Microstructure-based manipulation: Strategic behavior and performance of spoofing traders
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Jordan, Bradford D. & Jordan, Susan D., 1996. "Salomon brothers and the May 1991 Treasury auction: Analysis of a market corner," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 25-40, January.
- Chakraborty, Archishman & Yilmaz, Bilge, 2004.
Journal of Economic Theory,
Elsevier, vol. 114(1), pages 132-152, January.
- Archishman Chakraborty & Bilge Yilmaz, "undated". "Informed Manipulation," Rodney L. White Center for Financial Research Working Papers 7-00, Wharton School Rodney L. White Center for Financial Research.
- Archishman Chakraborty & Bilge Yilmaz, "undated". "Informed Manipulation," Rodney L. White Center for Financial Research Working Papers 07-00, Wharton School Rodney L. White Center for Financial Research.
- Robert A. Jarrow, 2008.
"Market Manipulation, Bubbles, Corners, and Short Squeezes,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 6, pages 105-130
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert A., 1992. "Market Manipulation, Bubbles, Corners, and Short Squeezes," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 311-336, September.
- Merrick, John Jr & Naik, Narayan Y. & Yadav, Pradeep K., 2005. "Strategic trading behavior and price distortion in a manipulated market: anatomy of a squeeze," Journal of Financial Economics, Elsevier, vol. 77(1), pages 171-218, July.
- Mark Bagnoli & Barton L. Lipman, 1996. "Stock Price Manipulation Through Takeover Bids," RAND Journal of Economics, The RAND Corporation, vol. 27(1), pages 124-147, Spring.
- Kumar, Praveen & Seppi, Duane J, 1992. " Futures Manipulation with "Cash Settlement."," Journal of Finance, American Finance Association, vol. 47(4), pages 1485-1502, September.
- Vitale, Paolo, 2000.
"Speculative noise trading and manipulation in the foreign exchange market,"
Journal of International Money and Finance,
Elsevier, vol. 19(5), pages 689-712, October.
- Vitale, P., 1997. "Speculative Noise Trading and Manipulation in the Foreign Exchange Market," Economics Working Papers eco97/23, European University Institute.
- Allen, Franklin & Gorton, Gary, 1992.
"Stock price manipulation, market microstructure and asymmetric information,"
European Economic Review,
Elsevier, vol. 36(2-3), pages 624-630, April.
- Allen, F. & Gorton, G., 1991. "Stock Price Manipulation, Market Microstructure and Asymetric Information," Weiss Center Working Papers 21-91, Wharton School - Weiss Center for International Financial Research.
- Franklin Allen & Gary Gorton, 1991. "Stock Price Manipulation, Market Microstructure and Asymmetric Information," NBER Working Papers 3862, National Bureau of Economic Research, Inc.
- Hanke, Michael & Hauser, Florian, 2008. "On the effects of stock spam e-mails," Journal of Financial Markets, Elsevier, vol. 11(1), pages 57-83, February.
- John, Kose & Narayanan, Ranga, 1997. "Market Manipulation and the Role of Insider Trading Regulations," The Journal of Business, University of Chicago Press, vol. 70(2), pages 217-247, April.
- Eom, Kyong Shik & Ok, Jinho & Park, Jong-Ho, 2007. "Pre-trade transparency and market quality," Journal of Financial Markets, Elsevier, vol. 10(4), pages 319-341, November.
- Allen, Franklin & Gale, Douglas, 1992. "Stock-Price Manipulation," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 503-529.
- Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
- Jiang, Guolin & Mahoney, Paul G. & Mei, Jianping, 2005. "Market manipulation: A comprehensive study of stock pools," Journal of Financial Economics, Elsevier, vol. 77(1), pages 147-170, July.
- Robert A. Jarrow, 2008.
"Derivative Security Markets, Market Manipulation, and Option Pricing Theory,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 7, pages 131-151
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert A., 1994. "Derivative Security Markets, Market Manipulation, and Option Pricing Theory," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(02), pages 241-261, June.
- Rajesh K. Aggarwal & Guojun Wu, 2006. "Stock Market Manipulations," The Journal of Business, University of Chicago Press, vol. 79(4), pages 1915-1954, July.
- Fishman, Michael J & Hagerty, Kathleen M, 1995. "The Mandatory Disclosure of Trades and Market Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 637-676.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Linton, O. & Mahmoodzadeh, S., 2018. "Implications of High-Frequency Trading for Security Markets," Cambridge Working Papers in Economics 1802, Faculty of Economics, University of Cambridge.
- Enrique Mart'inez-Miranda & Peter McBurney & Matthew J. Howard, 2015. "Learning Unfair Trading: a Market Manipulation Analysis From the Reinforcement Learning Perspective," Papers 1511.00740, arXiv.org.
- repec:kap:rqfnac:v:49:y:2017:i:4:d:10.1007_s11156-017-0620-6 is not listed on IDEAS
- Chung, Kee H. & Park, Seongkyu “Gilbert” & Ryu, Doojin, 2016. "Trade duration, informed trading, and option moneyness," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 395-411.
- Kang, Bo Soo & Ryu, Doojin & Ryu, Doowon, 2014. "Phase-shifting behaviour revisited: An alternative measure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 167-173.
More about this item
KeywordsSpoofing order; Microstructure-based manipulation; Pre-trade transparency;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finmar:v:16:y:2013:i:2:p:227-252. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/finmar .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.