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- W3082320788 abstract "I model a market in which a trader with superior information about an asset is subject to careful scrutiny by another agent who immediately observes the trading decisions of the informed agent with some noise and engages in (klepto)parasitic behavior by imicking the informed trader and trading on her own behalf (this can be interpreted as a broker or a high-frequency trader). I show that if the precision with which the parasitic trader observes the informed trader’s decisions is high enough, then the parasitic trader absorbs a dominant fraction of the expected abnormal profits coming from informed trading. My theory is able to explain why the percentage abnormal returns on the trades of corporate insiders are high while dollar returns on these trades can be quite moderate. Additionally, I explain through my model a sudden upsurge of HFT activity during a five-year period 2004-2009." @default.
- W3082320788 created "2020-09-08" @default.
- W3082320788 creator A5019441758 @default.
- W3082320788 date "2020-01-01" @default.
- W3082320788 modified "2023-10-14" @default.
- W3082320788 title "Information Leakages, Distribution of Profits from Informed Trading, and Last Mover Advantage" @default.
- W3082320788 doi "https://doi.org/10.2139/ssrn.3681007" @default.
- W3082320788 hasPublicationYear "2020" @default.
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