Disclosing and Cooling-Off: An Analysis of Insider Trading Rules
Description
The code in this replication package constructs the analysis for the paper, “Disclosing and Cooling-Off: An Analysis of Insider Trading Rules”. Five main Matlab programs run all of the code to generate the four figures (Figures 2-5) and one table (Table 1) in the paper. Description of programs/code Step 1：Program in <1. Calibration_Parameters.zip> calibrates the insider’s hedge need Σ_z and the noiser trader’s hedge need Σ_u in Table 1. Step 2：Programs in <2. Baseline_model.zip> plot Figures 2 and 3 for the baseline model. Step 3：Programs in <3. Information_leakage_model.zip> plot Figures 4 and 5 for the information leakage model. The replicator would run Step 1 first to get the calibration parameters that are the input for Step 2 and Step 3.
Files
Steps to reproduce
Instructions to Replicators Details 1. Calibration_Parameters/ Calibration_parameters.m: will output the insider’s hedge need Σ_z and the noiser trader’s hedge need Σ_u in Table 1. 2. Baseline_model/solve_disclosure_equilibrium_baseline_model.m and solve_non_disclosure_equilibrium_baseline_model.m are Matlab code that solve disclosure and non-disclousre equilibria for the baseline model. 2. Baseline_model/plot_figure_2.m and plot_figure_3.m would generate Figures 2 and 3 for the baseline model. 3. Information_leakage_model/solve_disclosure_equilibrium_information_leakage.m and solve_non_disclosure_equilibrium_information_leakage.m are Matlab code that solve disclosure and non-disclousre equilibria for the information leakdage model. 3.Information_leakage_model /plot_figure_4.m and plot_figure_5.m would generate Figures 4 and 5 for the information leakage model.