We test whether forecast bias affects individual investors' stock trading by combining bias measures from laboratory experiments with administrative trade data. Forecast bias is positively associated with past excess returns of purchased stocks: Compared to contrarians, extrapolators purchase...

This paper shows that, in a setup 'a la Kyle (1985), correlated retail trading opens up new profit opportunities for professional investors at the expense of retail investors. Additionally, it demonstrates that market quality can benefit through higher market liquidity and higher price...

Pairs trading has been a successful tool for traders since its inception in the 1980s and has evolved significantly with the introduction of algorithmic, machine, and AI trading. This evolution has compli­cated the implementation of this strategy that traditionally benefits institutional or...

In contrast to previous studies that investigated the impact of the investment groups' trading volume on the volatility of the stock index, this research, inspired by behavioral finance literature, aims to evaluate the dynamic bi-directional relationship between the trading behavior of investor...

One of the most notable developments in the asset management industry in recent decades has been the growth of algorithmic trading. At the same time, significant structural changes in the industry have occurred, with passive investing gaining momentum. The intersection of these two major trends...

We investigate high-frequency traders' behavior in the context of the fastest and most extreme price movements (EPMs) that can be observed in the market, specifically ultra-fast flash events, challenging the methodologies employed in the academic and practitioner literature for identifying...

The estimation of the probability of informed trading (PIN) model and its extensions poses significant challenges owing to various computational problems. To address these issues, we propose a novel estimation method called the expectation-conditional-maximization (ECM) algorithm, which can...

This study introduces a novel pairs trading strategy based on copulas for cointegrated pairs of cryptocurrencies. To identify the most suitable pairs and generate trading signals formulated from a reference asset for analyzing the mispricing index, the study employs linear and nonlinear...

This paper examines tail connectedness between various exchange-traded funds (ETFs) focused on artificial intelligence (AI) and some traditional assets such as bonds, equities, Bitcoin, and oil, as well as the VIX uncertainty index, using US daily data over the period from 1 January 2023 to 23...

There are various factors that influence the trading behavior of individual investors in the stock market. This study, based on data from 405 individual investors, is the first to investigate the relationship between sleep quality and investors' trading behavior in the stock market. Sleep...

In diffusion models, few suitably chosen financial securities allow to complete the market. As a consequence, the efficient allocations of static Arrow-Debreu equilibria can be attained in Radner equilibria by dynamic trading. We show that this celebrated result generically fails if there is...