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Noise Trader Risk in Financial Markets

Andrei Shleifer

in Inefficient Markets: An Introduction to Behavioral Finance

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198292272
eISBN:
9780191596933
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198292279.003.0002
Subject:
Economics and Finance, Financial Economics

Examines how noise traders can limit arbitrage even in an environment that is very close to a textbook model. The author constructs an overlapping generation (OLG) model where noise traders generate ... More


Inefficient Markets: An Introduction to Behavioral Finance

Andrei Shleifer

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198292272
eISBN:
9780191596933
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0198292279.001.0001
Subject:
Economics and Finance, Financial Economics

This book describes an approach, alternative to the theory of efficient markets, to the study of financial markets: behavioural finance. It begins by assessing the efficient market hypothesis, ... More


The Ethnography of Noise in Electronic Finance

Alex Preda

in Noise: Living and Trading in Electronic Finance

Published in print:
2017
Published Online:
September 2017
ISBN:
9780226427348
eISBN:
9780226427515
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226427515.003.0001
Subject:
Business and Management, Finance, Accounting, and Banking

The Introduction presents the main puzzle of the book: why do ordinary people take up trading when statistical evidence shows that a vast majority of them do not make any money? Starting with an ... More


Professional Arbitrage

Andrei Shleifer

in Inefficient Markets: An Introduction to Behavioral Finance

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198292272
eISBN:
9780191596933
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198292279.003.0004
Subject:
Economics and Finance, Financial Economics

Considers noise trader risk in the agency context of professional arbitrage. It elaborates on a performance‐based arbitrage model where arbitrageurs are affected by the inability of their investors ... More


Positive Feedback Investment Strategies

Andrei Shleifer

in Inefficient Markets: An Introduction to Behavioral Finance

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198292272
eISBN:
9780191596933
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198292279.003.0006
Subject:
Economics and Finance, Financial Economics

Expands the idea that rational arbitrage not only may be limited in bringing about market efficiency but may actually generate price bubbles and make markets less efficient. It begins by presenting ... More


Naked Open-Market Manipulation and Its Effects

Merritt B. Fox, Lawrence R. Glosten, and Gabriel V. Rauterberg

in Global Algorithmic Capital Markets: High Frequency Trading, Dark Pools, and Regulatory Challenges

Published in print:
2018
Published Online:
January 2019
ISBN:
9780198829461
eISBN:
9780191867972
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198829461.003.0008
Subject:
Economics and Finance, Financial Economics

More than 80 years after US federal law first addressed stock market manipulation, there is still dispute about manipulation law’s foundational principles; this chapter aims to provide clarity by ... More


Theory of Financial Markets

John Armour, Dan Awrey, Paul Davies, Luca Enriques, Jeffrey N. Gordon, Colin Mayer, and Jennifer Payne

in Principles of Financial Regulation

Published in print:
2016
Published Online:
October 2016
ISBN:
9780198786474
eISBN:
9780191828782
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198786474.003.0005
Subject:
Law, Constitutional and Administrative Law, Company and Commercial Law

This chapter explores the process by which financial markets function and the principles by which information is incorporated in market prices. It begins by describing the fundamental theorem of ... More


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