Do Noise Traders Move Markets?
... The central question in the debate over market efficiency is whether small noise traders significantly distort asset prices. Three things are necessary for this to happen. First, noise traders must misinterpret available information or trade for non-informational reasons. Second, noise trades must ...
... The central question in the debate over market efficiency is whether small noise traders significantly distort asset prices. Three things are necessary for this to happen. First, noise traders must misinterpret available information or trade for non-informational reasons. Second, noise trades must ...
Commodity Market Capital Flow and Asset Return Predictability ∗ Harrison Hong
... robust predictor than a number of other variables that are known to predict commodity returns. These include common predictors such as the short rate and the yield spread and commodity-specific predictors such as aggregate basis (i.e., the ratio of futures to spot price averaged across commodities) a ...
... robust predictor than a number of other variables that are known to predict commodity returns. These include common predictors such as the short rate and the yield spread and commodity-specific predictors such as aggregate basis (i.e., the ratio of futures to spot price averaged across commodities) a ...
Is There Price Discovery in Equity Options?
... the price disagreement events in our primary sample are potentially profitable opportunities for exchange members. These violations are interesting and informative because they are cases in which it is clear that the option and stock markets disagree about the value of the underlying stock,3 and th ...
... the price disagreement events in our primary sample are potentially profitable opportunities for exchange members. These violations are interesting and informative because they are cases in which it is clear that the option and stock markets disagree about the value of the underlying stock,3 and th ...
Title The Restoration of the Gold Standard after the US Civil War: A
... and to the debate on the factors that drive exchange rates. To this end we implement a so-called Markov-switching GARCH model that has recently emerged in the macrofinance literature (see for example Wilfling, 2009) and which enables us to analyze time-varying conditional variances of daily greenbac ...
... and to the debate on the factors that drive exchange rates. To this end we implement a so-called Markov-switching GARCH model that has recently emerged in the macrofinance literature (see for example Wilfling, 2009) and which enables us to analyze time-varying conditional variances of daily greenbac ...
Corporate Bond Trading on a Limit Order Book Exchange by
... investors were lower than today. They conclude that there are multiple possible equilibria in securities trading, and that the bond market in the US reached an inefficient equilibrium of OTC dominance: "Liquidity may not gravitate to the most efficient trading venue… even in the long term". The rea ...
... investors were lower than today. They conclude that there are multiple possible equilibria in securities trading, and that the bond market in the US reached an inefficient equilibrium of OTC dominance: "Liquidity may not gravitate to the most efficient trading venue… even in the long term". The rea ...
Liquidation in the Face of Adversity: Stealth Versus Sunshine Trading
... relations between the different liquidity parameters of the market, the number of competitors and the time constraints for seller and competitors. In particular, we will show that completely different behavioral patterns may emerge as optimal for the same set of agents when they are trading in marke ...
... relations between the different liquidity parameters of the market, the number of competitors and the time constraints for seller and competitors. In particular, we will show that completely different behavioral patterns may emerge as optimal for the same set of agents when they are trading in marke ...
Day Trading Skill 110523
... day trading provide evidence that day trading can be profitable. Harris and Schultz (1998) analyze the day trading of Small Order Execution System (SOES) bandits using trading records from two brokers. To do so, they analyze roughly 20,000 trades over a threeweek period. Though the SOES traders lose ...
... day trading provide evidence that day trading can be profitable. Harris and Schultz (1998) analyze the day trading of Small Order Execution System (SOES) bandits using trading records from two brokers. To do so, they analyze roughly 20,000 trades over a threeweek period. Though the SOES traders lose ...
Option Trading: Information or Differences of
... along three dimensions: initiator (firm/customers), trade type (buy/sell/open/close), and trade size (small/medium/large). Here, “firm” refers to proprietary trading by brokerage firms on their own account while “customers” are traders other than firms and the market markers; “open/close” refers to ...
... along three dimensions: initiator (firm/customers), trade type (buy/sell/open/close), and trade size (small/medium/large). Here, “firm” refers to proprietary trading by brokerage firms on their own account while “customers” are traders other than firms and the market markers; “open/close” refers to ...
Changes in Twelfth District Local Banking Market Structure during a
... (2002) find that local market concentration is positively and significantly related to profitability, while Amel and Liang (1997) find that entry is more likely in markets that have high profits, and entry tends to decrease market concentration.6 Amel and Liang (1990) offer a related model of the lo ...
... (2002) find that local market concentration is positively and significantly related to profitability, while Amel and Liang (1997) find that entry is more likely in markets that have high profits, and entry tends to decrease market concentration.6 Amel and Liang (1990) offer a related model of the lo ...
Option traders use (very) sophisticated heuristics, never the Blackâ
... Option traders call the formula they use the “Black–Scholes–Merton” formula without being aware that by some irony, of all the possible options formulas that have been produced in the past century, what is called the Black–Scholes–Merton “formula” (after Black and Scholes, 1973; Merton, 1973) is the ...
... Option traders call the formula they use the “Black–Scholes–Merton” formula without being aware that by some irony, of all the possible options formulas that have been produced in the past century, what is called the Black–Scholes–Merton “formula” (after Black and Scholes, 1973; Merton, 1973) is the ...
Does high-frequency trading improve market quality?
... Despite increasing research attention, there is not yet sufficient empirical and theoretical research on HF trading, and the results regarding its costs and benefits are mixed. Thus, there is no general conclusion on the overall impact of HF trading on market quality. Furthermore, the regulations on ...
... Despite increasing research attention, there is not yet sufficient empirical and theoretical research on HF trading, and the results regarding its costs and benefits are mixed. Thus, there is no general conclusion on the overall impact of HF trading on market quality. Furthermore, the regulations on ...
Limit Order Markets: A Survey 1
... Investors with active trading motives may choose to post limit orders that are more aggressive than those a disinterested liquidity provider would use but less aggressive than market orders. Such limit orders are something in between pure liquidity supply and pure liquidity demand. In the extreme, l ...
... Investors with active trading motives may choose to post limit orders that are more aggressive than those a disinterested liquidity provider would use but less aggressive than market orders. Such limit orders are something in between pure liquidity supply and pure liquidity demand. In the extreme, l ...
Power Laws in the Stock Market
... like a self-organized critical system, which can be defined as a system where the relationship between cause and effect is not linear. Bak, Tang, and Wiesenfeld (1987) were the first ones to introduce the concept of self-organized criticality to explain the behavior of their sandpile model. Soon aft ...
... like a self-organized critical system, which can be defined as a system where the relationship between cause and effect is not linear. Bak, Tang, and Wiesenfeld (1987) were the first ones to introduce the concept of self-organized criticality to explain the behavior of their sandpile model. Soon aft ...
Interacting Limit Order Demand and Supply Curves
... price impact of trading. For example, Kraus and Stoll (1972), Chan and Lakonishok (1993, 1995), and Gemmill (1996) report a larger price impact for buys, while Keim and Madhavan (1996) and Bikker et al. (2007) report a larger price impact for sells. Chiyachantana et al. (2004) report that the price ...
... price impact of trading. For example, Kraus and Stoll (1972), Chan and Lakonishok (1993, 1995), and Gemmill (1996) report a larger price impact for buys, while Keim and Madhavan (1996) and Bikker et al. (2007) report a larger price impact for sells. Chiyachantana et al. (2004) report that the price ...
Mechanics of Futures Markets
... – What can be delivered (quantity and quality of the underlying asset or some alternatives) ...
... – What can be delivered (quantity and quality of the underlying asset or some alternatives) ...
Chapter 01 Introduction to Financial Management
... 40. The Sarbanes-Oxley Act in 2002 was prompted by which one of the following from the 1990's? A. Increased stock market volatility B. Corporate accounting and financial fraud C. Increased executive compensation D. Increased foreign investment in U.S. stock markets E. Increased use of tax loopholes ...
... 40. The Sarbanes-Oxley Act in 2002 was prompted by which one of the following from the 1990's? A. Increased stock market volatility B. Corporate accounting and financial fraud C. Increased executive compensation D. Increased foreign investment in U.S. stock markets E. Increased use of tax loopholes ...
Issues in assessing trade execution costs
... common stocks.1 The ideal measure of trading costs may be the ‘‘implementation shortfall’’ described by Perold (1988). This measure involves comparing the value-weighted average trade price (after commissions and fees) for an investor’s order to a reference price (e.g. the quote midpoint) at the tim ...
... common stocks.1 The ideal measure of trading costs may be the ‘‘implementation shortfall’’ described by Perold (1988). This measure involves comparing the value-weighted average trade price (after commissions and fees) for an investor’s order to a reference price (e.g. the quote midpoint) at the tim ...
Price Impact of Block Trades in the Saudi Stock Market
... would pay a price concession for immediacy. On the other hand, liquidity providers should be compensated for taking the other side of the deal with a price concession in their favour. Large trades also move prices if there are no perfect substitutes for a particular stock. In this case, prices tend ...
... would pay a price concession for immediacy. On the other hand, liquidity providers should be compensated for taking the other side of the deal with a price concession in their favour. Large trades also move prices if there are no perfect substitutes for a particular stock. In this case, prices tend ...
to Official Notice - The Stock Exchange of Mauritius
... (ii) the listing of up to 425,342,317 ordinary shares of BLL on the Official Market of the Stock Exchange of Mauritius Ltd following the above amalgamation, which will involve the migration of BLL from the DEM to the Official Market and consequently, the withdrawal of BLL from the DEM. 2. Suspension ...
... (ii) the listing of up to 425,342,317 ordinary shares of BLL on the Official Market of the Stock Exchange of Mauritius Ltd following the above amalgamation, which will involve the migration of BLL from the DEM to the Official Market and consequently, the withdrawal of BLL from the DEM. 2. Suspension ...
Heterogeneous Beliefs, Speculation, and the Equity Premium ∗
... of views take bets on the relative accuracy of their models’ predictions. In addition to the fundamental risk in assets, they face the risk that market prices move more in line with the trading models of other agents than with their own. Therefore speculative strategies by individuals introduce new ...
... of views take bets on the relative accuracy of their models’ predictions. In addition to the fundamental risk in assets, they face the risk that market prices move more in line with the trading models of other agents than with their own. Therefore speculative strategies by individuals introduce new ...
Equilibrium Pricing and Trading Volume under Preference
... and uniqueness. By the law of large numbers, the cross–sectional aggregate distribution of preferences, information sets and demands is deterministic, and so is the equilibrium price.5 Unconstrained efficiency would require that low-valuation traders sell to high-valuation traders. However, such ass ...
... and uniqueness. By the law of large numbers, the cross–sectional aggregate distribution of preferences, information sets and demands is deterministic, and so is the equilibrium price.5 Unconstrained efficiency would require that low-valuation traders sell to high-valuation traders. However, such ass ...
Anatomy of a Bond Futures Contract Delivery Squeeze
... also how information about a potential squeeze was disseminated to the market-atlarge. Finally, and importantly from a regulatory perspective, we show how squeeze attempts are facilitated by the marked differences that exist between cash bond market, bond repo market and futures market conventions i ...
... also how information about a potential squeeze was disseminated to the market-atlarge. Finally, and importantly from a regulatory perspective, we show how squeeze attempts are facilitated by the marked differences that exist between cash bond market, bond repo market and futures market conventions i ...
Locals, foreigners, and multi-market trading of equities: Intraday
... foreigners trade at disadvantageous prices relative to locals, perhaps because foreigners follow positive feedback trading strategies as suggested by Brennan and Cao (1997). On the other hand, there are situations where foreigners are more successful than locals. Seasholes (2000) finds that foreign i ...
... foreigners trade at disadvantageous prices relative to locals, perhaps because foreigners follow positive feedback trading strategies as suggested by Brennan and Cao (1997). On the other hand, there are situations where foreigners are more successful than locals. Seasholes (2000) finds that foreign i ...
Quantifying network effects in dynamic consumer decisions
... shares instead of global ones. Refining consumers’ reference groups further to a narrowly-defined demographic group may be interesting but can lead to two problems. First, from an empirical perspective it is hard to construct reliable estimates of narrow demographic-group specific market shares even ...
... shares instead of global ones. Refining consumers’ reference groups further to a narrowly-defined demographic group may be interesting but can lead to two problems. First, from an empirical perspective it is hard to construct reliable estimates of narrow demographic-group specific market shares even ...
Effects of level of investors confidence and herding behavior on
... was published in 1972 by Scholl, examining the existing hypotheses and suggesting one of his own. Scholl’s hypothesis, called the "information hypothesis" maintains that drops in the stock price that occur following large transactions are not caused by a negatively sloped demand curve for the stock ...
... was published in 1972 by Scholl, examining the existing hypotheses and suggesting one of his own. Scholl’s hypothesis, called the "information hypothesis" maintains that drops in the stock price that occur following large transactions are not caused by a negatively sloped demand curve for the stock ...