Momentum is the notion that an asset that has performed well in the past will continue to do so for some period. We study the optimal liquidation strategy for a momentum trade in a setting where the drift of the asset drops from a high value to a smaller one at some random change-point. This change-point is not directly observable for the trader, but it is partially observable in the sense that...

We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or limit orders, which are represented respectively by impulse controls and regular controls. We model and discuss the consequences of the two main features of this...

This brief technical note introduces PRZI (Parameterised-Response Zero Intelligence), a new form of zero-intelligence trader intended for use in simulation studies auction markets. Like Gode & Sunder's classic Zero-Intelligence Constrained (ZIC) trader, generates quote-prices from random distribution over some specified domain discretely-valued allowable quote-prices. Unlike ZIC, which uses uni...

In a nite-trader version of the Diamond-Dybvig (1983) model, the symmetric, ex-ante e cient allocation is implementable by a direct mechanism (i.e., each trader announces the type of his own ex-post preference) in which truthful revelation is the strictly dominant strategy for each trader. When the model is modi ed by formalizing the sequential-service constraint (cf. Wallace, 1988), the truth-...

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...

Market traders often buy and sell volatile assets to maximize total returns. We have developed an optimal trading strategy model using gold bitcion daily price streams meet this need. Based on a sliding window, we use the ARIMA predict prices of bitcoin, respectively. Meanwhile, Granger causality test results showed that they were not cointegrated in short term. construct multi-objective dynami...

The present work studies the behavior of a monopolistic informed trader in a two-period competitive dealer market. We show that the informed trader may engage in stock price manipulation as a result of the exploitation of his informational advantage (su±cient conditions are provided). The informed trader achieves this manipulation by not trading in the ̄rst period according to the information r...