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Three essays on forecasting and information acquisition in finance

Putintseva, Maria - 2013

Persistent link: https://www.econbiz.de/10010233956

Predictive power of information market prices

Putintseva, Maria - 2011

profitability and applicability is evaluated. Prediction Market, Forecasting, Probability, Trading Strategy, Market Microstructure …

Persistent link: https://www.econbiz.de/10009295796

Trading Strategies and Market Microstructure : Evidence from a Prediction Market

Rothschild, David - 2016

We examine transaction-level data from Intrade's 2012 presidential winner market for the entire two-year period for which trading occurred. The data allow us to compute key statistics, including volume, transactions, aggression, directional exposure, holding duration, margin, and profit for each...

Persistent link: https://www.econbiz.de/10013007200

Do prices in the unmediated call auction reflect insider information? : an experimental analysis

Brünner, Tobias; Levínský, René - 2008

The unmediated call auction is a useful trading mechanism to aggregate dispersed information. Its ability to incorporate information of a single informed insider, however, is less well understood. We analyse this question by presenting a simple call auction game where both auction prices and...

Persistent link: https://www.econbiz.de/10003798364

Deep Order Flow Imbalance : Extracting Alpha at Multiple Horizons from the Limit Order Book

Kolm, Petter N.; Turiel, Jeremy; Westray, Nicholas - 2021

We employ deep learning in forecasting high-frequency returns at multiple horizons for 115 stocks traded on Nasdaq … using order book information at the most granular level. While raw order book states can be used as input to the forecasting … trained directly on order books. Using cross-sectional regressions we link the forecasting performance of a long short …

Persistent link: https://www.econbiz.de/10013216609

How do insiders trade?

Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2016

We characterize how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about (i) the timing of the announcement and (ii) its impact on stock prices. Our theoretical framework generates a rich set of predictions about the...

Persistent link: https://www.econbiz.de/10011541417

Informed options strategies before corporate events

Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2022

We analyze how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about the timing and impact of these announcements on stock prices. We propose a framework that ranks options trading strategies (option type, maturity, and...

Persistent link: https://www.econbiz.de/10013332282

Decomposing the Probability of Informed Trading Measure

Wei, Wang Chun - 2018

This paper aims to analyze the dynamics of information asymmetry in market microstructure through the Easley et al. (2002)'s PIN framework in two segments. Firstly, we test to see if factors such as size, value and illiquidity can be used to explain PIN. Secondly, we extend beyond the...

Persistent link: https://www.econbiz.de/10012940131

Multilayer Probability of Informed Trading

Ersan, Oguz - 2017

This paper demonstrates the multilayer structure of information in financial markets. While only 3.59% of 8,190 stock/quarter pairs have single information layer, 75% have two to five layers and 18% have six to eight layers. We develop a clustering algorithm which determines the number of...

Persistent link: https://www.econbiz.de/10012967326

Term-Structure Analysis of Hidden Order in the Limit Order Book : Evidence from the E-Mini S&P 500

Phuensane, Pongsutti - 2016

The hidden order is currently increasingly popular as a standard feature of electronic limit order book markets. The invisible order allows traders to hide all, or partially hide their orders to avoid exposure to risk. I propose a new hidden order detection algorithm for the limit order book to...

Persistent link: https://www.econbiz.de/10012981156