Related papers: Outsider Trading
Building on topological data analysis and expert knowledge, this study introduces a Mapper-based approach to cluster agents based on their tendency to be influenced by information spread. The context of our paper is financial markets with…
This paper investigates the equilibrium interactions between trading targets and private information in a multi-period Kyle (1985) market. There are two investors who each follow dynamic trading strategies: A strategic portfolio rebalancer…
We examine how uncertain veracity of external news influences investor beliefs, market prices and corporate disclosures. Despite assuming independence between the news' veracity and the firm's endowment with private information, we find…
Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in 2016 from the vantage point of a single and fixed frame of reference. We…
Order matching systems form the backbone of modern equity exchanges, used by millions of investors daily. Thus, their operation is strictly controlled through numerous regulatory directives to ensure that markets are fair and transparent.…
We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis of Korean, the Japanese, the Taiwanese,…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
We provide closed-form market equilibrium formula consolidating informational imperfections and investors beliefs. Based on Merton's model, we characterize the equilibrium expected excess returns vector with incomplete information. We then…
We introduce a new machine learning approach to detect value-relevant foreign information for both domestic and multinational companies. Candidate foreign signals include lagged returns of stock markets and individual stocks across 47…
We study the ex-ante minimization of market inefficiency, defined in terms of minimum deviation of market prices from fundamental values, from a centralized planner's perspective. Prices are pressured from exogenous trading actions of…
Technological advancement has lead to an increase in number and type of trading venues and diversification of goods traded. These changes have re-emphasized the importance of understanding the effects of market competition: does…
Traditional stock market prediction approaches commonly utilize the historical price-related data of the stocks to forecast their future trends. As the Web information grows, recently some works try to explore financial news to improve the…
By analysing the financial data of firms across Japan, a nonlinear power law with an exponent of 1.3 was observed between the number of business partners (i.e. the degree of the inter-firm trading network) and sales. In a previous study…
The imbalance of buying and selling functions profoundly in the formation of market trends, however, a fine-granularity investigation of the imbalance is still missing. This paper investigates a unique transaction dataset that enables us to…
The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price…
The paper studies information markets concerning single events from an epistemic social choice perspective. Within the classical Condorcet error model for collective binary decisions, we establish equivalence results between elections and…
This paper studies optimal mechanisms for collecting and trading data. Consumers benefit from revealing information about their tastes to a service provider because this improves the service. However, the information is also valuable to a…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
This paper aims to investigate and achieve seller-side fairness within online marketplaces, where many sellers and their items are not sufficiently exposed to customers in an e-commerce platform. This phenomenon raises concerns regarding…
We study a dynamic market setting where an intermediary interacts with an unknown large sequence of agents that can be either sellers or buyers: their identities, as well as the sequence length $n$, are decided in an adversarial, online…