This article describes how the era of hyper-connectivity is characterized by distributed, crowd-centric ecosystems that utilise cutting edge technology so as to harness the collective power, co-creation ability and intelligence of the crowd utilising under open participatory value creation...

Trading volume and order flow have both been closely associated with informed trader activity in the market microstructure literature. Using theory that explains regular intraday patterns in trading data, we transform these two variables into proxies for private information and examine their...

In this paper, we examine the Adaptive Market Hypothesis (AMH) through four well-known calendar anomalies in the Dow Jones Industrial Average from 1900 to 2013. We use subsample analysis as well as rolling window analysis to overcome difficulties with each method type of analysis. We also create...

We examine the role of market structure in identifying microstructure features of the NYSE.Euronext-LIFFE STIR futures market by comparing the ability of two bid-ask spread component models to explain bid-ask spreads. These two models differ only in their assumptions about whether or not market...

Ours is the first paper to highlight pairs trading as the main price-correcting mechanism by which arbitrage can maintain stock–ADR parity. We show that arbitraging stock–ADR pairs extracts small per-trade profits which accumulate to a substantial aggregate return. The observed strong...

This paper studies a period containing three major structural changes, which constitute a natural experiment in the NYSE.Euronext-LIFFE European short-term interest rate (STIR) futures market. These changes comprise (1) a 50% reduction in minimum tick size for the most heavily traded contract,...

This paper analytically solves the portfolio optimization problem of an investor faced with a risky arbitrage opportunity (e.g. relative mispricing in equity pairs). Unlike the extant literature, which typically models mispricings through the Ornstein--Uhlenbeck (OU) process, we introduce a...