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An experiment examining insider trading with respect to different market structures

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Operations Research Proceedings 2011

Part of the book series: Operations Research Proceedings ((ORP))

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Abstract

As theoretical and empirical approaches suffer some shortcomings if it comes to analyzing insiders’ behavior, we conducted an adequate experiment. The experimental design incorporates traders with perfect information of the fundamental value of the tradeable asset. These insiders compete with regular uninformed participants on different market structures, in particular on a transparent and on an intransparent call market as well as on a continuous double auction. The results shed first light on a couple of interesting issues, including whether and how insiders try to stay undetected, how their profits are accumulated and what market structure is more advantageous for insiders.

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Author information

Authors and Affiliations

  1. Institute of Statistics and Operations Research, Karl-Franzens-University Graz, Graz, Austria

    Philipp Hornung, Gernot Hinterleitner & Ulrike Leopold-Wildburger

  2. Institute of Banking and Finance, Karl-Franzens-University Graz, Graz, Austria

    Roland Mestel & Stefan Palan

Authors
  1. Philipp Hornung
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  2. Gernot Hinterleitner
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  3. Ulrike Leopold-Wildburger
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  4. Roland Mestel
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  5. Stefan Palan
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Corresponding author

Correspondence to Philipp Hornung .

Editor information

Editors and Affiliations

  1. Institut für, Betriebswirtschaftslehre, Universität Zürich, Moussonstrasse, Zurich, 8044, Switzerland

    Diethard Klatte

  2. Inst. Operations Research, ETH Zürich, Rämistr. 101, Zürich, 8092, Switzerland

    Hans-Jakob Lüthi

  3. Institut für, Betriebswirtschaftslehre, Universität Zürich, Moussonstrasse 15, Zurich, 8044, Switzerland

    Karl Schmedders

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© 2012 Springer-Verlag Berlin Heidelberg

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Hornung, P., Hinterleitner, G., Leopold-Wildburger, U., Mestel, R., Palan, S. (2012). An experiment examining insider trading with respect to different market structures. In: Klatte, D., Lüthi, HJ., Schmedders, K. (eds) Operations Research Proceedings 2011. Operations Research Proceedings. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-29210-1_35

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