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Limites da arbitragem no mercado de capitais : abordagem das finanças comportamentais; Limits to arbitrage in the capital market : behavioral finance approach

Vitor Kamada
Fonte: Biblioteca Digital da Unicamp Publicador: Biblioteca Digital da Unicamp
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 12/08/2010 Português
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46.5%
Esta dissertação trata dos limites à arbitragem no mercado de capitais. A idéia básica subjacente ao processo de arbitragem é comprar ativos financeiros desvalorizados e vender ativos financeiros supervalorizados. A finalidade é obter ganhos pecuniários mediante o diferencial dos preços. A economia neoclássica supõe que a arbitragem é processo instantâneo sem custos e riscos realizado por agentes atomísticos. No presente trabalho, essa hipótese é contestada com base nos avanços teóricos das Finanças Comportamentais. Na realidade, a arbitragem é sofisticada estratégia de investimento planejada por poucos profissionais altamente especializados em determinados mercados. Não obstante a arbitragem envolver substanciais custos e riscos, não há garantias de sucesso. A análise de casos concretos sugere que a concepção de arbitragem proposta pelas Finanças Comportamentais é mais realista. Três casos paradigmáticos foram analisados neste trabalho, a saber: I) empresas controladoras que valiam menos do que suas subsidiárias, como o exemplo da 3Com/Palm; II) ações gêmeas cujos preços desviavam-se da paridade teórica, como o exemplo da Royal Dutch/Shell; e III) o colapso do hedge fund Long-Term Capital Management (LTCM). No primeiro caso...

Limites na racionalidade das análises de risco soberano : testes econométricos, erros, finanças comportamentais e noise rater risk

Carneiro, Pedro Erik Arruda
Fonte: Universidade de Brasília Publicador: Universidade de Brasília
Tipo: Tese
Português
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36.69%
Tese (doutorado)—Universidade de Brasília, Instituto de Relações Internacionais, Departamento de Relações Internacionais, 2006.; Em termos amplos, o objetivo geral dessa tese é analisar as agências de rating por meio da abordagem da racionalidade restrita. Iniciamos discutindo as três abordagens econômicas tratadas por Keohane (1984): teoria dos jogos, lógica da ação coletiva e racionalidade restrita. No segundo capítulo, discutimos as finanças internacionais, apresentamos as crises financeiras recentes, além do debate sobre as instituições do mercado financeiro internacional. No terceiro capítulo, alcançamos a análise das agências de rating. Elaboramos diversos testes econométricos para determinar os fatores macroeconômicos relevantes para os ratings soberanos, e para definir os países desenvolvidos e os países subdesenvolvidos que são grau de investimento. Usamos uma amostra de 91 países, 11 fatores e duas dummies (uma para países da América Latina e outra para asiáticos). Encontramos, recorrentemente, significância para dívida bruta sobre PIB, dívida externa sobre receitas da conta corrente, PIB per capita, abertura econômica, investimento bruto e dummy da América Latina na determinação dos ratings. Vimos que nem todos os fatores macroeconômicos são relevantes e que a análise geográfica (geopolítica) tem importância...

Can Internet Search Queries Help to Predict Stock Market Volatility?

Dimpfl, Thomas; Jank, Stephan
Fonte: Universidade de Tubinga Publicador: Universidade de Tubinga
Tipo: ResearchPaper
Português
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26.09%
This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices’ realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches. Using the latter feedback effect to predict volatility we find that search queries contain additional information about market volatility. They help to improve volatility forecasts in-sample and out-of-sample as well as for different forecasting horizons. Search queries are particularly useful to predict volatility in high-volatility phases.

Noise Trader Risk in Financial-Markets

DELONG, J. Bradford; SHLEIFER, Andrei; SUMMERS, Lawrence H.; WALDMANN, Robert
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.09%

Where is the value in high frequency trading?

Cartea, Álvaro; Penalva, José [jpenalva]
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/submittedVersion; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em 28/02/2011 Português
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We analyze the impact of high frequency trading in financial markets based on a model with three types of traders: liquidity traders, market makers, and high frequency traders. Our four main findings are: i) The price impact of the liquidity trades is higher in the presence of the high frequency trader and is increasing with the size of the trade. In particular, we show that the high frequency trader reduces (increases) the prices that liquidity traders receive when selling (buying) their equity holdings. ii) Although market makers also lose revenue to the high frequency trader in every trade, they are compensated for these losses by a higher liquidity discount. iii) High frequency trading increases the volatility of prices. iv) The volume of trades doubles as the high frequency trader intermediates all trades between the liquidity traders and market makers. This additional volume is a consequence of trades which are carefully tailored for surplus extraction and are neither driven by fundamentals nor is it noise trading. In equilibrium, high frequency trading and traditional market making coexist as competition drives down the profits for new high frequency traders while the presence of high frequency traders does not drive out traditional market makers

Price discovery in the pre-opening period. theory and evidence from the madrid stock exchange

Brusco, Sandro; Manzano, Carolina; Tapia, Mikel
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /10/2003 Português
Relevância na Pesquisa
16.09%
Some stock exchanges, such as the Spanish Stock Exchange and Euronext (Paris), allow traders to place orders in a 'pre-opening' period. Orders placed in this period are used to determine the opening price, and can be cancelled at any moment and at no cost by the traders. We consider a model in which noise traders can appear in the market before or after the opening, and a strategic informed trader decides her order strategy at the pre-opening and at the opening period. We characterize the equilibrium of such a model, showing that at the pre-opening there is a non-monotonic relation between the aggregate quantity ordered and prices. Thus, the equilibrium at the pre-opening stage is determined in a way which is fundamentally different from the equilibrium in the open market. We proceed to study the implications of the existence of a pre-opening period on information revelation and on the determination of the opening price. We present evidence from the Spanish Stock Exchange that seem to support the theoretical predictions, showing a clear different in behaviour between the market behaviour before and after the opening of the market.

Price Discovery in the Pre-Opening Period. Theory and Evidence from the Madrid Stock Exchange

Brusco, Sandro; Manzano, Carolina; Tapia, Mikel
Fonte: AEFIN : Universidad de Alicante Publicador: AEFIN : Universidad de Alicante
Tipo: Conferência ou Objeto de Conferência Formato: application/pdf
Publicado em //2003 Português
Relevância na Pesquisa
16.09%
Some stock exchanges, such as the Spanish Stock Exchange and Euronext (Paris), allow traders to place orders in a `pre-opening' period. Orders placed in this period are used to determine the opening price, and can be cancelled at any moment and at no cost by the traders. We consider a model in which noise traders can appear in the market before or after the opening, and a strategic informed trader decides her order strategy at the preopening and at the opening period. We characterize the equilibrium of such a model, showing that at the pre-opening there is a non-monotonic relation between the aggregate quantity ordered and prices. Thus, the equilibrium at the preopening stage is determined in a way which is fundamentally diferent from the equilibrium in the open market. We proceed to study the implications of the existence of a pre-opening period on information revelation and on the determination of the opening price. We present evidence from the Spanish Stock Exchange that seem to support the theoretical predictions, showing a clear diference in behavior between the market behavior before and after the opening of the market.; XI Foro de Finanzas del Nuevo Milenio. Alicante, 13 - 14 de noviembre, 2003.

Noise Trader Risk and the Political Economy of Privatisation

Grant, Simon; Quiggin, John
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 194472 bytes; application/pdf
Português
Relevância na Pesquisa
46.5%
The 'noise trader' model of De Long et al. provides a plausible account of the determination of the equity premium. Extension of the model to allow for privatization of publicly-owned assets yields insights into the positive political economy of privatization and into the normative question of how policies should be evaluated in the presence of mistaken beliefs.; no

Three essays in financial economics; 3 essays in financial economics

Westerfield, Mark W., 1977-
Fonte: Massachusetts Institute of Technology Publicador: Massachusetts Institute of Technology
Tipo: Tese de Doutorado Formato: 163 p.; 8618504 bytes; 8638613 bytes; application/pdf; application/pdf
Português
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26.22%
(cont.) left on the table" due to underpricing in the IPO allocation is not capital the firm could have raised; instead, it is the empirical regularity associated with obtaining a high quality aftermarket, high equity valuation, and higher proceeds to the issuer. We examine the principal-agent problem in a simple continuous time framework when potential agents have heterogeneous priors. We find that the principal prefers agents with priors very different from his own. The principal will create a contract that includes side-bets to exploit gains from trade created by heterogeneous priors despite the distortionary effect on effort choice. In a semi-dynamic labor market, the principal can optimally choose to churn his employees to prevent them from learning about project profitability, even when agents' skills are increasing with job tenure. We develop several empirical predictions, and relate our model to the labor market in the financial industry.; Milton Friedman argued that irrational traders will consistently lose money, won't survive and, therefore, cannot influence long run equilibrium asset prices. Since his work, survival and price impact have been assumed to be the same. In this paper, we demonstrate that survival and price impact are two independent concepts. The price impact of irrational traders does not rely on their long-run survival and they can have a significant impact on asset prices even when their wealth becomes negligible. We also show that irrational traders' portfolio policies can deviate from their limits long after the price process approaches its long-run limit. We show...

Noise Trader Risk in Financial Markets

De Long, J. Bradford; Shleifer, Andrei; Summers, Lawrence H.; Waldmann, Robert J.
Fonte: University of Chicago Press Publicador: University of Chicago Press
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
36.34%
We present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns. The unpredictability of noise traders' beliefs creates a risk in the price of the asset that deters rational arbitrageurs from aggressively betting against them. As a result, prices can diverge significantly from fundamental values even in the absence of fundamental risk. Moreover, bearing a disproportionate amount of risk that they themselves create enables noise traders to earn a higher expected return than rational investors do. The model sheds light on a number of financial anomalies, including the excess volatility of asset prices, the mean reversion of stock returns, the underpricing of closed-end mutual funds, and the Mehra-Prescott equity premium puzzle.; Economics

Sornette-Ide model for markets: Trader expectations as imaginary part

Schulze, Christian
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 12/01/2002 Português
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A nonlinear differential equation of Sornette-Ide type with noise, for a complex variable, yields endogenous crashes, preceded by roughly log-periodic oscillations in the real part, and a strong increase in the imaginary part. The latter is interpreted as the trader expectation.; Comment: 4 pages including two figures, for Int. J. Mod. Phys. C 14, issue 4 (2002)

Communication Strategies for Low-Latency Trading

Karzand, Mina; Varshney, Lav R.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 27/04/2015 Português
Relevância na Pesquisa
16.36%
The possibility of latency arbitrage in financial markets has led to the deployment of high-speed communication links between distant financial centers. These links are noisy and so there is a need for coding. In this paper, we develop a gametheoretic model of trading behavior where two traders compete to capture latency arbitrage opportunities using binary signalling. Different coding schemes are strategies that trade off between reliability and latency. When one trader has a better channel, the second trader should not compete. With statistically identical channels, we find there are two different regimes of channel noise for which: there is a unique Nash equilibrium yielding ties; and there are two Nash equilibria with different winners.; Comment: Will appear in IEEE International Symposium on Information Theory (ISIT), 2015

Stylized Facts in Internal Rates of Return on Stock Index and its Derivative Transactions

Pichl, Lukas; Kaizoji, Taisei; Yamano, Takuya
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.09%
Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the probability distributions for such single asset encounters encorporate the time factor by means of the internal rate of return defined as the continuous compound interest. Resulting stylized facts are shown in the probability distributions derived from the daily series of TOPIX, S & P 500 and FTSE 100 index close values. The application of the above analysis to minute-tick data of NIKKEI 225 and its futures market, respectively, reveals an interesting diffference in the behavior of the two probability distributions, in case a threshold on the minimal duration of the long position is imposed. It is therefore suggested that the probability distributions of the internal rates of return could be used for causality mining between the underlying and derivative stock markets. The highly specific discrete spectrum, which results from noise trader strategies as opposed to the smooth distributions observed for fundamentalist strategies in single encounter transactions may be also useful in deducing the type of investment strategy from trading revenues of small portfolio investors.; Comment: APFA 5

Informed Traders

Brody, Dorje C.; Davis, Mark H. A.; Friedman, Robyn L.; Hughston, Lane P.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
16.71%
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies based on the additional information. In this model market participants have access to a stream of noisy information concerning the future return of an asset, whereas the informed trader has access to a further information source which is obscured by an additional noise that may be correlated with the market noise. The informed trader uses the extraneous information source to seek statistical arbitrage opportunities, while at the same time accommodating the additional risk. The amount of information available to the general market participant concerning the asset return is measured by the mutual information of the asset price and the associated cash flow. The worth of the additional information source is then measured in terms of the difference of mutual information between the general market participant and the informed trader. This difference is shown to be nonnegative when the signal-to-noise ratio of the information flow is known in advance. Explicit trading strategies leading to statistical arbitrage opportunities...

The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows

Chiarella, Carl; Iori, Giulia; Perello, Josep
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 22/11/2007 Português
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In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. Agents are assumed to have three components to the expectation of future asset returns, namely-fundamentalist, chartist and noise trader. Furthermore agents differ in the characteristics describing these components, such as time horizon, risk aversion and the weights given to the various components. The model developed here extends a great deal of earlier literature in that the order submissions of agents are determined by utility maximisation, rather than the mechanical unit order size that is commonly assumed. In this way the order flow is better related to the ongoing evolution of the market. For the given market structure we analyze the impact of the three components of the trading strategies on the statistical properties of prices and order flows and observe that it is the chartist strategy that is mainly responsible of the fat tails and clustering in the artificial price data generated by the model. The paper provides further evidence that large price changes are likely to be generated by the presence of large gaps in the book.; Comment: 15 pages, 11 figures

Imperfect Competition and Market Liquidity with a Supply Informed Trader

Dumitrescu, Ariadna
Fonte: Conselho Superior de Investigações Científicas Publicador: Conselho Superior de Investigações Científicas
Tipo: Documento de trabajo
Português
Relevância na Pesquisa
26.51%
We develop a model of insider trading where agents have private information either about liquidation value or about supply and behave strategically to maximize their profits. The supply informed trader plays a dual role in market making and in information revelation. This trader not only reveals a part of the information he owns, but he also induces the other traders to reveal more of their private information. The presence of different types of information decreases market liquidity and induces non-monotonicity of the market indicators with respect to the variance of liquidation value. Replacing the noise introduced by liquidity traders with a random supply also allows us to study the effect the shocks on different components of supply have on prices and quantities.

Imperfect competition and market liquidity with a supply informed trader

Dumitrescu, Ariadna
Fonte: Universidade Autônoma de Barcelona Publicador: Universidade Autônoma de Barcelona
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em //2006 Português
Relevância na Pesquisa
26.51%
We develop a model of insider trading where agents have private information either about liquidation value or about supply and behave strategically to maximize their profits. The supply informed trader plays a dual role in market making and in information revelation. This trader not only reveals a part of the information he owns, but he also induces the other traders to reveal more of their private information. The presence of different types of information decreases market liquidity and induces non-monotonicity of the market indicators with respect to the variance of liquidation value. Replacing the noise introduced by liquidity traders with a random supply also allows us to study the effect the shocks on different components of supply have on prices and quantities.

Asset price manipulation with several traders

Walther, Ansgar
Fonte: Faculty of Economics, University of Cambridge, UK Publicador: Faculty of Economics, University of Cambridge, UK
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
16.51%
In financial markets with asymmetric information, traders may have an incentive to forgo profitable deals today in order to preserve their informational advantage for future deals. This sort of manipulative behaviour has been studied in markets with one informed trader (Kyle 1985, Chakraborty and Yilmaz 2004). The effect is slower social learning. Using an extension of Glosten and Milgrom?s (1985) trading model, we study this effect in markets with N informed traders. As N grows large, each trader?s price impact subsides, and so does manipulation in equilibrium. However, the impact of manipulation on social learning can be increasing in N. As N increases, each trader individually manipulates less. But nonetheless, the increased number of manipulative actions introduces enough noise to exacerbate the impact of manipulation on learning.

Strategic trading in a dynamic noisy market

Vayanos, Dimitri
Fonte: London School of Economics and Political Science Research Publicador: London School of Economics and Political Science Research
Tipo: Article; PeerReviewed Formato: application/pdf
Publicado em /02/2001 Português
Relevância na Pesquisa
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This paper studies a dynamic model of a nancial market with a strategic trader. In each period the strategic trader receives a privately observed endowment in the stock. He trades with competitive market makers to share risk. Noise traders are present in the market. After receiving a stock endowment, the strategic trader is shown to reduce his risk exposure either by selling at a decreasing rate over time, or by selling and then buying back some of the shares sold. When the time between trades is small, the strategic trader reveals the information regarding his endowment very quickly.

Rational trader risk

Kondor, Peter
Fonte: Financial Markets Group, London School of Economics and Political Science Publicador: Financial Markets Group, London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /05/2004 Português
Relevância na Pesquisa
36.36%
Allowing for a richer information structure than usual, we show that rational traders’ calculation with short-term price fluctuations may heavily influence their behaviour even if the interim price is not influenced by non-rational agents i.e. there is no noise trader risk. Instead, traders expect that new rational entrants with different information in the interim period will drive the price against them. Consequently, rational traders in the first period will hesitate to trade on their private information or - in the extreme - will trade against their private information i.e. buy more of the risky asset when they consider it worse. In the first part we develop a microstructure model with learning where the above effect will result in severe inefficiency and mispricing. In the second part, we discuss the critical properties of the information structure which are expected to result in similar findings in general models.