MMDS大阪大学 数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Intraday Liquidity Trading Opportunities

山田昌弘 (Department of Economics, University College London)

大証寄附研究部門セミナーシリーズ 第32回

Intraday Liquidity Trading Opportunities

山田昌弘 (Department of Economics, University College London)

This paper empirically investigates intra-day price manipulation in a stock market. My microstructure model is specifically designed to define the conditions under which a manipulation opportunity arises from the variation in liquidity as measured by price impact. My empirical analysis using data from the Tokyo Stock Exchange suggests that while there is approximately a 30% chance of uninformed manipulation across time and stock codes, it is not profitable enough to affect price fluctuations. Analysis of intraday price and trade sizes shows that the opportunity begins to disappear in 10 minutes, and that past returns and order imbalances can provide a manipulation opportunity.

講師: 山田昌弘 (Department of Economics, University College London)
テーマ: 大証寄附研究部門セミナーシリーズ 第32回
日時: 2012年05月21日(月) 16:20-17:50
場所: 大阪大学大学院基礎工学研究科 (豊中キャンパス)I 棟 204号室
参加費: 無料
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