Information in Noise: Strategic Trading under Autocorrelated Uninformed Orders
This paper extends the Foster and Viswanathan (1996) model by allowing uninformed orders to exhibit a general correlation structure which generates autocorrelation in the orderﬂow. Since the order ﬂow is predictable, informed traders and the market maker not only need to infer information about the asset value, but also forecast future order ﬂows. The correlation structure of uninformed orders has signiﬁcant eﬀects on trading strategies, market liquidity, and the informativeness of prices. Since the empirical autocorrelation in order ﬂows is likely to come from uninformed traders, strategic trading models should not assume them to be simply noise.
Bio: Vladislav joined Deutsche Oppenheim‘s Quantitative Investment Solutions team in October 2015.
His area of expertise lies in the field of Strategic Asset Allocation. Additionally, Vladislav conducts research on stochastic properties of asset classes and acts as strategic advisor and consultant for our high net worth clients.
In October 2018 Vladislav has started his Ph.D. in Finance at EDHEC Business School. He holds a Master of Science degree in Economics from Rheinische Friedrich-Wilhelms-University Bonn and acquired experience abroad at Erasmus University Rotterdam.