Does high-frequency trading improve market quality?
... human intermediation with an automated order-matching platform for stock trading. Recently, financial markets have further transformed the computer trading system, and thus have increased the speed for order acceptance notices as well as for information distribution of transaction prices and quotes ...
... human intermediation with an automated order-matching platform for stock trading. Recently, financial markets have further transformed the computer trading system, and thus have increased the speed for order acceptance notices as well as for information distribution of transaction prices and quotes ...
On Regret and Options - A Game Theoretic Approach for Option
... robust. The most straightforward extension of the Hannan-Blackwell approach requires restricting the magnitude of the stock’s return each period. A more natural restriction, and one which allows a direct comparison to the Black-Scholes-Merton framework, is to impose restrictions on the realized vola ...
... robust. The most straightforward extension of the Hannan-Blackwell approach requires restricting the magnitude of the stock’s return each period. A more natural restriction, and one which allows a direct comparison to the Black-Scholes-Merton framework, is to impose restrictions on the realized vola ...
Financial Transaction Tax and Financial Market Stability with
... assets are unknown and traders act according to their beliefs while taking the beliefs of other traders into account. This resembles the argument made by proponents of a transaction tax on the causes of volatility. This might lead one to believe that the introduction of a transaction tax in an econo ...
... assets are unknown and traders act according to their beliefs while taking the beliefs of other traders into account. This resembles the argument made by proponents of a transaction tax on the causes of volatility. This might lead one to believe that the introduction of a transaction tax in an econo ...
Margin requirements with intraday dynamics
... futures price changes. Extreme value theory removes the need for making assumptions of the exact distributional form of the random process under analysis as the limiting distribution of extreme price changes is the same for many classes of distributions and processes used to describe futures price ...
... futures price changes. Extreme value theory removes the need for making assumptions of the exact distributional form of the random process under analysis as the limiting distribution of extreme price changes is the same for many classes of distributions and processes used to describe futures price ...
PRESCIENT GLOBAL POSITIVE RETURN FUND
... maintain our overweight allocation to Europe owing to attractive valuations, easy monetary policy and a recovering economy. Profit margins are also more attractive compared to other developed economies and political risk there continues to recede. We remain more cautious in the US where valuations s ...
... maintain our overweight allocation to Europe owing to attractive valuations, easy monetary policy and a recovering economy. Profit margins are also more attractive compared to other developed economies and political risk there continues to recede. We remain more cautious in the US where valuations s ...
A Critique of Overreaction Effect in the Global Stock Markets over the
... the size, January effect as well as time varying risk premia. They provided an additional support in favour of overreaction hypothesis and reported evidences that were inconsistent with two alternative explanations based on firm size and the difference in risk as measure by CAPM beta. They argue tha ...
... the size, January effect as well as time varying risk premia. They provided an additional support in favour of overreaction hypothesis and reported evidences that were inconsistent with two alternative explanations based on firm size and the difference in risk as measure by CAPM beta. They argue tha ...
Risk Measures Guide - The Albridge Resource Center
... because although one portfolio or fund can reap higher returns than its peers, it is only a good investment if those higher returns do not come with too much additional risk. The greater a portfolio's Sharpe Ratio, the better its risk-adjusted performance has been. A negative Sharpe Ratio indicates ...
... because although one portfolio or fund can reap higher returns than its peers, it is only a good investment if those higher returns do not come with too much additional risk. The greater a portfolio's Sharpe Ratio, the better its risk-adjusted performance has been. A negative Sharpe Ratio indicates ...
Twitter Volume Spikes: Analysis and Application in Stock Trading
... implied volatility, it is likely related to the anticipated event, and hence is an expected spike. An earnings day described in the previous section is one special case of such expected events. In the following, we obtain the implied volatility of a stock on a day as the weighted average of the impl ...
... implied volatility, it is likely related to the anticipated event, and hence is an expected spike. An earnings day described in the previous section is one special case of such expected events. In the following, we obtain the implied volatility of a stock on a day as the weighted average of the impl ...
Surprise Effect of European Macroeconomic Announcements on
... third parameter, i, indicates asymmetric effects in the model. Forth paramet, i, measures the persistence of conditional volatility, and fifth parameter, ƞi, is a parameter that defines the impact of macroeconomic news surprises. In the variance equation of Model 1, Si,t is a cx1 vector of surprises ...
... third parameter, i, indicates asymmetric effects in the model. Forth paramet, i, measures the persistence of conditional volatility, and fifth parameter, ƞi, is a parameter that defines the impact of macroeconomic news surprises. In the variance equation of Model 1, Si,t is a cx1 vector of surprises ...
Corporate Finance – LECTURE 12 INTEREST RATE FUTURES
... A company planning to place an amount in a short-term deposit may anticipate drop in deposit interest rates. The hedge is to establish a notional position to fix the interest rate in short term. Scenario: a firm plans to borrow in short term and risk of rising short-term interest rates A notional po ...
... A company planning to place an amount in a short-term deposit may anticipate drop in deposit interest rates. The hedge is to establish a notional position to fix the interest rate in short term. Scenario: a firm plans to borrow in short term and risk of rising short-term interest rates A notional po ...
CAPM
... well-diversified portfolio will be so highly correlated with the market that a stock’s beta relative to the market still will be a useful risk measure. If the CAPM holds for any individual asset, it must hold for any combination of assets (portfolios). ...
... well-diversified portfolio will be so highly correlated with the market that a stock’s beta relative to the market still will be a useful risk measure. If the CAPM holds for any individual asset, it must hold for any combination of assets (portfolios). ...
How the Foreign Exchange Market Works.p65
... exchange rate and may take action to influence conditions in the foreign exchange market. It is at this stage that the Bank of Jamaica becomes an active participant in the market. The Bank of Jamaica’s participation in the market is described as ‘market intervention’. Rationale for intervention In p ...
... exchange rate and may take action to influence conditions in the foreign exchange market. It is at this stage that the Bank of Jamaica becomes an active participant in the market. The Bank of Jamaica’s participation in the market is described as ‘market intervention’. Rationale for intervention In p ...
Electronic Market-Makers: Empirical Comparison
... the market for a particular stock. This market-maker holds a certain number of stock shares in his or her inventory with a purpose of being able to sell them to the person bidding to purchase them, or to buy stock from a seller offering stock shares. In some cases, the market-maker may just match up ...
... the market for a particular stock. This market-maker holds a certain number of stock shares in his or her inventory with a purpose of being able to sell them to the person bidding to purchase them, or to buy stock from a seller offering stock shares. In some cases, the market-maker may just match up ...
2010 Flash Crash
The May 6, 2010, Flash Crash also known as The Crash of 2:45, the 2010 Flash Crash or simply the Flash Crash, was a United States trillion-dollar stock market crash, which started at 2:32 and lasted for approximately 36 minutes. Stock indexes, such as the S&P 500, Dow Jones Industrial Average and Nasdaq 100, collapsed and rebounded very rapidly.The Dow Jones Industrial Average had its biggest intraday point drop (from the opening) up to that point, plunging 998.5 points (about 9%), most within minutes, only to recover a large part of the loss. It was also the second-largest intraday point swing (difference between intraday high and intraday low) up to that point, at 1,010.14 points. The prices of stocks, stock index futures, options and ETFs were volatile, thus trading volume spiked. A CFTC 2014 report described it as one of the most turbulent periods in the history of financial markets.On April 21, 2015, nearly five years after the incident, the U.S. Department of Justice laid ""22 criminal counts, including fraud and market manipulation"" against Navinder Singh Sarao, a trader. Among the charges included was the use of spoofing algorithms; just prior to the Flash Crash, he placed thousands of E-mini S&P 500 stock index futures contracts which he planned on canceling later. These orders amounting to about ""$200 million worth of bets that the market would fall"" were ""replaced or modified 19,000 times"" before they were canceled. Spoofing, layering and front-running are now banned.The Commodity Futures Trading Commission (CFTC) investigation concluded that Sarao ""was at least significantly responsible for the order imbalances"" in the derivatives market which affected stock markets and exacerbated the flash crash. Sarao began his alleged market manipulation in 2009 with commercially available trading software whose code he modified ""so he could rapidly place and cancel orders automatically."" Traders Magazine journalist, John Bates, argued that blaming a 36-year-old small-time trader who worked from his parents' modest stucco house in suburban west London for sparking a trillion-dollar stock market crash is a little bit like blaming lightning for starting a fire"" and that the investigation was lengthened because regulators used ""bicycles to try and catch Ferraris."" Furthermore, he concluded that by April 2015, traders can still manipulate and impact markets in spite of regulators and banks' new, improved monitoring of automated trade systems.As recently as May 2014, a CFTC report concluded that high-frequency traders ""did not cause the Flash Crash, but contributed to it by demanding immediacy ahead of other market participants.""Recent research shows that Flash Crashes are not isolated occurrences, but have occurred quite often over the past century. For instance, Irene Aldridge, the author of High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems, 2nd ed., Wiley & Sons, shows that Flash Crashes have been frequent and their causes predictable in market microstructure analysis.