Continuous Auctions and Insider Trading
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(only showing first 100 items - show all)- Mean field games
- The impact of saturday trading on stock returns: Evidence from the Tokyo stock exchange January 1976 to January 1989
- Large investor trading impacts on volatility
- Nonlinear dynamics in Nasdaq dealer quotes
- Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy
- Fat tails and volatility clustering in experimental asset markets
- An equilibrium model of insider trading in continuous time
- A revelation principle for competing mechanisms
- Effects of financial innovations on market volatility when beliefs are heterogeneous
- Dynamic portfolio choice and asset pricing with differential information
- Price volatility without news about fundamentals
- Is strategic behavior by a dominant trader with inside information always optimal!
- \(M\)-matrices and bounds for reliable transmission of information in communication systems and economic markets
- Limit orders, asymmetric information, and the formation of asset prices with a computerized specialist
- Risk aversion, imperfect competition, and long-lived information
- Duopoly signal jamming
- Strategic behavior in dynamic auctions
- Dynamic price formation in a futures market via double auctions
- Price crashes, information aggregation, and market-making
- Learning from others: A welfare analysis
- Dynamic equilibrium and volatility in financial asset markets
- Rational panics and stock market crashes.
- Informed manipulation.
- The impact of public information on insider trading
- Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
- Modeling financial durations using penalized estimating functions
- Path transformations for local times of one-dimensional diffusions
- The impact of systemic and illiquidity risk on financing with risky collateral
- Why is equity order flow so persistent?
- Rebalancing multiple assets with mutual price impact
- Inconspicuousness and obfuscation: how large shareholders dynamically manipulate output and information for trading purposes
- Resiliency of the limit order book
- Learning, information processing and order submission in limit order markets
- The impact of reduced pre-trade transparency regimes on market quality
- On the computation of LOT liquidity measure
- Investor attention and market microstructure
- Tail relation between return and volume in the US stock market: an analysis based on extreme value theory
- Public disclosure, information leakage, and strategic trading
- Mixed-scale jump regressions with bootstrap inference
- Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions
- Optimal liquidation under stochastic liquidity
- Financial equilibrium with asymmetric information and random horizon
- Existence of linear strategy equilibrium in insider trading with partial observations
- Financial markets with a large trader
- Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application
- The time cost of information in financial markets
- Sequential fair Stackelberg equilibria of linear strategies in risk-seeking insider trading
- Biased learning creates overconfidence
- A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
- Destructive interference in an imperfectly competitive multi-security market
- Liquidity shocks and equilibrium liquidity premia.
- Informed trading and the `leakage' of information
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Ex ante versus interim rationality and the existence of bubbles
- Risk aversion, public disclosure, and long-lived information
- Making money out of publicly available information
- Optimal investment with inside information and parameter uncertainty
- Asymmetric information and stock return cross-autocorrelations
- Risk aversion, mandatory disclosure and the concealment of information
- Partially informed noise traders
- Insider trading equilibrium in a market with memory
- Overconfidence on public information
- Strategic insider trading equilibrium: a filter theory approach
- Information-based trade
- What is the value of knowing uninformed trades?
- A simple model of market liquidity
- Insider trading with correlated signals
- Aggregation and design of information in asset markets with adverse selection
- Rational quantitative trading in efficient markets
- Rational destabilization in a frictionless market
- A switching self-exciting jump diffusion process for stock prices
- Equilibrium asset pricing with transaction costs
- Learning from prices: information aggregation and accumulation in an asset market
- On the anticipative nonlinear filtering problem and its stability
- Asymmetric information, heterogeneous prior beliefs and market regulation
- A model of secular migration from centralized to decentralized trade
- Dynamic equilibrium of market making with price competition
- Optimal long-term investment in illiquid markets when prices have negative memory
- Snowballing private information
- Learning (to disagree?) in large worlds
- Robust pricing under strategic trading
- New evidence on market response to public announcements in the presence of microstructure noise
- Insider trading with a random deadline under partial observations: maximal principle method
- Strategic effects between price-takers and non-price-takers
- Updating awareness and information aggregation
- Bitcoin daily price prediction through understanding blockchain transaction pattern with machine learning methods
- On sticky bookmaking as a learning device in horse-racing betting markets
- What drives intraday reversal? Illiquidity or liquidity oversupply?
- An optimal transport problem with backward martingale constraints motivated by insider trading
- Price impact equilibrium with transaction costs and TWAP trading
- Informed speculation with k-level reasoning
- A reputation game on cyber-security and cyber-risk calibration
- A theory of procyclical market liquidity
- Linear Bayesian equilibrium in insider trading with a random time under partial observations
- Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach
- Optimal execution with price impact under cumulative prospect theory
- Gaussian random bridges and a geometric model for information equilibrium
- Bond prices under information asymmetry and a short rate with instantaneous feedback
- Log-optimal and numéraire portfolios for market models stopped at a random time
- Insider trading with penalties
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