Related papers: Understanding the Impacts of Dark Pools on Price D…
We consider an optimal trading problem over a finite period of time during which an investor has access to both a standard exchange and a dark pool. We take the exchange to be an order-driven market and propose a continuous-time setup for…
In order to reduce signalling, traders may resort to limiting access to dark venues and imposing limits on minimum fill sizes they are willing to trade. However, doing this also restricts the liquidity available to the trader since an ever…
Modern financial market dynamics warrant detailed analysis due to their significant impact on the world. This, however, often proves intractable; massive numbers of agents, strategies and their change over time in reaction to each other…
Public exchanges like the New York Stock Exchange and NASDAQ act as auctioneers in a public double auction system, where buyers submit their highest bids and sellers offer their lowest asking prices, along with the number of shares (volume)…
We consider the issue of a market maker acting at the same time in the lit and dark pools of an exchange. The exchange wishes to establish a suitable make-take fees policy to attract transactions on its venues. We first solve the stochastic…
The information released to investors in financial markets has various forms. We refer to range information as information about the upper and lower bound which the payoff of a risky asset may reach in the future. This study develops…
While deep learning gradually penetrates operational planning, its inherent prediction errors may significantly affect electricity prices. This letter examines how prediction errors propagate into electricity prices, revealing notable…
We consider a finite-horizon market-making problem faced by a dark pool that executes incoming buy and sell orders. The arrival flow of such orders is assumed to be random and, for each transaction, the dark pool earns a per-share…
We study strategic interactions in a broker-mediated market in which agents learn and exploit each other's private information. A broker provides liquidity to an informed trader and to noise traders while managing inventory in a lit market.…
We develop a theoretical framework for understanding how cognitive load affects information processing in financial markets and test it using exogenous variation in disclosure complexity. Our model distinguishes between attention allocation…
We consider a market of risky financial assets whose participants are an informed trader, a representative uninformed trader, and noisy liquidity providers. We prove the existence of a market-clearing equilibrium when the insider…
We study the problem of allocating stocks to dark pools. We propose and analyze an optimal approach for allocations, if continuous-valued allocations are allowed. We also propose a modification for the case when only integer-valued…
Informed traders need to trade fast in order to profit from their private information before it becomes public. Fast electronic markets provide such liquidity. Slow markets provide execution in an auction based trading floor. Hybrid markets…
For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into such regularity issues when orders can be…
Ad-tech enables publishers to programmatically sell their ad inventory to millions of demand partners through a complex supply chain. Bogus or low quality publishers can exploit the opaque nature of the ad-tech to deceptively monetize their…
The importance of predicting stock market prices cannot be overstated. It is a pivotal task for investors and financial institutions as it enables them to make informed investment decisions, manage risks, and ensure the stability of the…
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay…
A seller offers an asset in a decentralised market. Buyers have private signals about their common value. I study whether the market becomes allocatively more efficient with (i) more buyers, (ii) better-informed buyers. Both increase the…
Electronic trading markets have evolved rapidly with continued adoption of new technologies and growing in-formation acquisition and processing capabilities. Traditional perspectives on trading performance adopted a mono-lithic view of…
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete…