Related papers: Trading on the Floor after Sweeping the Book
The objective is to develop a general stochastic approach to delays on financial markets. We suggest such a concept in the context of large platonic markets, which allow infinitely many assets and incorporate a restricted information…
In order-driven markets, limit-order book (LOB) resiliency is an important microscopic indicator of market quality when the order book is hit by a liquidity shock and plays an essential role in the design of optimal submission strategies of…
Data buyers compete in a game of incomplete information about which a single data seller owns some payoff-relevant information. The seller faces a joint information- and mechanism-design problem: deciding which information to sell, while…
We study a crowdsourcing problem where the platform aims to incentivize distributed workers to provide high quality and truthful solutions without the ability to verify the solutions. While most prior work assumes that the platform and…
In traditional machine learning, the central server first collects the data owners' private data together and then trains the model. However, people's concerns about data privacy protection are dramatically increasing. The emerging paradigm…
Spoofing is an illegal act of artificially modifying the supply to drive temporarily prices in a given direction for profit. In practice, detection of such an act is challenging due to the complexity of modern electronic platforms and the…
I consider an environment in which a decision maker faces uncertainty and privately holds information in the form of a signal about the true state of the world. The decision maker purchases additional information from a data broker before…
The question we raise through this paper is: Is it economically feasible to trade consumer personal information with their formal consent (permission) and in return provide them incentives (monetary or otherwise)?. In view of (a) the…
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…
With the recent technological feasibility of electronic commerce over the Internet, much attention has been given to the design of electronic markets for various types of electronically-tradable goods. Such markets, however, will normally…
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…
We study optimal trade execution strategies in financial markets with discrete order flow. The agent has a finite liquidation horizon and must minimize price impact given a random number of incoming trade counterparties. Assuming that the…
The marvel of markets lies in the fact that dispersed information is instantaneously processed and used to adjust the price of goods, services and assets. Financial markets are particularly efficient when it comes to processing information;…
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet there exist situations, such as…
A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our…
Strategic information is valuable either by remaining private (for instance if it is sensitive) or, on the other hand, by being used publicly to increase some utility. These two objectives are antagonistic and leaking this information might…
The use of the trading halts is a practice common to all markets. However, the advantages and the disadvantages of the measurements are regularly discussed. The partisans think that the trading suspensions or the price limits make it…
We study how information perturbations can destabilize two-sided matching markets. In our model, agents arrive on the market over two periods, while agents in the first period do not know the types of those arriving later. Agents already…
We investigate investors voluntary disclosure decisions under uncertainty about their information endowment (Dye 1985). In our model, an investor may receive initial evidence about a target firm. Conditional on learning the initial…
We consider a stochastic game between a slow institutional investor and a high-frequency trader who are trading a risky asset and their aggregated order-flow impacts the asset price. We model this system by means of two coupled stochastic…