Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
959906 | Journal of Financial Economics | 2014 | 17 Pages |
Abstract
We study the profitability of traders in two fully electronic and highly liquid markets: the Dow and Standard & Poor׳s 500 e-mini futures markets. Using unique information that identify counterparties to a transaction, we show and seek to explain the fact that the network pattern of trades captures the relations between behavior in the market and returns. Our approach includes a simple representation of how much a shock is amplified by the network and how widely it is transmitted. This representation provides a possible shorthand for understanding the consequences of a fat-finger trade, a withdrawing of liquidity, or other market shock.
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Accounting
Authors
Ethan Cohen-Cole, Andrei Kirilenko, Eleonora Patacchini,