均衡欺骗

Basil Williams, Andrzej Skrzypacz
{"title":"均衡欺骗","authors":"Basil Williams, Andrzej Skrzypacz","doi":"10.2139/ssrn.3742327","DOIUrl":null,"url":null,"abstract":"We present a model of dynamic trading with exogenous and strategic cancellation of orders. We define spoofing as the strategic placing and canceling of orders in order to move prices and trade later in the opposite direction. We show that spoofing can occur in equilibrium. Consistent with regulator concerns, we show that spoofing slows price discovery, raises bid-ask spreads, and raises return volatility. A novel prediction is that the prevalence of equilibrium spoofing is single-peaked in the measure of informed traders, suggesting that spoofing should be more prevalent in markets of intermediate liquidity. We consider within-market and cross-market spoofing and discuss how regulators should allocate resources towards cross-market surveillance.","PeriodicalId":319981,"journal":{"name":"ERN: Stochastic & Dynamic Games (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":"{\"title\":\"Spoofing in Equilibrium\",\"authors\":\"Basil Williams, Andrzej Skrzypacz\",\"doi\":\"10.2139/ssrn.3742327\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We present a model of dynamic trading with exogenous and strategic cancellation of orders. We define spoofing as the strategic placing and canceling of orders in order to move prices and trade later in the opposite direction. We show that spoofing can occur in equilibrium. Consistent with regulator concerns, we show that spoofing slows price discovery, raises bid-ask spreads, and raises return volatility. A novel prediction is that the prevalence of equilibrium spoofing is single-peaked in the measure of informed traders, suggesting that spoofing should be more prevalent in markets of intermediate liquidity. We consider within-market and cross-market spoofing and discuss how regulators should allocate resources towards cross-market surveillance.\",\"PeriodicalId\":319981,\"journal\":{\"name\":\"ERN: Stochastic & Dynamic Games (Topic)\",\"volume\":\"18 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-12-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"4\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Stochastic & Dynamic Games (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3742327\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Stochastic & Dynamic Games (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3742327","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 4

摘要

我们提出了一个带有外生和策略取消订单的动态交易模型。我们将欺骗定义为策略性地下单和取消订单,以便稍后在相反的方向上移动价格和交易。我们证明欺骗可以在平衡状态下发生。与监管机构的担忧一致,我们表明欺骗减缓了价格发现,提高了买卖价差,并提高了回报波动性。一个新的预测是,均衡欺骗的流行程度在知情交易者的衡量中是单峰的,这表明欺骗应该在中等流动性的市场中更为普遍。我们将考虑市场内和跨市场欺骗,并讨论监管机构应如何分配资源用于跨市场监管。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Spoofing in Equilibrium
We present a model of dynamic trading with exogenous and strategic cancellation of orders. We define spoofing as the strategic placing and canceling of orders in order to move prices and trade later in the opposite direction. We show that spoofing can occur in equilibrium. Consistent with regulator concerns, we show that spoofing slows price discovery, raises bid-ask spreads, and raises return volatility. A novel prediction is that the prevalence of equilibrium spoofing is single-peaked in the measure of informed traders, suggesting that spoofing should be more prevalent in markets of intermediate liquidity. We consider within-market and cross-market spoofing and discuss how regulators should allocate resources towards cross-market surveillance.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:604180095
Book学术官方微信