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AFA2019会议论文(43):Trading in Modern Markets

2019-2-20 16:38| 发布者: sujiaoshou| 查看: 391| 评论: 0|原作者: 金融经济学|来自: 金融经济学

摘要: AFA2019会议论文(43):Trading in Modern Markets

AFA2019会议论文(43):Trading in Modern Markets

金融经济学 2月1日



 

1.Brokers and Order Flow Leakage: Evidence from Fire Sales

 

Francesco Franzoni University of Lugano 

Augustin LandierHEC Paris

 

Abstract

Using trade-level data, we study whether brokers play a role in spreading order flow information. We focus on large portfolio liquidations, which result in temporary drops in stock prices, and identify the brokers that intermediate these trades. We show that these brokers’ best clients tend to predate on the liquidating funds: at the beginning of the fire sale, they sell their holdings in the liquidated stocks, to then cover their positions once asset prices start recovering. The predatory trades generate at least 50 basis points over ten days and cause the liquidation costs for the distressed fund to almost double. These results suggest a role of brokers in fostering predatory behavior and raise a red flag for regulators. Moreover, our findings highlight the trade-off between slow execution and potential information leakage in the decision of optimal trading speed. 

 

原文链接:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2991617

 

 

2.Information, Liquidity, and Dynamic Limit Order Markets

 

 Roberto Ricco Bocconi University

Barbara Rindi , Bocconi University

Duane Seppi , Carnegie Mellon University

 

Abstract

This paper describes price discovery and liquidity provision in a dynamic limit order market with asymmetric information and non-Markovian learning. In particular, investors condition on information in both the current limit order book and also, unlike in previous research, on the prior trading history when deciding whether to provide or take liquidity. Numerical examples show that the information content of the prior order history can be substantial. In addition, the information content of arriving orders can be non-monotone in both the direction and aggressiveness of arriving orders. 

 

原文链接:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3032074

 

 

3.Speed Acquisition

 

Shiyang HuangThe University of Hong Kong

Bart YueshenINSEAD

 

Abstract

Speed has become a signature of modern financial markets. This paper studies investors' endogenous speed acquisition, alongside their information acquisition. In equilibrium, speed heterogeneity across investors srises and temporally fragments the price discovery process, reducing overall price efficiency. Intra and intertemporal competition among fast and slow investors drives the speed and the information technologies to be either substitutes or complements. The model prediction cautions the dysfunction of information aggregation in the financial market: An advancement in the information technology can worsen prive efficiency, because the complementarity incentivizes more speed acquisition that further fragments price discovery temporally.

 

原文链接:

http://www.sef.hku.hk/~huangsy/files/manuscript.pdf

 

 

4.Exchange Competition, Entry, and Welfare

 

Giovanni Cespa , City University London

Xavier Vives , IESE Business School

 

Abstract

We assess the consequences for market quality and welfare of different entry regimes and exchange pricing policies in a context of limited market participation. To this end we integrate a two-perid market microstructure model with an exchange competition model with entry in which exchanges supply technological services, and have market power. We find that technological services can be strategic substitutes or complements in platform competition. Free entry of platforms delivers a superior outcome in terms of liquidity and (generally) welfare compared to the case of an unregulated monopoly. Controlling entry or, even better typically, platform fees may further increase welfare. The market may deliver excessive or insufficient entry. However, if the regulatior is constrained to not making transfers to platforms then there is never insufficient entry.

 

原文链接:

https://blog.iese.edu/xvives/files/2018/10/Cespa-Vives_Sept2018.pdf

 

END

 

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