23 Financial intermediaries, such as analysts, play an important role in providing information 24 to investors. However, a large segment of the market (about 39% of CRSP firms between 25 1992 and 2009) is not served by financial analysts, leaving investors in a poor information 26 environment. In this paper, we examine whether other publicly available information 27 signals, such as insider tra...

This paper provides a micro foundation for the behavior assumptions as well as outcomes in noisy rational expectations equilibrium models. If there are gains from trade, and all agents are rational and can acquire costly information, then equilibria in double auction markets may have the following properties. (i) Ex ante identically informed agents evolve endogenously to noise traders, speculat...

We propose a general model underlying the problem of designing trading strategies that leak no information to frontrunners and other exploiters. We study major scenarios in the market and design a family of algorithms that can be proven to leak no information in important scenarios. These algorithms can serve as building blocks for more challenging real-world scenarios beyond our current scope....

Trading votes for votes is believed to be ubiquitous in committees and legislatures, and yet we know very little of its properties. We return to this old question with a laboratory experiment and a simple theoretical framework. We posit a family of minimally rational trading rules such that pairs of voters can exchange votes when mutually advantageous. Such rules always lead to stable vote allo...

Using a unique daily database, we investigate the short-run dynamic relation between institutional trades and stock price volatility in an individual investor dominated emerging market. We document a significant negative volatility-institutional trading relation in the emerging Chinese market. This negative relation is more pronounced for unexpected institutional imbalance and buy. Institutiona...

We are grateful to participants at UWA's Accounting and Finance Workshop Series for their valuable comments. Finally we would also like to take this opportunity to acknowledge SIRCA's support in providing access to core elements of data. Abstract This study is the first to empirically analyse insider trading around takeover announcements in Australia. This paper provides preliminary evidence, e...

The various methods for regularisation of the gravitational few-body problem, from the coordinate transformation by the KustaanheimoStiefel method to the more recent methods of algorithmic regularisation, are reviewed. Numerical comparisons of the performance of the methods are presented and future research suggested.

This paper develops a new performance measurement methodology for algorithmic trading. By adapting capability from the quality control literature, we present new criteria for assessing control, expected tail loss and risk-adjusted performance in a single framework. The multi-scale capability measure we present is more descriptive and more appropriate for algorithmic trading than the traditional...

In this paper we introduce natural time analysis in financial markets. Due to the remarkable results of this analysis on earthquake prediction and the similarities of earthquake data to financial time series, its application in price prediction and algorithmic trading seems to be a natural choice. This is tested through a trading strategy with very encouraging results.