Evidence of in-play insider trading on a UK betting exchange

International audienceAn open question in market microstructure is whether 'informed' traders have an advantage due to access to private, inside, information; or due to a superior ability to process public information. In this paper we attempt to answer this question with data from a sports betting exchange taken during play. Uniquely, this allows us to time-stamp information events to the nearest second, and to ensure we are observing all relevant information regarding the value of an asset. We find evidence of inside information but not of a superior ability to process public information. The first finding suggests that a subset of the betting population are observing the action before the wider public (possibly due to delays in the television signal), and betting using this informational advantage

Common Factors in Prices, Order Flows and Liquidity

How important are cross-stock common factors in the price discovery/liquidity provision process in equity markets? We investigate two aspects of this question for the thirty Dow stocks. First, using principal components and canonical correlation analyses we find that both returns and order flows are characterized by common factors. Commonality in the order flows explains roughly half of the commonality in returns. Second, we examine variation and common covariation in various liquidity proxies and market depth (trade impact) coefficients. Liquidity proxies such as the bid-ask spread and bid-ask quote sizes exhibit time variation which helps explain time variation in trade impacts. The common factors in these liquidity proxies are relatively small, however

Quantifying Stock Price Response to Demand Fluctuations

We address the question of how stock prices respond to changes in demand. We quantify the relations between price change $G$ over a time interval $\Delta t$ and two different measures of demand fluctuations: (a) $\Phi$, defined as the difference between the number of buyer-initiated and seller-initiated trades, and (b) $\Omega$, defined as the difference in number of shares traded in buyer and seller initiated trades. We find that the conditional expectations $<G >_{\Omega}$ and $_{\Phi}$ of price change for a given $\Omega$ or $\Phi$ are both concave. We find that large price fluctuations occur when demand is very small --- a fact which is reminiscent of large fluctuations that occur at critical points in spin systems, where the divergent nature of the response function leads to large fluctuations.Comment: 4 pages (multicol fomat, revtex

The position profiles of order cancellations in an emerging stock market

Order submission and cancellation are two constituent actions of stock trading behaviors in order-driven markets. Order submission dynamics has been extensively studied for different markets, while order cancellation dynamics is less understood. There are two positions associated with a cancellation, that is, the price level in the limit-order book (LOB) and the position in the queue at each price level. We study the profiles of these two order cancellation positions through rebuilding the limit-order book using the order flow data of 23 liquid stocks traded on the Shenzhen Stock Exchange in the year 2003. We find that the profiles of relative price levels where cancellations occur obey a log-normal distribution. After normalizing the relative price level by removing the factor of order numbers stored at the price level, we find that the profiles exhibit a power-law scaling behavior on the right tails for both buy and sell orders. When focusing on the order cancellation positions in the queue at each price level, we find that the profiles increase rapidly in the front of the queue, and then fluctuate around a constant value till the end of the queue. These profiles are similar for different stocks. In addition, the profiles of cancellation positions can be fitted by an exponent function for both buy and sell orders. These two kinds of cancellation profiles seem universal for different stocks investigated and exhibit minor asymmetry between buy and sell orders. Our empirical findings shed new light on the order cancellation dynamics and pose constraints on the construction of order-driven stock market models.Comment: 17 pages, 6 figures and 6 table

Demographic responses of raccoons to varying exploitation rates

The Cox\u27s proportional hazards model indicated higher harvest levels significantly increased mortality of birth-year (BY) raccoons but not of animals ≥1 year old (ABY). Mortality of ABY males was significantly greater than that of ABY females. Hunters had a marginally significant (P = 0.10) effect on harvest mortality of BY raccoons but neither hunters nor trappers contributed significantly to harvest mortality rate of ABY raccoons. Activity and behavior patterns may contribute to greater harvest mortality of BY raccoons and ABY male raccoons;Monte Carlo simulations were done to investigate bias, efficiency and confidence interval coverage of the Kaplan-Meier (KM) and Heisey-Fuller (HF) survival estimators under a variety of conditions. Simulations explored robustness of HF to violation of a constant hazard rate in a time interval by allowing the hazard to decrease during an interval and by incorrectly identifying interval length. HF was not robust to a decreasing hazard unless survival was high during that interval. With low interval survival, HF had large negative bias and poor coverage. HF was partially robust to incorrect identification of interval length. Incorrectly identifying interval length or a decreasing hazard had little effect on KM. This indicates use of KM unless data clearly follow a piecewise exponential distribution with distinct intervals;Increasing harvest rate from a mean of 29% during 1983-85 to a mean of 48% in 1986-88 did not reduce population size. I found no density-dependent effects of increased harvest on pregnancy rates or litter size. Increased harvest seemed additive to natural mortality in BY raccoons but acted in a compensatory fashion among ABY animals

The Dampening Effect of Iceberg Orders on Small Traders' Welfare

Iceberg orders, which allow traders to hide a portion of their order size, have become prevalent in many electronic limit order markets. This paper investigates, via a real options analysis, whether small traders, who have no use for submitting iceberg orders, are better off submitting their orders to fully transparent markets which have low depth, or to more liquid markets which do permit the placement of iceberg orders by large traders. Surprisingly, we find that in the context of our model, small traders are better off submitting to fully transparent markets in spite of them being less liquid

In whose best interest? An agent-based model of high frequency trading

We study a stylized model of High Frequency Trading in which traders equipped with private values and costs operate in a Continuous Double Auction. They can revise their orders with different frequencies and, hence, (only) some agents can repeatedly revise and resubmit orders in the same session, mimicking the behavior of high frequency traders. All agents attempt to maximize profits, learning which bid and ask is to be posted in a given configuration of the book. We analyze the efficiency of the resulting market and the way the surplus from trading is apportioned among agents as a function of the number and type of high frequency traders. We find that the presence of a small proportion of high frequency traders increases the overall efficiency of the market; secondly, the ones who have the chance to frequently revise the offers learn to extract a disproportionate fraction of the profits that ordinarily would belong to slow traders

Multiple agency perspective, family control, and private information abuse in an emerging economy

Using a comprehensive sample of listed companies in Hong Kong this paper investigates how family control affects private information abuses and firm performance in emerging economies. We combine research on stock market microstructure with more recent studies of multiple agency perspectives and argue that family ownership and control over the board increases the risk of private information abuse. This, in turn, has a negative impact on stock market performance. Family control is associated with an incentive to distort information disclosure to minority shareholders and obtain private benefits of control. However, the multiple agency roles of controlling families may have different governance properties in terms of investors’ perceptions of private information abuse. These findings contribute to our understanding of the conflicting evidence on the governance role of family control within a multiple agency perspectiv

Influence of Apples on Population Density, Body Weights, and Reproductive Organ Weights in Pine Voles

Previous field studies at Virginia Tech have found differences in reproductive output of pine voles in abandoned and maintained orchards. Cengel et a1. (1978), trapping in northern Virginia, found higher levels of reproduction in a maintained orchard than in an abandoned orchard. The breeding season of voles extended into winter in the maintained orchard but ceased in late fall and winter in the abandoned orchard. Noffsinger (1976), working in orchards near Roanoke, Virginia, found a higher fatality rate in the maintained orchard and a year-round breeding season; however, the percentage of pregnant females declined in winter. Reproduction was lower in the abandoned orchard in late fall and winter with no pregnant females caught in March

The Relationship of Nutritional Factors to Apple Tree Root Damage by Pine Voles

Damage to apple tree roots by pine voles is believed to occur primarily during the winter months. Cengel et a1. (1978) found that the stomachs of pine voles contained significant amounts of root material only during January and March sampling periods. In addition, the diet of pine voles at that time consisted primarily of less preferred grass species because preferred forb species were unavailable. Therefore, apple tree roots may serve as a food source in the winter when preferred forages are unavailable. If, in fact, pine voles are consuming roots in response to reduced food supplies, then one would expect the nutritional quality of the diets of pine voles to be its lowest during the winter. The objective of this study was to determine if there was a winter decline in the digestibility of the diet of the pine vole