We quantify the pervasiveness of informed trading activity in target companies’ equity options before M&A announcements. About 25% of takeovers have positive abnormal volumes, which are greater for short-dated out-of-the-money calls, consistent with bullish directional trading ahead of the announcement. Over half of this abnormal activity cannot be explained by speculation, news and rumors, tra...

On line Knowledge e-marketplaces (Ke-markets) posses some special challenges for buyers and sellers. Unlike most markets, the product of exchange has some unique characteristics. It is mostly intangible, making it difficult for the buyer to assess and value beforehand. Its value is contextdependent, making it difficult for the supplier to price it in a transparent marketplace of multiple buyers...

represent its worthiness if it is completed before the deadline. For example, consider a stock trading system of an investment consulting company that allows customers to make their orders of the stocks, each customer may set a deadline for the completion of the order transaction. The commission of the company is a percent (say 3%) of the dealed stock price for each transaction. From the standp...

a r t i c l e i n f o In this work we propose a simple market model where some features of the Specialist System are analyzed. In particular, the specialist's obligation to display bid/ask quotes on the book within the bounds imposed by the Exchange is considered. The proposed model allows to analyze the effects of the specialist's interventions on the short term dynamics of bid/ask prices and ...

Acquisition announcements generate predictable movements in the price of the acquirer’s stock. For example, post-announcement returns are typically negative for high Tobin’s q acquirers, stock transactions, and foreign targets, but positive for private equity-backed private targets. Pre-announcement trading of acquirer’s stock is more likely to be attributable to insider trading when the pre-an...

In this paper, we discuss different concepts for transforming professional trading mechanisms for the increasing market of private investors. Different perspectives of this fundamental change in capital markets are discussed. The driver of these changes is IT: technological progress provides new ways for private investors to participate actively in the capital markets in order to take advantage...

Algorithmic trading (AT) in asset markets has risen in importance over the past decade, revolutionizing the way market transactions are conducted. The extant empirical literature provides sometimes contradictory results on the impact of AT on market quality parameters such as liquidity and volatility. In this work we create a computer simulated asset market in order to make the effects of algor...

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