The aim of the thesis is to investigate strategic trading under asymmetric information in particular financial markets. To this end, this thesis is organized into three essays. The first essay discusses market manipulation. In particular, it first focuses on its central role when interpreting phenomena of strong persistent mispricing in specific financial markets and finds minimal conditions for this market abuse to be sustainable over time. Then a taxonomy of market manipulation is presented, and simple examples provided. While different market structures and regulations are taken into account, informational asymmetry is proposed as the common ingredient in any manipulative behavior. Finally, the theory is synthesized, focusing on strategic agent-based modeling. The second essay proposes a unifi ed theory of market non-anonymity in a model of strategic trading. Large financial markets with either mandatory or voluntary public disclosure of trades are considered. The analysis considers whether extra displayed information is used by a possibly informed trader to manipulate others' beliefs. It is demonstrated that disclosures in some instances might be informative and in particular, when voluntary, they are always undertaken. Important price behaviour and (sometimes manipulative) trading strategies are identified. Policy implications are drawn, and regulatory interventions to enhance price efficiency and simultaneously prevent market abuses are scrutinized. The third essay provides a model of strategic trading in the single-dealer market, with an informed dealer standing ready to buy and sell a risky asset at her public bid and ask quotes. First, uninformed liquidity traders are considered. Then, a group of informed speculators is introduced. In contrast to other models, it can well be that the asset value lies outside the equilibrium price spread.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:511553 |
| Date | January 2009 |
| Creators | Gelsomini, Luca |
| Publisher | University of Warwick |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Source | http://wrap.warwick.ac.uk/2754/ |
Page generated in 0.0016 seconds