Related papers: Can Insider Trading Be Committed Without Trading?
A security measure called effective security is defined that includes strong secrecy and stealth communication. Effective secrecy ensures that a message cannot be deciphered and that the presence of meaningful communication is hidden. To…
E-Commerce offers the banking industry great opportunity, but also creates a set of new risks and vulnerability such as security threats. Information security, therefore, is an essential management and technical requirement for any…
Manipulating the security price is an act of artificially inflating or deflating the price of a security. Generally, manipulation is defined as a series of transactions designed to raise or lower a price of a security or to give the…
In this paper we examine inefficiencies and information disparity in the Japanese stock market. By carefully analysing information publicly available on the internet, an `outsider' to conventional statistical arbitrage strategies--which are…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the set of adapted strategies to the set of random variables…
A representative investor generates realistic and complex security price paths by following this trading strategy: if, a few ticks ago, the market asset had two consecutive upticks or two consecutive downticks, then sell, and otherwise buy.…
Generally accepted depreciation methods do not compute the intrinsic value of an asset, as they do not factor for the Time Value of Money, a key principle within financial theory. This is disadvantageous, as knowing the intrinsic value of…
A range of empirical puzzles in finance has been explained as a consequence of traders being averse to ambiguity. Ambiguity averse traders can behave in financial portfolio problems in ways that cannot be rationalized as maximizing…
Traders buy and sell financial instruments in hopes of making profit, and brokers are responsible for the transaction. There are several hypotheses and conspiracy theories arguing that in some situations, brokers want their traders to lose…
In recent years, a wide range of investment models have been created using artificial intelligence. Automatic trading by artificial intelligence can expand the range of trading methods, such as by conferring the ability to operate 24 hours…
How to price and hedge claims on nontraded assets are becoming increasingly important matters in option pricing theory today. The most common practice to deal with these issues is to use another similar or "closely related" asset or index…
In this article we show that the payment flow of a linear tax on trading gains from a security with a semimartingale price process can be constructed for all c\`agl\`ad and adapted trading strategies. It is characterized as the unique…
We study information aggregation in a dynamic trading model with partially informed traders. Ostrovsky [2012] showed that `separable' securities aggregate information in all equilibria, however, determining whether a security is separable…
Recent years have witnessed the fast advance of security research for networked dynamical system (NDS). Considering the latest inference attacks that enable stealthy and precise attacks into NDSs with observation-based learning, this…
Many business applications involve adversarial relationships in which both sides adapt their strategies to optimize their opposing benefits. One of the key characteristics of these applications is the wide range of strategies that an…
Value adjustment of uncollateralized trades is determined within a risk-neutral pricing framework. When hedging such trades, investors cannot freely trade protection on their own name, thus facing an incomplete market. This fact is…
A binary classifier that tries to predict if the price of an asset will increase or decrease naturally gives rise to a trading strategy that follows the prediction and thus always has a position in the market. Selective classification…
As blockchains continue to seek to scale to a larger number of nodes, the communication complexity of protocols has become a significant priority as the network can quickly become overburdened. Several schemes have attempted to address…
Correa et al. [EC' 2023] introduced the following trading prophets problem. A trader observes a sequence of stochastic prices for a stock, each drawn from a known distribution, and at each time must decide whether to buy or sell.…