We analyze a multi-period model of trading with differentially informed traders, liquidity traders and a market maker. Each informed traders' initial information is a noisy estimate of the long-term value of the asset, and the different signals received by informed traders can have a variety of...

Using a unique database of daily transactions from Australian equity managers, we investigate the relation between institutional trading and share returns. The 34 institutional investors included in our sample exhibit a statistically and economically significant ability to predict large...

This paper studies the performance of the Foster-Whiteman (1999) procedure for using a Bayesian predictive distribution for the future price of an asset to compute the price of a European option on that asset. A technical contribution of the paper is the description of a sequential importance...

Following Lence and Hayes (1994a), we study the problem faced by an Iowa farmer who wishes to hedge a soybean harvest using Chicago futures contracts. A time-series model for spot and futures prices is postulated, and numerical Bayesian procedures are used to calculate predictive densities and...

This paper investigates whether customer order flow conveys information about future foreign exchange (FX) prices. We use a unique data set from a leading Australian commercial bank that records every FX trade made by the bank in the spot Australian dollar/US dollar market between 2005 and 2010....

A dynamic model of strategic trading with two asymmetrically informed traders is analyzed where one informed trader knows the information seen by both informed traders, and the other informed trader only knows his private information. While the first informed trader is better informed, the...