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Author: Yuxin Sun Publisher: ISBN: Category : Languages : en Pages : 50
Book Description
Using high frequency data from the London Stock Exchange (LSE), we investigate the relationship between informed trading and the price impact of block trades on intraday and inter-day basis. Price impact of block trades is stronger during the first hour of trading; this is consistent with the hypothesis that information accumulates overnight during non-trading hours. Furthermore, private information is gradually incorporated into prices despite heightened trading frequency. Evidence suggests that informed traders exploit superior information across trading days, and stocks with lower transparency exhibit stronger information diffusion effects when traded in blocks, thus informed block trading facilitates price discovery.
Author: Yuxin Sun Publisher: ISBN: Category : Languages : en Pages : 50
Book Description
Using high frequency data from the London Stock Exchange (LSE), we investigate the relationship between informed trading and the price impact of block trades on intraday and inter-day basis. Price impact of block trades is stronger during the first hour of trading; this is consistent with the hypothesis that information accumulates overnight during non-trading hours. Furthermore, private information is gradually incorporated into prices despite heightened trading frequency. Evidence suggests that informed traders exploit superior information across trading days, and stocks with lower transparency exhibit stronger information diffusion effects when traded in blocks, thus informed block trading facilitates price discovery.
Author: Larry Harris Publisher: OUP USA ISBN: 9780195144703 Category : Business & Economics Languages : en Pages : 664
Book Description
Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).
Author: Publisher: ISBN: Category : Languages : en Pages :
Book Description
Large-block trades have been typically handled over the counter in the upstairs market. Institutional trading raises several issues of concern, such as the fragmentation of order flow, potential liquidity shortage in the downstairs market, and implications for market efficiency. Large investors trades may infact produce a price impact that can adversely influence their investment decisions. The objective for this study is to expand our knowledge about the economic role of upstairs markets as source of liquidity for institutional investors. We carry out our analysis by investigating intraday dynamics of price and liquidity impacts of large-block trades on the Italian Exchange. We also provide an empirical analysis of intraday and interday variations in block trading activity in order to uncover any systematic pattern in trading activity of traders that typically place large-block orders.
Author: Gideon Saar Publisher: ISBN: Category : Languages : en Pages : 34
Book Description
This article develops a theoretical model to explain the permanent price impact asymmetry between buyer- and seller-initiated block trades (the permanent price impact of buys is larger than that of sells). The model shows how the trading strategy of institutional portfolio managers creates a difference between the information content of buys and sells. The main implication of the model is that the history of price performance influences the asymmetry: the longer the run-up in a stock`s price, the less the asymmetry. The intensity of institutional trading and the frequency of information events affect the asymmetry differently depending on recent price performance.
Author: Deniz Ozenbas Publisher: Springer Nature ISBN: 3030748170 Category : Business enterprises Languages : en Pages : 111
Book Description
This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Author: Merritt B. Fox Publisher: Columbia University Press ISBN: 023154393X Category : Business & Economics Languages : en Pages : 612
Book Description
The U.S. stock market has been transformed over the last twenty-five years. Once a market in which human beings traded at human speeds, it is now an electronic market pervaded by algorithmic trading, conducted at speeds nearing that of light. High-frequency traders participate in a large portion of all transactions, and a significant minority of all trade occurs on alternative trading systems known as “dark pools.” These developments have been widely criticized, but there is no consensus on the best regulatory response to these dramatic changes. The New Stock Market offers a comprehensive new look at how these markets work, how they fail, and how they should be regulated. Merritt B. Fox, Lawrence R. Glosten, and Gabriel V. Rauterberg describe stock markets’ institutions and regulatory architecture. They draw on the informational paradigm of microstructure economics to highlight the crucial role of information asymmetries and adverse selection in explaining market behavior, while examining a wide variety of developments in market practices and participants. The result is a compelling account of the stock market’s regulatory framework, fundamental institutions, and economic dynamics, combined with an assessment of its various controversies. The New Stock Market covers a wide range of issues including the practices of high-frequency traders, insider trading, manipulation, short selling, broker-dealer practices, and trading venue fees and rebates. The book illuminates both the existing regulatory structure of our equity trading markets and how we can improve it.
Author: Yuxin Sun
Author: Yuxin Sun
Author: Louisa Ann Martin
Author: 
Author: Larry Harris
Author: 
Author: Gideon Saar
Author: Minder Cheng
Author: Deniz Ozenbas
Author: Merritt B. Fox
Author: United States. Securities and Exchange Commission