SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Microstructure-Based Manipulation: Strategic Behavior and Performance of Spoofing Traders
11 references·11 citing·44 second hop
Microstructure-Based Manipulation: Strategic Behavior and Performance of Spoofing Traders (2009)Microstructure-Based Manipulation: Strate…Stock Market Manipulations* (2006)Stock Market Manipulations*Rumors (2003)RumorsStock Price Manipulation Through Takeover Bids (1996)Stock Price Manipulation Thro…The Mandatory Disclosure of Trades and Market Liquidity (1995)The Mandatory Disclosure of T…Derivative Security Markets, Market Manipulation, and Option Pricing Theory (1994)Derivative Security Markets, …Stock-Price Manipulation (1992)Stock-Price ManipulationStock price manipulation, market microstructure and asymmetric information (1992)Stock price manipulation, mar…Market Manipulation, Bubbles, Corners, and Short Squeezes (1992)Market Manipulation, Bubbles,…Futures Manipulation with "Cash Settlement" (1992)Futures Manipulation with "Ca…Should the Law Prohibit "Manipulation" in Financial Markets? (1991)Should the Law Prohibit "Mani…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Spoofing and Price Manipulation in Order-Driven Markets (2020)Spoofing and Price Manipulati…Market manipulation rules and IPO underpricing (2020)Market manipulation rules and…A Machine Learning Attack on Illegal Trading (2020)A Machine Learning Attack on …Implications of High-Frequency Trading for Security Markets (2018)Implications of High-Frequenc…A Taxonomy of Financial Market Manipulations: Establishing Trust and Market Integrity in the Financialized Economy through Automated Fraud Detection (2017)A Taxonomy of Financial Marke…Wash Trades as a Stock Market Manipulation Tool (2016)Wash Trades as a Stock Market…Learning unfair trading: A market manipulation analysis from the reinforcement learning perspective (2016)Learning unfair trading: A ma…Trade Duration, Informed Trading, and Option Moneyness (2015)Trade Duration, Informed Trad…The Manipulator's Poker: Order-Based Manipulation in the Chinese Stock Market (2014)The Manipulator's Poker: Orde…Adaptive Hidden Markov Model With Anomaly States for Price Manipulation Detection (2014)Adaptive Hidden Markov Model …The Impact of Manipulation in Internet Stock Message Boards (2011)The Impact of Manipulation in…Signaling Games and Stable Equilibria (1987)Predatory Trading (2005)Manipulation and the Allocational Role of Prices (2008)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Price, trade size, and information in securities markets (1987)Exchange trading rules and stock market liquidity☆ (2010)The Value of Crowdsourced Earnings Forecasts (2016)Cryptocurrency Pump-and-Dump Schemes (2018)Financial time series prediction using least squares support vector machines within the evidence framework (2001)Options, Futures and Other Derivatives (2003)A Sequential Approach to Market State Modeling and Analysis in Online P2P Lending (2017)Market Manipulation Detection Based on Classification Methods (2017)Enhancing intraday stock price manipulation detection by leveraging recurrent neural networks with ensemble learning (2019)Good News and Bad News: Representation Theorems and Applications (1981)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market Manipulation and the Role of Insider Trading Regulations (1997)Herd Behavior and Cascading in Capital Markets: A Review and Synthesis (2002)MARKET MANIPULATION: A SURVEY (2011)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Informed Speculation and Hedging in a Noncompetitive Securities Market (1992)Stock price decreases prior to executive stock option grants (2001)Information aggregation and manipulation in an experimental market (2006)Martingales and stochastic integrals in the theory of continuous trading (1981)Price Manipulation and Quasi-Arbitrage (2004)Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Hedging of contingent claims under incomplete information (1990)Optimal consumption choices for a ‘large’ investor (1998)Go Down Fighting: Short Sellers vs. Firms (2012)Financial market misconduct and agency conflicts: A synthesis and future directions (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Asset Prices in an Exchange Economy (1978)Market depth and order size (1999)Sell-order liquidity and the cross-section of expected stock returns (2012)Strategic Information Transmission (1982)How to Define Illegal Price Manipulation (2008)Do Internet Stock Message Boards Influence Trading? Evidence from Heavily Discussed Stocks with No Fundamental News (2011)Social Media Sentiment in International Stock Returns and Trading Activity (2020)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1992Stock-Price Manipulation623 cited
  • 1992Market Manipulation, Bubbles, Corners, and Short Squeezes394 cited
  • 2006Stock Market Manipulations*380 cited
  • 1992Futures Manipulation with "Cash Settlement"242 cited
  • 2003Rumors188 cited
  • 1994Derivative Security Markets, Market Manipulation, and Option Pricing Theory179 cited
  • 1992Stock price manipulation, market microstructure and asymmetric information168 cited
  • 1995The Mandatory Disclosure of Trades and Market Liquidity136 cited
  • 1996Stock Price Manipulation Through Takeover Bids103 cited
  • 1991Should the Law Prohibit "Manipulation" in Financial Markets?87 cited

Cited by

  • 2014Adaptive Hidden Markov Model With Anomaly States for Price Manipulation Detection104 cited
  • 2016Learning unfair trading: A market manipulation analysis from the reinforcement learning perspective66 cited
  • 2017A Taxonomy of Financial Market Manipulations: Establishing Trust and Market Integrity in the Financialized Economy through Automated Fraud Detection58 cited
  • 2015Trade Duration, Informed Trading, and Option Moneyness

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

58 cited
  • 2011The Impact of Manipulation in Internet Stock Message Boards45 cited
  • 2020Market manipulation rules and IPO underpricing40 cited
  • 2020Spoofing and Price Manipulation in Order-Driven Markets32 cited
  • 2014The Manipulator's Poker: Order-Based Manipulation in the Chinese Stock Market31 cited
  • 2016Wash Trades as a Stock Market Manipulation Tool29 cited
  • 2018Implications of High-Frequency Trading for Security Markets28 cited
  • 2020A Machine Learning Attack on Illegal Trading17 cited