Edward Delafield Smith was an American lawyer, abolitionist, and federal prosecutor. While…
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We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state variables: the...
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...
This paper studies the influences of a high-frequency trader (HFT) on a large trader whose future trading is predicted by the former. We conclude that HFT always front-runs and the large trader is benefited when: (1) there is sufficient high-speed no...
We study the perfect information Nash equilibrium between a broker and her clients -- an informed trader and an uniformed trader. In our model, the broker trades in the lit exchange where trades have instantaneous and transient price impact with expo...
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Jul 30, 2025 · Oil prices rose to multi-week highs as geopolitical tensions, U.S. tariff threats on Russian oil, and anticipation of key economic data drove market volatility.
Jul 30, 2025 · Oil prices rose to multi-week highs as geopolitical tensions, U.S. tariff threats on Russian oil, and anticipation of key economic data drove market volatility.
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Mar 11, 2024 · Many traders try to profit from stocks that rise in value. But some do the opposite—their idea is profiting from stocks that decline in value—through a strategy known as short selling. Short …
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We study the informational efficiency of a market with a single traded asset. The price initially differs from the fundamental value, about which the agents have noisy private information (which is, on average, correct). A fraction of traders revise...