resources. ISO has begun work on a proposed standard for Open Distributed Processing (ODP).The ODP framework includes a mechanism called the Trader which provides a framework for exchanging ser...

This paper addresses several questions surrounding volatility forecasting and its use in the estimation of optimal hedging ratios. Specifically: Are there economic gains by nesting time-series econometric models (GARCH) and dynamic programming models (therefore forecasting volatility several periods out) in the estimation of hedging ratios whilst accounting for volatility in the futures bid–ask...

This paper analyzes models of securities markets with a single strategic informed trader and competitive market makers. In one version, uninformed trades arrive as a Brownian motion and market makers see only the order imbalance, as in Kyle (1985). In the other version, uninformed trades arrive as a Poisson process and market makers see individual trades. This is similar to the Glosten–Milgrom ...

Using proprietary audit trail transactions compiled by the Commodity Futures Trading Commission, we investigate, at the individual trader level, (1) the timing and (2) the determinants of dual traders’ personal trades. Our analysis reveals a surprising absence of any trade timing by dual traders in relation to the execution of their customers’ orders. Further examination employing correlation s...

We consider the problem of stock repurchase over a finite time horizon. We assume that a firm has a reservation price for the stock, which is the highest price that the firm is willing to pay to repurchase its own stock. We characterize the optimal policy for the trader to maximize the total number of shares he can buy over a fixed time horizon. In particular, we study a greedy policy, which in...

Open trading environments involve a type of peer-to-peer computing characterised by well-defined interaction protocols that are used by the traders and sometimes updated dynamically. New traders can arrive at any time and acquire the protocols that are current. Multi-agent system technology is appropriate for these circumstances, and in this paper we present an approach that can be used to supp...