Related papers: Can Insider Trading Be Committed Without Trading?
Illegal insider trading of stocks is based on releasing non-public information (e.g., new product launch, quarterly financial report, acquisition or merger plan) before the information is made public. Detecting illegal insider trading is…
No trade theorems examine conditions under which agents cannot agree to disagree on the value of a security which pays according to some state of nature, thus preventing any mutual agreement to trade. A large literature has examined…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…
The present paper investigates how insiders strategically navigate ongoing legal risk while leveraging stealth trading within a continuous-time Kyle-type framework. Legal enforcement operates concurrently with trading, which dynamic can be…
In this paper, we present a multi-period trading model in the style of Kyle (1985)'s inside trading model, by assuming that there are at least two insiders in the market with long-lived private information, under the requirement that each…
We consider a Kyle-type model where insider trading takes place among a potentially large population of liquidity traders and is subject to legal penalties. Insiders exploit the liquidity provided by the trading masses to "camouflage" their…
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…
Given a stock price process, we analyse the potential of arbitrage by insiders in a context of short-selling prohibitions. We introduce the notion of minimal supermartingale measure, and we analyse its properties in connection to the…
This paper studies the equilibrium pricing of asset shares in the presence of dynamic private information. The market consists of a risk-neutral informed agent who observes the firm value, noise traders, and competitive market makers who…
Identifying market abuse activity from data on investors' trading activity is very challenging both for the data volume and for the low signal to noise ratio. Here we propose two complementary unsupervised machine learning methods to…
Bilateral trade is one of the most natural and important forms of economic interaction: A seller has a single, indivisible item for sale, and a buyer is potentially interested. The two parties typically have different, privately known…
Kyle model in continuous time where the insider may be subject to legal penalties is considered. In equilibrium the insider internalises this legal risk by trading less aggressively. The equilibrium is characterised via the solution of a…
Although the automation and digitisation of anti-financial crime investigation has made significant progress in recent years, detecting insider trading remains a unique challenge, partly due to the limited availability of labelled data. To…
Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private information submits an optimal order in each period given the market maker's pricing rule. An inconsistency exists to some extent in the…
We show that a trader, who starts with no initial wealth and is not allowed to borrow money or short sell assets, is theoretically able to attain positive wealth by continuous trading, provided that she has perfect foresight of future asset…
In this paper, we consider the pricing and hedging of a financial derivative for an insider trader, in a model-independent setting. In particular, we suppose that the insider wants to act in a way which is independent of any modelling…
This paper describes the process of remaining anonymous online and its concurrent operational security that has to be performed. It focusses particularly on remaining anonymous while purchasing online goods, resulting in anonymously bought…
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…
Opacity is a confidentiality property that holds when certain secret strings of a given system cannot be revealed to an outside observer under any system activity. Opacity violations stimulate the study of opacity enforcement strategies.…
Through a short sale, a person borrows a share of stock from a lender, sells the borrowed share to a third person at the current price, and purchases an identical share in the market at a future date and at a future price to replace the…