Disclosing and Cooling-Off: An Analysis of Insider Trading Rules

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.