Information Asymmetry in a Fragmented Low-Latency World

This research aims at improving theoretical financial markets models in order to account for the presence of informed traders in a contemporary setting. Despite the fact that privileged information has always been present in various shape or form, theoretical models seemed to be able to account for such informational asymmetry and provide ways to measure it (e.g. Kyle (1985); Easley and O’Hara (1987)). Nevertheless, recent empirical research (Collin-Dufresne and Fos, 2015) has shown that these measures fail to detect the presence of informed trading. We thus wish to investigate the question of whether classic theoretical models are well equipped to capture the salient features of modern financial markets (which are called its “microstructure”). To do so, we will use a high-precision database which records every aspect of Canadian stock trading. TO BE CONT’D

Faculty Supervisor:

Georges Dionne

Student:

Partner:

TickSmith

Discipline:

Mathematics

Sector:

Professional, scientific and technical services

University:

HEC Montréal

Program: