Posts Tagged ‘informacion

03
Oct
11

Paper: Información privilegiada

Decoding Inside Information

Abstract

Exploiting the fact that insiders trade for a variety of reasons, we show that there is  predictable, identifiable “routine” insider trading that is not informative for the future  of firms. A portfolio strategy that focuses solely on the remaining “opportunistic”  traders yields value-weighted abnormal returns of 82 basis points per month, while  abnormal returns associated with routine traders are essentially zero. The most informed opportunistic traders are local, non-executive insiders from geographically concentrated, poorly governed firms. Opportunistic traders are significantly more likely to have SEC enforcement action taken against them, and reduce trading following waves of SEC insider trading enforcement.

Link al Paper


		
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10
May
11

Como hacer dinero en microsegundos (1µs)…

…Ese es nombre de un articulo escrito por Donald MacKenzie. En el cual explora la transición hacia el trading electronico, algoritmico y de alta frecuencia. Explica muy detalladamente el Flash Crash. Y referencia varios algoritmos utilizados para hacer hacer plata (VWAP, spoofing). El unico pecado del texto: su longitud.

(…)

The trigger was indeed an algorithm, but not one of the sophisticated ultra-fast high-frequency trading programs. It was a simple ‘volume participation’ algorithm, and while the official investigation does not name the firm that deployed it, market participants seem convinced that it was the Kansas City investment managers Waddell & Reed. The firm’s goal was to protect the value of a large position in the stock market against further declines, and it did this by programming the algorithm to sell 75,000 index future contracts. (These contracts track the S&P 500 stock-market index, and each contract was equivalent to shares worth a total of around $55,000. The seller of index futures makes money if the underlying index falls; the buyer gains if it rises.) The volume participation algorithm calculated the number of index futures contracts that had been traded over the previous minute, sold 9 per cent of that volume, and kept going until the full 75,000 had been sold. The total sell order, worth around $4.1 billion, was unusually large, though not unprecedented: the SEC/CFTC investigators found two efforts in the previous year to sell the same or larger quantities of futures in a single day. But the pace of the sales on 6 May was very fast.

(…)

Por ultimo, en el escrito se habla de un paper de Hasbrouck y Saar, creo que es este.

01
May
11

Datos, Documentación y Conocimiento

Parece ser lo que proponen -en distinta prosa- Shiller y de Soto para prevenir futuras debacles económicas. O por lo menos, suavizarlas.

Posturas como estas alimentan el debate sobre la economía de la información.

Vale rescatar frases como tales:

“TODAY, our prosperity depends on finance, and on its associated disciplines of accounting and macroeconomics.” (Shiller)

“If we can agree that the recession wasn’t about bubbles but about the organization of knowledge, we can move on to restoring the systems that allowed the global economy to expand more in the last 60 years than in the previous 2,000” (de Soto)

13
Dec
10

Humor du Jour: Opinologos

(Fuente: http://www.nbtrades.com, via Cosas que Pasan)

14
Nov
10

Paper: Factor Geográfico en el Arbitraje Estadístico

Relativistic statistical arbitrage

Recent advances in high-frequency financial trading have made light propagation delays between geographically separated exchanges relevant. Here we show that there exist optimal locations from which to coordinate the statistical arbitrage of pairs of spacelike separated securities, and calculate a representative map of such locations on Earth. Furthermore, trading local securities along chains of such intermediate locations results ina novel econophysical effect, in which the relativistic propagation of tradable information is effectively slowedor stopped by arbitrage.

Link al Paper

20
Sep
10

Paper: Twitter y los bid-ask spreads

Can Firms Now Act as Their Own Information Intermediaries? The Role of Direct-Access Information Technology in Disseminating Firm News

Abstract

Recent research indicates that press-based dissemination of firm-initiated information plays a critical role in the effectiveness of the disclosure (Bushee et al., 2010; Soltes, 2010). However, traditional information intermediaries, such as the press, face constraints on the amount of news they can disseminate to investors. This paper examines whether firms can complement traditional dissemination channels by using new information technology that provides firms direct access to a broad set of investors on a real-time basis. Using a sample of technology firms with active Twitter accounts, we find that postings (tweets) increase around firm-initiated news events. This increase is primarily driven by tweets containing hyperlinks, which is consistent with firms using this innovative technology to disseminate firm news. We also find that greater tweeting during news event windows is associated with lower bid-ask spreads and greater depths. These relations are stronger for tweets with hyperlinks. We also find our results are more pronounced for firms with lower visibility—that is, firms that are smaller, have lower analyst coverage and have fewer shareholders. These findings suggest that managers use this new direct-access information technology to reduce information asymmetry, particularly for those firms that are arguably most in need.

Link al Paper

29
Apr
10

Paper: Inversores e información asimetrica

Do Individual Investors Have Asymmetric Information Based on Work Experience?

Abstract:     
Using a novel dataset covering all individual investors’ stock market transactions in Norway over a 10-year period, we analyze whether individual investors have a preference for professionally close stocks, and whether they make an excess return on such investments. After excluding own-company and previous employer stock, investors hold on average 11 % of their portfolio in stocks within their two-digit industry of employment. Given the poor hedging properties of professionally close stocks, one would expect such investments to be associated with asymmetric information and abnormally high returns. In contrast, all our estimates of abnormal returns are negative, in many cases statistically significant. Overconfidence seems the most likely explanation for why individuals excessively trade in professionally close stocks.

Link al Paper




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