We examine the impact of stock exchange trading rules and surveillance on the frequency and severity of suspected insider trading cases in 22 stock exchanges around the world over the period January 2003 through June 2011. Using new indices for market manipulation, insider trading, and broker-agency conflict based on the specific provisions of the trading rules of each stock exchange, along wit...

It has been argued that insider trading can be a source of agency problems and, hence, should be prohibited. This paper attempts to assess whether, by prohibiting insider trading, regulation can reduce agency problems. First, it will be shown that regulation has been unable to prevent insider trading. Second, we will explain why the regulation of insider trading cannot be effective. Finally, we...

92 AI MAGAZINE ■ The Trading Agent Competition (TAC) has now become an annual fixture since its inception in 2000. The competition was conceived with the objective of studying automated trading strategies by focusing the research community on the development of competing solutions to a common trading scenario. The success of past TAC events has motivated broadening the scope of the competition ...

In stock market, foreign currency exchange market, or any other asset trading system, there are high-density data, which is a typical data streams. And the trading rules are often the functions of many variables. The visualization of these systems is very important for users to do analysis and trading. So the problem is how to show the graph of the large data and multiple-variable functions. Th...

This article constructs an economic model of a rational trader who operates in a market with transaction costs and noise trading. The level of trading affects the rational trader’s marginal cost of transacting; as a result, trading volume (through its effect on marginal cost) is a source of risk. This engenders an equilibrium relationship between returns and volume. The model also provides a si...

The purpose of this paper is to examine insider trading behavior reaction to news announcement by using firms listed on the Stock Exchange of Thailand during 2000 to 2008. By employing event-study approach, the results show that the information contents are significant to insider purchases but not to insider sales. In other words, only insider purchases can create abnormal returns. Moreover, co...

For the execution of large equity orders, institutional investors often use the Volume Weighted Average Price (VWAP) as a benchmark to measure execution quality. To achieve this, they have the possibility to either cross their orders in a non-intermediated electronic system or to submit a VWAP agency order to a broker that executes the orders manually. Though more expensive in explicit costs, i...

We describe the Penn-Lehman Automated Trading project, a broad investigation of algorithms and strategies for automated trading in financial markets that centers around the Penn Exchange Simulator (PXS). PXS performs a stock market simulation that integrates virtual client orders with limit order data from real-world electronic exchanges. We describe our motivations and interests, the design an...

An increasing number of private households are becoming producers of renewable energy. From an economic perspective it is beneficial to utilize this energy both locally and promptly. This does require the ability to be able to deal with local excess production at short notice using, for example, an electronic trading platform. In this paper we describe a future energy scenario demonstrating tec...