Pre-trade transparency and informed trading: Experimental evidence on undisclosed orders
نویسندگان
چکیده
منابع مشابه
Pre-trade Transparency in Over-the-Counter Markets
To understand whether and how pre-trade transparency would affect over-the-counter markets, we construct a search model and test our model implications in corporate bond markets. Based on our search model, we argue that the increase in pre-trade information, which refines traders’ information sets, enhances traders’ bargaining positions relative to dealers’. Thus, traders’ transaction costs mea...
متن کاملCombination trading with limit orders
We model the exchange of commodities that are contingent upon each other when traders place mostly limit orders Examples include a market of nancial futures where future spreads are also traded a market of mutual funds and stocks a market of options and stocks under the viewpoint that they are both combinations of Arrow Debreu securities We prove that consistent prices are optimal We develop a ...
متن کاملRanking the Trading Symbols of the Largest Companies Listed in the Tehran Stock Exchange Based on the Probability of Informed Trade Criteria
I n this paper, trading symbols of the 30 largest companies listed in the Tehran Stock Exchange (TSE) were ranked based on the asymmetry information risk. Using the Ersan and Alici (2016) modified clustering algorithm (EA), we estimated the probability of informed trading (PIN) to measure the asymmetry information among traders for each trading symbol and trading day through two-year...
متن کاملPrice Manipulation, Dynamic Informed Trading and Uniqueness of Equilibrium in a Sequential Trade Model∗
This paper extends the Glosten and Milgrom (1985) model of asset pricing with asymmetric information into a dynamic setting and presents a model of market price manipulation. The paper shows that there is a unique equilibrium and characterizes the equilibrium. It is shown that the nextperiod value function of the informed trader, who knows the terminal value of the asset, is strictly monotone i...
متن کاملInvestigating the Effect of Monetary Treaty on Trade between Iran and Major Trading Partners
In the present study, the effect of concluding and executing monetary treaties as well as membership of regional economic cooperation organizations (as a potential for using regional currency) on mutual exports between Iran and its 50 major trading partners during the period of 2000 to 2016 is investigated. The Generalized Commercial Gravity Model and Ordinary Least Square (OLS) regression of p...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Financial Markets
سال: 2016
ISSN: 1386-4181
DOI: 10.1016/j.finmar.2016.03.003