savageinfidel

Are market makers "naive providers of liquidity -- uninformed players operating from behind a firm Chinese Wall", or do they trade on information they get from insider trades? According to a new study by Christopher C. Géczy, adjunct finance professor and director of the Wharton Wealth Management Initiative and Jinghua Yan, a research analyst at Tykhe Capital, it looks like the second possibility is looking a lot more likely. The Wharton researchers, in a detailed parsing of four years of insider trading at 15 of Wall Street's largest brokerages, find that market makers executing insider trades at these firms appear to act on information gleaned from those trades. The evidence can be seen in the more aggressive prices they set for the company's stock following an insider trade. Put another way, compared to their peers, market makers affiliated with the brokers used by insiders post more aggressive ask quotes during periods when insiders trade. The study was underta...

Increasingly, people are putting their lectures, teaching material, and (in some cases), entire courses on the web. Here are a few I've recently come across: A Short Course In Behavioral Economics: Daniel Kahneman (yes, the Nobel Laureate) has recorded and posted videos of a two day conference called "Thinking about Thinking". Robert Schiller's Spring 2008 Financial Markets Class at Yale : Schiller has done a great deal of work in market efficiency, and also created the Case-Schiller Index of Home Prices. While surfing through Yale's Open Classes, I also found a class titled Game Theory , by Ben Polak, a widely published economist. He seems to cover all the big topics: Nash (and other) Equilibrium concepts, Adverse Selection, Signalling, and even Evolutionary Game Theory. If you know of other finance/econ classes on the web, let me know in the comments section and I'll post them here.