Non Imperial College staff/students only need email Moira Rankin to register for this event
Gideon Saar
Bio Sketch: Professor Saar’s research interests are in market microstructure, behavioral finance, and stock market return predictability. His current research focuses on high-frequency trading, using individual investor trading to predict returns, how transparency of markets affects traders, and information incorporation into prices around corporate events. He has been published in the leading finance journals, including the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, and the Journal of Financial and Quantitative Analysis. Saar was previously on the faculty of the Stern School of Business at New York University. In addition to his doctorate in finance, he holds an undergraduate degree in finance and a master’s degree in economics. At the request of the New York Stock Exchange, Saar spent the 2001-2002 academic year as the NYSE’s visiting research economist. Professor Saar is a co-editor of the Journal of Financial Markets and a member of the Economic Advisory Committee of the Financial Industry Regulatory Authority (FINRA).
Abstract: We use a laboratory market to investigate how the ability to hide orders affects traders’ strategies and market outcomes. We examine three market structures: Visible markets in which all orders must be displayed, Iceberg markets in which a minimum size must be displayed, and Hidden markets in which orders can be displayed, partially displayed, or completely non-displayed. We find that although order strategies are greatly affected by allowing hidden liquidity, most market outcomes are not. Our results on the robustness of informational efficiency and liquidity to opacity regimes have important regulatory implications for debates surrounding dark trading. We also find that opacity appears to increase the profits of informed traders but only when their private information is very valuable.
For more information about the speaker please visit his web site
The full seminar list can be found on the Finance Group seminar web page