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SUMMARY:Front-runners: predators or liquidity providers?
DTSTART:20190611T120000
DTEND:20190611T130000
DTSTAMP:20260510T105641Z
UID:094d8209b3b04641d2179062b1ea9634e3e28c12de479365efabddd0
CATEGORIES:Conferences - Seminars
DESCRIPTION:Erik HAPNES\, PhD candidate\, SFI@EPFL\nI develop a dynamic mo
 del of strategic trading where front-running occurs in equilibrium. I show
  that the presence of traders who front-run may uniformly improve liquidit
 y in all states\, while episodic presence shifts liquidity towards the sta
 tes where he is present. Improved liquidity increases  welfare\, but stat
 e-contingent restrictions of front-running may be beneficial because it mo
 ves liquidity to periods where it is most needed. The effect of restrictin
 g front-running without considering the effect on liquidity is different a
 nd may improve welfare for some traders. This reconciles the conventional 
 "predatory" view of front-running with the "welfare- and liquidity-improvi
 ng" view of this paper. The model provides several novel empirical predict
 ions. I provide empirical support for key predictions of the model using a
 n event where the departure of a non-fundamental trader caused a long-last
 ing reduction in liquidity.\n 
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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