Related papers: Can Insider Trading Be Committed Without Trading?
We delve into the intricate world of share buy-backs, a strategic corporate capital allocation tool that has gained significant prominence over the past few decades. Despite being the subject of extensive research and debate, the execution…
We introduce a formal framework for analyzing trades in financial markets. These days, all big exchanges use computer algorithms to match buy and sell requests and these algorithms must abide by certain regulatory guidelines. For example,…
Money laundering is a major global problem, enabling criminal organisations to hide their ill-gotten gains and to finance further operations. Prevention of money laundering is seen as a high priority by many governments, however detection…
We introduce a formal framework for analyzing trades in financial markets. An exchange is where multiple buyers and sellers participate to trade. These days, all big exchanges use computer algorithms that implement double sided auctions to…
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing buy and then sell an asset subject…
We discuss the objectives of automation equipped with non-trivial decision making, or creating artificial intelligence, in the financial markets and provide a possible alternative. Intelligence might be an unintended consequence of…
As intelligent trading agents based on reinforcement learning (RL) gain prevalence, it becomes more important to ensure that RL agents obey laws, regulations, and human behavioral expectations. There is substantial literature concerning the…
In this paper, we propose stock trading based on the average tax basis. Recall that when selling stocks, capital gain should be taxed while capital loss can earn certain tax rebate. We learn the optimal trading strategies with and without…
After the 2007/2008 financial crisis, the UK government decided that a change in regulation was required to amend the poor control of financial markets. The Financial Services Act 2012 was developed as a result in order to give more control…
Circular trading is a form of tax evasion in Goods and Services Tax where a group of fraudulent taxpayers (traders) aims to mask illegal transactions by superimposing several fictitious transactions (where no value is added to the goods or…
Gold and bitcoin are not new to us, but with limited cash and time, given only the past stream of the daily price of gold and bitcoin, it is a kind of new problem for us to develop a certain model and determine the best strategy to get the…
The inverse crime occurs when the same (or very nearly the same) theoretical ingredients are employed to synthesize as well as to invert data in an inverse problem. This act has been qualified as trivial and therefore to be avoided by…
In this paper, we present a multi-period trading model by assuming that traders face not only asymmetric information but also heterogenous prior beliefs, under the requirement that the insider publicly disclose his stock trades after the…
Threat modeling has been successfully applied to model technical threats within information systems. However, a lack of methods focusing on non-technical assets and their representation can be observed in theory and practice. Following the…
Calibrating a trading rule using a historical simulation (also called backtest) contributes to backtest overfitting, which in turn leads to underperformance. In this paper we propose a procedure for determining the optimal trading rule…
This study identifies and quantifies a significant informational friction embedded in the SEC Form 144 disclosure regime, characterized as predictive decoupling. Drawing on a theoretical foundation of welfare economics, the article argues…
The paper considers trading with proportional transaction costs. We give a necessary and sufficient condition for A, the cone of claims attainable from zero endowment, to be closed, and show, in general, how to represent its closure in such…
Communicating transactions is a form of distributed, non-isolated transactions which provides a simple construct for building concurrent systems. In this paper we develop a logical framework to express properties of the observable behaviour…
Each market has its singular characteristic. Its inner structure is directly responsible for the observed distributions of returns though this fact is widely overlooked. Big orders lead to doubling the tails. The behavior of a market maker…
We study super--replication of European contingent claims in an illiquid market with insider information. Illiquidity is captured by quadratic transaction costs and insider information is modeled by an investor who can peek into the future.…