Vanderbilt: Finance (Topic)最新文献

How Algorithmic Trading Undermines Efficiency in Capital Markets 算法交易如何破坏资本市场的效率

Vanderbilt: Finance (Topic) Pub Date : 2014-02-24 DOI: 10.2139/ssrn.2400527

Yesha Yadav

{"title":"How Algorithmic Trading Undermines Efficiency in Capital Markets","authors":"Yesha Yadav","doi":"10.2139/ssrn.2400527","DOIUrl":"https://doi.org/10.2139/ssrn.2400527","url":null,"abstract":"This Article argues that the rise of algorithmic trading profoundly challenges the foundation on which much of today’s securities regulation framework rests: the understanding that securities’ prices objectively reflect available information in the market. The Efficient Capital Markets Hypothesis (ECMH) has long provided the theoretical touchstone undergirding central pillars of securities regulation. Mandatory disclosure, evidentiary presumptions in anti-fraud litigation and regulation driving the design of modern exchanges all look to the ECMH for theoretical validation. It is easy to understand why. Laws that make markets better at interpreting information can also improve their ability to allocate capital across the real economy.Theory and regulation have failed to keep pace with markets where traders rely on pre-programmed algorithms to execute trades. This Article makes two claims. First, complex algorithms foster a separation between the trader and her ability to fully control the operation of the algorithm. Algorithms can execute many thousands of trades in milliseconds, crunching vast quantities of data and dynamically interacting with other traders in the process. This intelligence makes it difficult for a trader to fully predict how an algorithm might behave ex ante and near-impossible for her to track and control its activities in real-time. Secondly, though markets have traditionally relied on informed fundamental traders to decode complexity, these actors now possess reduced incentives to perform this function in algorithmic markets. Fundamental traders routinely see their gains diminished by faster, automated counterparts, able to front-run trades and to derive maximal benefit from the research of others. In arguing that algorithmic trading is transforming how markets process and interpret information, this Article shows that conventional assumptions in securities law doctrine and policy also break down. With these insights, this Article, offers a new framework to thoroughly reevaluate the centrality of efficiency economics in regulatory design.","PeriodicalId":299189,"journal":{"name":"Vanderbilt: Finance (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123000832","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 24

The Long and the Short of it: Evidence of Year-End Price Manipulation by Short Sellers 它的多头和空头:空头操纵年终价格的证据

Vanderbilt: Finance (Topic) Pub Date : 2011-03-15 DOI: 10.2139/ssrn.1364835

J. Blocher, Joseph Engelberg, Adam V. Reed

{"title":"The Long and the Short of it: Evidence of Year-End Price Manipulation by Short Sellers","authors":"J. Blocher, Joseph Engelberg, Adam V. Reed","doi":"10.2139/ssrn.1364835","DOIUrl":"https://doi.org/10.2139/ssrn.1364835","url":null,"abstract":"We identify a setting in which there is a predictable incentive for short sellers to manipulate prices, and we find patterns consistent with short sellers manipulating prices. Specifically, we find that stocks with high short interest experience abnormally low returns on the last trading day of the year. This effect is strongest among stocks that are easily manipulated and during the last hour of trading. Further, this effect reverses at the beginning of the year, consistent with the temporary nature of price manipulation. We show that hedge funds’ portfolios are closely related to market-wide short interest, suggesting that hedge funds, with their convex compensation structures, may generate the patterns we observe. In additional analysis, we find that larger price effects are associated with higher idiosyncratic volatility, offering a potential explanation for why temporary price effects are allowed to persist in the presence of rational arbitrageurs, but we find no evidence to suggest that extended non-trading-day holding periods play a role in the magnitude of the effects. Finally, we provide evidence of mutual funds and short sellers avoiding each other, and we show that downward pressure by short sellers is outweighed by upward pressure by buyers. In other words, since short sellers’ incentives are mirrored by buyers’ incentives in the opposite direction, our experiment provides evidence that short sellers manipulate prices in much the same way buyers do, and manipulation by short sellers is no stronger than manipulation by buyers.","PeriodicalId":299189,"journal":{"name":"Vanderbilt: Finance (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124887082","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 12

Convertibles and Hedge Funds as Distributors of Equity Exposure 可转债和对冲基金作为股票敞口的分销商

Vanderbilt: Finance (Topic) Pub Date : 2011-01-21 DOI: 10.2139/ssrn.1567260

Stephen J. Brown, Bruce D. Grundy, C. Lewis, P. Verwijmeren

引用次数: 73

Understanding Real Exchange Rate Movements with Trade in Intermediate Products 用中间产品贸易理解实际汇率变动

Vanderbilt: Finance (Topic) Pub Date : 2009-02-09 DOI: 10.2139/ssrn.904323

David Parsley, H. Popper

引用次数: 17

Conditional Return Smoothing in the Hedge Fund Industry 对冲基金行业的条件收益平滑

Vanderbilt: Finance (Topic) Pub Date : 2008-06-01 DOI: 10.1017/S0022109000003525

Nicolas P. B. Bollen, V. Pool

引用次数: 163

Measuring Financial Integration Via Idiosyncratic Risk: What Effects are We Really Picking Up? 通过特殊风险衡量金融一体化:我们真正得到了什么影响?

Vanderbilt: Finance (Topic) Pub Date : 2006-03-01 DOI: 10.2139/ssrn.895212

David Parsley, Christian Schlag

引用次数: 3

The Determinants of Issue Cycles for Initial Public Offerings 首次公开发行发行周期的决定因素

Vanderbilt: Finance (Topic) Pub Date : 2003-11-01 DOI: 10.2139/ssrn.471461

C. Lewis, V. Ivanov

{"title":"The Determinants of Issue Cycles for Initial Public Offerings","authors":"C. Lewis, V. Ivanov","doi":"10.2139/ssrn.471461","DOIUrl":"https://doi.org/10.2139/ssrn.471461","url":null,"abstract":"This paper identifies the determinants of market-wide and industry-specific security issue cycles using an autoregressive conditional duration model. We examine the business conditions, investor sentiment, and time-varying asymmetric information hypotheses and show that issue activity in different industries is consistent with different explanations. We find that the business conditions and sentiment hypotheses explain issue activity by manufacturing firms; while issue activity by financial institutions is partly explained by the sentiment hypothesis. On the other hand, none of these explanations are capable of explaining issue activity in the business services industry. Surprisingly, when all of these industries are pooled to examine market-wide activity, we find that none of these hypotheses are significantly related to issue activity. One explanation is that market-wide aggregation washes out much of the industry-specific information because issue activity is not perfectly correlated across industries. Using this observation, we then consider whether technological innovations are important determinants of industry-specific issue activity. We test for industry contagion by examining the periods before and after the Netscape initial public offering. We find evidence of an increase in the correlation of issue activity in related industries, which is consistent with the technological innovations hypothesis.","PeriodicalId":299189,"journal":{"name":"Vanderbilt: Finance (Topic)","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116394658","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

Modeling the Bid/Ask Spread: Measuring the Inventory-Holding Premium 买卖价差建模:衡量库存持有溢价

Vanderbilt: Finance (Topic) Pub Date : 2002-10-01 DOI: 10.2139/ssrn.336242

Nicolas P. B. Bollen, R. Whaley, Tom Smith

引用次数: 1

Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? 净买入压力是否影响隐含波动率函数的形状?

Vanderbilt: Finance (Topic) Pub Date : 2002-09-01 DOI: 10.2139/ssrn.319261

Nicolas P. B. Bollen, R. Whaley

引用次数: 897

The Rights Offer Puzzle: Clues from the 1930s and 1940s 权利提供之谜:来自20世纪30年代和40年代的线索

Vanderbilt: Finance (Topic) Pub Date : 2001-09-01 DOI: 10.2139/ssrn.283011

Timothy R. Burch, Vikram Nanda, William G. Christie

引用次数: 2