This paper studies how the views of sophisticated traders are impounded into stocks and bonds around macroeconomic news announcements. I find evidence that sophisticated traders trade on predictions of macroeconomic news reports before announcements and obtain their informational advantage using public information. Specifically, consensus forecasts of upcoming data releases suffer from anchorin...

Frequent call markets have been proposed as a market design solution to the latency arms race perpetuated by high-frequency traders in continuous markets, but the path to widespread adoption of such markets is unclear. If such trading mechanisms were available, would anyone want to use them? This is ultimately a question of market choice, thus we model it as a game of strategic market selection...

In this paper, we construct an artificial equity market using an Artificial Neural Network (ANN). Based on the heterogeneous beliefs and trading strategies prevailing in actual equity markets, we divide traders into three groups: value traders, momentum traders and noise traders. Characteristically, value traders are endowed with an ANN learning mechanism that allows them to forecast the divide...

This paper is intended as an investigation of the statistical properties of absolute log-returns, defined as the absolute value of the logarithmic price change, for the Nikkei 225 index in the 28-year period from January 4, 1975 to December 30, 2002. We divided the time series of the Nikkei 225 index into two periods, an inflationary period and a deflationary period. We have previously [18] fou...

In this paper, we analyse how traders select marketplaces and bid in a setting with multiple competing marketplaces. Specifically, we use a fictitious play algorithm to analyse the traders’ equilibrium strategies for market selection and bidding when their types are continuous. To achieve this, we first analyse traders’ equilibrium bidding strategies in a single marketplace and find that they s...

We consider the efficiency properties of exchange economies where privately informed traders behave strategically. Specifically, a competitive mechanism is any mapping of traders’ reports about their types to an equilibrium price vector and allocation of the reported economy. In our model, some traders may have non-vanishing impact on prices and allocations regardless of the size of the economy...

This paper examines the profitability and risk-taking behavior of individual traders in the Taiwan Futures Exchange (TAIFEX) by tracking their trade-by-trade transaction histories. We first show that although as a group individual traders have a net loss after all transaction costs, there are fairly profitable traders, accounting for about 1/3 of the traders. Further examination reveals that pr...

This article argues that it was through their common relationship to the commercial environment formed by the city that the independent lower middle classes were able to construct a collective identity. The article examines these identities first in the context of a comparison between Rome and Milan, and then within the provincial towns of Lombardy. It suggests that the concern of the petite bo...

Limit Order Book as a Market for Liquidity We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders differ by their impatience and seek to minimize their trading costs by optimally choosing between market and limit orders. We characterize the equilibrium order placement strategies and the waiting times for limit orders. In equilibrium less...