Market Microstructure

Institutional Investors and Stock Market Volatility ArXiv ID: ssrn-837165 “View on arXiv” Authors: Unknown Abstract We present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid Keywords: Stock Market Volatility, Institutional Investors, Illiquidity, Asset Pricing, Market Microstructure Complexity vs Empirical Score Math Complexity: 7.5/10 Empirical Rigor: 4.0/10 Quadrant: Lab Rats Why: The paper presents a theoretical model using power-law distributions and optimal trading behavior derived via analytical methods, indicating high math complexity. While it references empirical stylized facts, the excerpt lacks specific data sources, code, or backtesting details, leaning more towards theoretical derivation than empirical implementation. flowchart TD A["Research Question: What causes excess stock market volatility?"] B["Methodology: Theoretical Model & Empirical Analysis"] C["Data: Institutional Trades & Stock Liquidity"] D["Process: Analyze trade impact on price deviations"] E["Key Finding: Large institutional trades drive volatility in illiquid markets"] A --> B B --> C C --> D D --> E

All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors ArXiv ID: ssrn-460660 “View on arXiv” Authors: Unknown Abstract We test and confirm the hypothesis that individual investors are net buyers of attention-grabbing stocks, e.g., stocks in the news, stocks experiencing high abn Keywords: Investor attention, Behavioral finance, Market microstructure, Trading behavior, Information asymmetry, Equities Complexity vs Empirical Score Math Complexity: 2.5/10 Empirical Rigor: 9.0/10 Quadrant: Street Traders Why: The paper uses basic statistical comparisons (t-tests, regressions) but focuses heavily on real-world brokerage data analysis, multiple attention proxies, and robustness checks, making it highly empirical and implementable for trading strategies. flowchart TD A["Research Goal:<br/>Does investor attention drive buying<br/>behavior, especially for individuals?"] --> B["Data & Inputs"] B --> C["Methodology"] C --> D["Computational Processes"] D --> E["Key Findings/Outcomes"] B --> B1["Daily Stock & Trading Data<br/>e.g., CRSP/TAQ"] B --> B2["Attention Proxies<br/>News mentions & Abnormal volume"] B --> B3["Investor Classification<br/>Individual vs. Institutional"] C --> C1["Event Study Design<br/>Focus on high-attention days"] C --> C2["Regression Analysis<br/>Trading volume vs. attention"] D --> D1["Net Buy Calculation<br/>Aggregate flows by investor type"] D --> D2["Control for Fundamentals<br/>Liquidity, Returns, Volatility"] E --> F1["Confirmation: Individuals<br/>buy high-attention stocks"] E --> F2["Institutional Behavior<br/>Contrast or indifference"] E --> F3["Implication<br/>Attention-driven anomalies"]

Institutional Investors and Stock Market Volatility ArXiv ID: ssrn-442940 “View on arXiv” Authors: Unknown Abstract We present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid Keywords: Stock Market Volatility, Institutional Investors, Illiquidity, Asset Pricing, Market Microstructure Complexity vs Empirical Score Math Complexity: 7.5/10 Empirical Rigor: 6.0/10 Quadrant: Holy Grail Why: The paper is mathematically dense, employing power-law distributions and statistical physics methods to model investor behavior, while providing strong empirical backing with real-world data on stock market volatility, returns, and trading volumes. flowchart TD A["Research Goal: Explain excess stock market volatility"] B["Theory: Large institutional investors<br>in illiquid markets drive price swings"] C["Data: Institutional trading &<br>stock liquidity measures"] D["Methodology: Empirical asset pricing<br>& market microstructure analysis"] E["Key Findings: Institutional flows<br>significantly amplify market volatility"] A --> B B --> C C --> D D --> E