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Financial Market Volatility Final Project
... • A combination of MLLIB and scikit learn were used since MLLIB did not have python bindings yet for cross-validated splitting of dataset. • Spark was ran on data held in HDFS. • Results obtained were tested on a hold out sample and R^2 calculated to show how much variance could be explained by the ...
... • A combination of MLLIB and scikit learn were used since MLLIB did not have python bindings yet for cross-validated splitting of dataset. • Spark was ran on data held in HDFS. • Results obtained were tested on a hold out sample and R^2 calculated to show how much variance could be explained by the ...
Hotel chain performance: a gravity
... The bilateral market of energy • B contracts are signed way ahead of the DA energy auctions; • B prices possibly higher than the average DA market clearing prices (MCP); • B contracts are financially safer for markets participants because they can hedge against the high price volatilities of the rea ...
... The bilateral market of energy • B contracts are signed way ahead of the DA energy auctions; • B prices possibly higher than the average DA market clearing prices (MCP); • B contracts are financially safer for markets participants because they can hedge against the high price volatilities of the rea ...
Liquidity and the Law of One Price: The Case of the Futures/Cash
... Intraday data are purged for one of the following reasons: trades out of sequence, trades recorded before the open or after the closing time, and trades with special settlement conditions (because they might be subject to distinct liquidity considerations). A preliminary investigation reveals that a ...
... Intraday data are purged for one of the following reasons: trades out of sequence, trades recorded before the open or after the closing time, and trades with special settlement conditions (because they might be subject to distinct liquidity considerations). A preliminary investigation reveals that a ...
Locals, foreigners, and multi-market trading of equities: Intraday
... To construct intraday measures, we divide each trading day into 18 fifteen-minute intervals from 10:00 a.m. to 16:30 p.m., treating the time interval of 12:30 p.m. to 14:45 p.m. as a single interval containing the lunch break. We exclude overnight intervals from our analysis. 11 3.2. Computing quotes ...
... To construct intraday measures, we divide each trading day into 18 fifteen-minute intervals from 10:00 a.m. to 16:30 p.m., treating the time interval of 12:30 p.m. to 14:45 p.m. as a single interval containing the lunch break. We exclude overnight intervals from our analysis. 11 3.2. Computing quotes ...
Document
... earnings of an all-equity firm is larger than 1/rD, where rD is the interest rate on the firm’s (assumed) risk-free perpetual debt, then an increase in leverage increases the price/earnings ratio. If the price/earnings ratio of an all-equity firm is less than 1/rD, then the increase in leverage lowe ...
... earnings of an all-equity firm is larger than 1/rD, where rD is the interest rate on the firm’s (assumed) risk-free perpetual debt, then an increase in leverage increases the price/earnings ratio. If the price/earnings ratio of an all-equity firm is less than 1/rD, then the increase in leverage lowe ...
Monopoly and Oligopoly in homogeneous product market.
... Collective exercise of market power, i.e. a situation where firms raise price beyond what would be consistent with short term profit incentives. ...
... Collective exercise of market power, i.e. a situation where firms raise price beyond what would be consistent with short term profit incentives. ...
Levy-Stability-Under-Addition and Fractal Structure of Markets
... Broadly speaking, investors base their investment decisions on information. If the information is coming randomly on the market, the distribution of price changes results of the sum of random variables. This is the crucial point, the concept of “normal aggregate portfolio”. Thus the aggregate portfo ...
... Broadly speaking, investors base their investment decisions on information. If the information is coming randomly on the market, the distribution of price changes results of the sum of random variables. This is the crucial point, the concept of “normal aggregate portfolio”. Thus the aggregate portfo ...
Market Turmoil and Destabilizing Speculation Supplementary Material
... This section investigates which types of funds are more likely to exploit increased uncertainty, with evidence in support of Hypotheses 2 and 3. The hypothesis suggested by the model is that the funds that are more prone to sell their holdings when uncertainty spikes are those most a¤ected by short- ...
... This section investigates which types of funds are more likely to exploit increased uncertainty, with evidence in support of Hypotheses 2 and 3. The hypothesis suggested by the model is that the funds that are more prone to sell their holdings when uncertainty spikes are those most a¤ected by short- ...
Market Power and Effi ciency: A Dynamic Approach
... measure of pro…tability though Fisher (1987) criticizes this use. Encaoua and Jacquemin (1980) derive a link between the Lerner index and the Her…ndahl index which is a measure of market concentration. The Lerner index is independent of units of price and marginal cost (MC). Usually it is presumed t ...
... measure of pro…tability though Fisher (1987) criticizes this use. Encaoua and Jacquemin (1980) derive a link between the Lerner index and the Her…ndahl index which is a measure of market concentration. The Lerner index is independent of units of price and marginal cost (MC). Usually it is presumed t ...
Trading and Returns under Periodic Market Closures
... periods tend to be more volatile than returns over the nontrading periods. Furthermore, the information accumulation during a market closure gives rise to high trading volume at the open, and the reduction in investors'hedging positions at the end of a trading period can give rise to high trading vo ...
... periods tend to be more volatile than returns over the nontrading periods. Furthermore, the information accumulation during a market closure gives rise to high trading volume at the open, and the reduction in investors'hedging positions at the end of a trading period can give rise to high trading vo ...
Food price spikes and strategic interactions
... of decision making means that traders cannot be certain that government will actually do this. Nor can traders be certain of who will be allowed to buy the grain from government if and when it does import, or at what price. These unknowns are major sources of risk and potential financial loss for tr ...
... of decision making means that traders cannot be certain that government will actually do this. Nor can traders be certain of who will be allowed to buy the grain from government if and when it does import, or at what price. These unknowns are major sources of risk and potential financial loss for tr ...
2010 Flash Crash
![](https://commons.wikimedia.org/wiki/Special:FilePath/2010_flash_crash.jpg?width=300)
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.