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I am not sure Dark Pools (DP) have been created to avoid "market manipulation". They have been created by firms because they found an advantage to create them (see Market Microstructure in Practice, L and Laruelle Eds.). The main reasons have been: spare market fees, for DP created by brokers (like UBS MTF); spare market impact, for block pools (like ...


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Here is a collection of papers. The general idea is that the market has investor classes that share different expectations. When in bubble territory, many investors generally agree that assets are overpriced, but they still invest in expectation of more investors entering the market (the greater fools). There are also sophisticated investors who know assets ...


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The opening and closing prices are set during an auction. If there are overnight news, then the opening auction will reflect information which wasn't there during the closing auction. And even without the auctions, the last traded price yesterday results from different orders than the first traded price today.


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There is trading happening overnight. A nice paper is Dong Lou et. al: http://personal.lse.ac.uk/loud/OvernightMom.pdf They explain the overnight trading and actually document that most known anomalies occur on that period.


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The way to do gradual position entry and exit is to use multiple trend following rules, each of which is responsible for managing a part of the available capital. Only if all the trading rules agree will 100% of the capital be deployed. As a simple example, suppose you have three rules. The first rule is based on 10 day momentum; this rule produces a score ...


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A public order book gives traders information not only on the current price of a security, but also the volume and structure of the entire supply and demand schedule. Such information can be used for arbitrage and market manipulation strategies in various ways: Spoofing: Inserting a large limit order as an apparent buy or sell signal which is canceled any ...


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Before making regression you have to perform test on fractional integration on each component. The power and size of traditional unit root tests are poor. The tests’ weak power implies that the statistical tests cannot distinguish between a unit root process and a fractionally integrated series with long memory (Baillie, 1996). As a consequence, a ...


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When an exchange (or ECN) receives an order, there is no identifier of the buyer or seller. Therefore the only place that this is available is at the broker themselves. No broker would be willing to provide this information even on an anonymized basis and it would be a violation of other laws and regulations (such as Regulation S-P). ...



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