Regulators in international trade are facing a difficult challenge of increasing control and security while lowering the administrative burden for traders. The European Commission has introduced the concept of “trusted traders”: certified traders that are in control of their business. Trusted traders are entitled to trade facilitations, faster border crossing, and fewer physical inspections. To...

Securities Trading when Liquidity Providers are Informed Abstract We study securities trading when liquidity is provided by informed agents—either because dealers have superior access to market information or because informed traders exploit strategies involving limit orders. In the case of informed dealers, we show that dealers and informed traders profit more at the expense of uninformed liqu...

[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...

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...

I examine the informational contributions and effects on transitory volatility of trades initiated by different types of traders in three actively traded index futures markets. The results show that trades initiated by exchange member firms account for more than 60% of price discovery during the trading day. These institutional trades appear to be more informative than trades of individual exch...

The value of an asset has two components, referred to as obvious and obscure. Unskilled traders are only aware of the obvious component and thus overestimate the precision of the information they may acquire. Unskilled traders are overconfident when informed and the intensity at which they trade makes researching the obscure component profitable to skilled traders, and this even when research c...

Exploiting the fact that insiders trade for a variety of reasons, we show that there is predictable, identifiable “routine” insider trading that is not informative for the future of firms. A portfolio strategy that focuses solely on the remaining “opportunistic” traders yields value-weighted abnormal returns of 82 basis points per month, while abnormal returns associated with routine traders ar...

This paper examines institutional trading in momentum portfolios. The key result is that institutions engage in momentum trading over the subsequent 3 quarters, buying winners and selling losers, in response to past returns but not past earnings news. Momentum trading is strengthened, however, when returns are accompanied by earnings news of the same sign. While past high returns predict future...

This paper presents a model of a quote-driven market with asymmetric information. The model is similar to the Glosten-Milgrom (1985) model, except that we allow the informed trader to optimally time his trades, rather than employing a probabilistic selection process for informed and uninformed trades. The contribution of the paper is to show that the probabilistic arrival process is a robust as...

Traders in the financial world are assessed by the amount of money they make and, increasingly, by the amount of money they make per unit of risk taken, a measure known as the Sharpe Ratio. Little is known about the average Sharpe Ratio among traders, but the Efficient Market Hypothesis suggests that traders, like asset managers, should not outperform the broad market. Here we report the findin...