FOUCAULT, Thierry; RÖELL, Ailsa; SANDAS, Patrik - HEC Paris (École des Hautes Études Commerciales) - 2000
efficiency. Our analysis is relevant for the SOES controversy given that speculators in our model behave as the real world SOES … "bandits". Our model predicts that SOES bandits should trade in stocks with small spreads and that SOES bandit activity should …