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Daily Archives: October 5, 2013

Trading Strategies and Market Microstructure: Evidence from a Prediction Market

Trading Strategies and Market Microstructure: Evidence from a Prediction Market - David M. Rothschild, Microsoft Research – NYC; Rajiv Sethi; Barnard College, Columbia University; Santa Fe Institute. September 8, 2013

We examine transaction-level data from Intrade’s presidential winner market for the two weeks immediately preceding the November 2012 election. The data allow us to compute key statistics, including volume, transactions, aggression, holding duration, directional exposure, margin, and profit for each of the over 3,200 unique trader accounts. We identify a diverse set of trading strategies that constitute a rich market ecology. These range from arbitrage-based strategies with low and fleeting directional exposure to strategies involving large accumulated positions in one of the two major party candidates. Most traders who make directional bets do so consistently in a single direction, unlike the information traders in standard models. We present evidence suggestive of market manipulation by a single large trader, and consider the possible motives for such behavior. Broader implications for the interpretation of prices in financial markets and the theory of market microstructure are drawn.”

Three Paradoxes of Big Data

Three Paradoxes of Big Data by Neil Richards (Washington University in Saint Louis – School of Law) and Jonathan King (Washington University in Saint Louis) “Big data is all the rage. Its proponents tout the use of sophisticated analytics to mine large data sets for insight as the solution to many of our society’s problems.Continue Reading

The Sovereign Wealth Fund Discount: Evidence from Public Equity Investments

The Sovereign Wealth Fund Discount: Evidence from Public Equity Investments by Bernardo Bortolotti (Università di Torino) and Veljko Fotak (SUNY Buffalo) and William Megginson (University of Oklahoma) “Using a sample of 1,018 Sovereign Wealth Fund (SWF) equity investments in publicly traded firms and a control sample of 5,975 transactions by private-sector financial institutions over 1980-2012,Continue Reading

47 Prominent Technologists to NSA Review Panel: We Need Better Technical Oversight

EFF – “A group of prominent technologists submitted a letter today to the NSA Review Group, a body charged with conducting a review of NSA activities that does not currently have a technologist as a member. The letter urges the Review Group to seek assistance from independent technologists in order to conduct a thorough review,Continue Reading

EPIC FOIA – FBI Says 20% Error Rate Okay for Facial Recognition

“EPIC’s Freedom of Information Act lawsuit has produced new documents about “Next Generation Identification” and the FBI’s plans for facial recognition. According to the document obtained by EPIC, “NGI shall return an incorrect candidate a maximum of 20% of the time.” That number is much greater than expected. Earlier this year, EPIC received documents fromContinue Reading