Conference Agenda

Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).

Please note that all times are shown in the time zone of the conference. The current conference time is: 30th Sept 2023, 08:47:54am CEST

Session Overview
5A: Pushing the boundaries of finance
Tuesday, 16/May/2023:
2:30pm - 4:00pm

Session Chair: Jérôme Dugast
Location: Room Z014

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Informed Trading Intensity

Vincent Bogousslavsky1, Vyacheslav Fos1, Dmitriy Muravyev2

1Boston College; 2Michigan State University

Discussant: George Malikov (University of Western Ontario, Ivey Business School)

We train a machine learning method on a class of informed trades to develop a new measure of informed trading, the Informed Trading Intensity (``ITI''). ITI increases before earnings, M&A, and news announcements, and has implications for return reversal and asset pricing. ITI is effective because it captures nonlinearities and interactions between informed trading, volume, and volatility. This data-driven approach can shed light on the economics of informed trading, including impatient informed trading, commonality in informed trading, and models of informed trading. Overall, learning from informed trading data can generate an effective informed trading measure.

Proving You Can Pick Stocks Without Revealing How

Alexander Chinco

Baruch College, United States of America

Discussant: Michele Fabi (Ecole Polytechnique, CREST, IP Paris)

Suppose you are trying to prove to an outside investor, Alice, that you know about a profitable new way to pick stocks. It might seem like, if you do not have enough money to start trading on your own behalf, then you must reveal some information about how you pick stocks to prove that you can do it. That would be bad news. Every piece of additional information you reveal to Alice makes it a little bit easier for her to reverse engineer your approach. Luckily for you, that conventional wisdom is wrong. I show how you can give Alice a zero-cost zero-knowledge proof that you know about a profitable new way to pick stocks. This makes it possible to construct a spot market for profitable trading ideas.

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