Related papers: Can Insider Trading Be Committed Without Trading?
Privacy and security are often intertwined. For example, identity theft is rampant because we have become accustomed to authentication by identification. To obtain some service, we provide enough information about our identity for an…
Corporate insiders have control of material non-public preferential information (MNPI). Occasionally, the insiders strategically bypass legal and regulatory safeguards to exploit MNPI in their execution of securities trading. Due to a large…
Currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial…
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which…
"Security by obscurity" is a bromide which is frequently applied to undermine the perceived value of a certain class of techniques in security. This usage initially stemmed from applications and experience in the areas of cryptographic…
We provide a categorical interpretation for escrows, i.e. trading protocols in trustless environment, where the exchange between two agents is mediated by a third party where the buyer locks the money until they receive the goods they want…
Privacy in block-chains is considered second to functionality, but a vital requirement for many new applications, e.g., in the industrial environment. We propose a novel transaction type, which enables privacy preserving trading of…
Markets for zero-day exploits (software vulnerabilities unknown to the vendor) have a long history and a growing popularity. We study these markets from a revenue-maximizing mechanism design perspective. We first propose a theoretical model…
The continuous time model of dynamic asset trading is the central model of modern finance. Because trading cannot in fact take place at every moment of time, it would seem desirable to show that the continuous time model can be viewed as…
We show that filling an order with a large number of distinct counterparts incurs additional market impact, as opposed to filling the order with a small number of counterparts. For best execution, therefore, it may be beneficial to…
The efficiency of a modern economy depends on what we call the Value-Tracking Hypothesis: that market prices of key assets broadly track some underlying value. This can be expected if a sufficient weight of market participants are…
Investors trade shifting prices, portfolio values, and in turn their ability to borrow. Concentrated ownership, high price impact and low collateral requirements are propitious for arbitrage.
Although there is a wide use of technical trading rules in stock markets, the profitability of them still remains controversial. This paper first presents and proves the upper bound of cumulative return, and then introduces many of…
We propose a new concept of secure list decoding. While the conventional list decoding requires that the list contains the transmitted message, secure list decoding requires the following additional security conditions. The first additional…
We provide a game-theoretic analysis of the problem of front-running attacks. We use it to distinguish attacks from legitimate competition among honest users for having their transactions included earlier in the block. We also use it to…
A subset of a set of terminals that observe correlated signals seek to compute a given function of the signals using public communication. It is required that the value of the function be kept secret from an eavesdropper with access to the…
There's a long tradition of research using computational intelligence (methods from artificial intelligence (AI) and machine learning (ML)), to automatically discover, implement, and fine-tune strategies for autonomous adaptive automated…
A prototype model of stock market is introduced and studied numerically. In this self-organized system, we consider only the interaction among traders without external influences. Agents trade according to their own strategy, to accumulate…
Money laundering is a critical step in the cyber crime process which is experiencing some changes as hackers and their criminal colleagues continually alter and optimize payment mechanisms. Conducting quantitative research on underground…
A speculator can take advantage of a procurement auction by acquiring items for sale before the auction. The accumulated market power can then be exercised in the auction and may lead to a large enough gain to cover the acquisition costs. I…