Informed traders and limit order markets

Ronald L. Goettler; Christine A. Parlour; Uday Rajan

首页> 外文期刊>Journal of financial economics >Informed traders and limit order markets

【24h】

Informed traders and limit order markets

机译：知情交易员和限价单市场

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

We consider a dynamic limit order market in which traders optimally choose whether to acquire information about the asset and the type of order to submit. We numerically solve for the equilibrium and demonstrate that the market is a "volatility multiplier": prices are more volatile than the fundamental value of the asset. This effect increases when the fundamental value has high volatility and with asymmetric information across traders. Changes in the microstructure noise are negatively correlated with changes in the estimated fundamental value, implying that asset betas estimated from high-frequency data will be incorrect.

机译：我们考虑一个动态的限价定单市场，交易者可以在该市场中最佳地选择是否获取有关资产和要提交的定单类型的信息。我们用数值方法求解均衡，并证明市场是“波动乘数”：价格比资产的基本价值更具波动性。当基本价值具有很高的波动性并且交易者之间的信息不对称时，这种影响会增加。微结构噪声的变化与估计的基值的变化呈负相关，这意味着从高频数据估计的资产beta将是不正确的。

著录项

来源
《Journal of financial economics》 |2009年第1期|67-87|共21页
作者
Ronald L. Goettler; Christine A. Parlour; Uday Rajan;
展开▼
作者单位

Booth School of Business, University of Chicago, USA;

Haas School of Business, University of California, Berkeley, USA;

Ross School of Business, University of Michigan, Ann Arbor, USA;

展开▼
收录信息
原文格式 PDF
正文语种 eng
中图分类
关键词
limit order market; informed traders; endogenous inform ation acquisition; computational game;

机译：限价订单市场;知情交易员;内生信息获取;计算游戏;

相似文献

外文文献
中文文献
专利

1. Information and the Intermediary: Are Market Intermediaries Informed Traders in Electronic Markets? [J] . Amber Anand, Avanidhar Subrahmanyam Journal of Financial and Quantitative Analysis . 2008,第1期

机译：信息与中介：市场中介会通知电子市场交易员吗？
2. Estimating the proportion of informed and speculative traders in financial markets: evidence from exchange rate [J] . Tsai Ping-Chen, Tsai Chi-Ming Journal of Economic Interaction and Coordination . 2021,第3期

机译：估算金融市场上知情和投机交易商的比例：汇率的证据
3. Trade Size Preference of Informed Traders in Indian Equity Markets [J] . Sriram Kidambi Sridharan, Gopalaswamy Arun Kumar Emerging Markets Finance & Trade . 2018,第7a9期

机译：印度股票市场知情交易者的交易规模偏好
4. Optimal sell order submission strategy for informed traders: limit orders or market orders? [C] . Zuo-wei You, Shan-cun Liu, Qiang Zhang, Chinese Control and Decision Conference . 2016

机译：最佳销售订单提交贸易商的提交策略：限制订单或市场订单？
5. Applying Supervised Machine Learning Models to Classify Day Traders Using the Traders' Daily Trading Activity Data and the U.S. Stock Market Indices Data [D] . Sharara, Nasser Ateya 2018

机译：应用监督机器学习模型以使用交易者的每日交易活动数据和美国股票市场指数数据对日间交易者进行分类
6. Unravelling the Perspectives of Day and Night Traders in Selected Markets within a Sub-Saharan African City with a Malaria Knowledge Attitude and Practice Survey [O] . Patience B. Tetteh-Quarcoo, Nicholas T. K. D. Dayie, Kevin Kofi Adutwum-Ofosu, 2021

机译：在撒哈拉以南非洲城市中的选定市场中的日夜交易者的观点揭开了疟疾知识态度和实践调查
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

Informed traders and limit order markets

摘要

著录项

相似文献

相关主题

期刊订阅