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Forecasting Long-Term Electric Price Volatility for Valuation of Real
... price cash flows produces expected value forecasts for spot prices that are biased (upwards) estimates of forward prices. The difference between the two forecasts is a risk premium for spot price uncertainty. For forecasters, who typically are working in a spot price world, this means that users of ...
... price cash flows produces expected value forecasts for spot prices that are biased (upwards) estimates of forward prices. The difference between the two forecasts is a risk premium for spot price uncertainty. For forecasters, who typically are working in a spot price world, this means that users of ...
Australian Financial Markets: Looking Back and Looking Ahead
... Interest margins of banks are now about 40 per cent lower than in the late 1980s. Housing borrowers and, more recently, small businesses, have been the main beneficiaries. This fall in margins has been reflected in the operating income of banks decreasing from about 5.5 per cent of assets to about 4 ...
... Interest margins of banks are now about 40 per cent lower than in the late 1980s. Housing borrowers and, more recently, small businesses, have been the main beneficiaries. This fall in margins has been reflected in the operating income of banks decreasing from about 5.5 per cent of assets to about 4 ...
Equilibrium Pricing and Trading Volume under Preference
... Unconstrained efficiency would require that low-valuation traders sell to high-valuation traders. However, such asset reallocation is delayed by preference uncertainty. Some traders hold more shares than they would if they knew the exact current status of their firm, while others hold less shares. T ...
... Unconstrained efficiency would require that low-valuation traders sell to high-valuation traders. However, such asset reallocation is delayed by preference uncertainty. Some traders hold more shares than they would if they knew the exact current status of their firm, while others hold less shares. T ...
Capital Markets Review | 3rd Quarter 2016
... The third quarter of 2016 was generally positive for risk assets. Global equity and credit markets rallied with both developed and emerging markets adding to gains realized earlier in the year. July was a particularly strong month for equities as volatility sparked by the UK referendum vote in June ...
... The third quarter of 2016 was generally positive for risk assets. Global equity and credit markets rallied with both developed and emerging markets adding to gains realized earlier in the year. July was a particularly strong month for equities as volatility sparked by the UK referendum vote in June ...
Chapter 06
... ____ 11. An outcome that can result from either a price ceiling or a price floor is a. an enhancement of efficiency. b. undesirable rationing mechanisms. c. a surplus. d. a shortage. ____ 12. Price ceilings and price floors that are binding a. are desirable because they make markets more efficient a ...
... ____ 11. An outcome that can result from either a price ceiling or a price floor is a. an enhancement of efficiency. b. undesirable rationing mechanisms. c. a surplus. d. a shortage. ____ 12. Price ceilings and price floors that are binding a. are desirable because they make markets more efficient a ...
Application to become a Certified Adviser on First North Baltic
... By signing this application we hereby confirm that the information provided herein is complete and accurate, that we have acquainted ourselves with the Rules of the First North in all relevant Baltic Exchanges (hereinafter – the Rules), and that we undertake to comply with the applicable criteria an ...
... By signing this application we hereby confirm that the information provided herein is complete and accurate, that we have acquainted ourselves with the Rules of the First North in all relevant Baltic Exchanges (hereinafter – the Rules), and that we undertake to comply with the applicable criteria an ...
Crude Oil Price Uncertainty and Stock Markets in Gulf Corporation
... GCC stock markets and Oil prices, over the period 2005-2012, in a multivariate setting, using the VAR (1)-GARCH (1,1) model which allows for transmission in returns and volatility. The second is to investigate the dependence structure and to test the degree of the dependence between financial return ...
... GCC stock markets and Oil prices, over the period 2005-2012, in a multivariate setting, using the VAR (1)-GARCH (1,1) model which allows for transmission in returns and volatility. The second is to investigate the dependence structure and to test the degree of the dependence between financial return ...
The impact of dark trading and visible fragmentation on market quality
... Spatt (2010) investigate the competition induced by ECN activity on Nasdaq stocks. They find that ECNs with smaller tick sizes tend to undercut the Nasdaq quotes and reduce overall quoted spreads. Differences between trading venues may arise to cater to the needs of heterogeneous clientele. For exam ...
... Spatt (2010) investigate the competition induced by ECN activity on Nasdaq stocks. They find that ECNs with smaller tick sizes tend to undercut the Nasdaq quotes and reduce overall quoted spreads. Differences between trading venues may arise to cater to the needs of heterogeneous clientele. For exam ...
r = the bond`s yield to maturity.
... The amount one can borrow with a repo is less than the market value of the security by a margin called a haircut. The size of the haircut depends on the maturity and liquidity of the security. For repos on Tbills, the haircut is very small, often only one-eighth of a point. It can be as high as 5% ...
... The amount one can borrow with a repo is less than the market value of the security by a margin called a haircut. The size of the haircut depends on the maturity and liquidity of the security. For repos on Tbills, the haircut is very small, often only one-eighth of a point. It can be as high as 5% ...
Financial Market Shocks and the Macroeconomy
... Although the “forward-looking” interpretation of the stock returns/economic activity relation is intuitive, it is not really complete. Stock returns are not claims, for example, on industrial production, which they do predict, but are claims on future dividends. The rationale for the forward-looking ...
... Although the “forward-looking” interpretation of the stock returns/economic activity relation is intuitive, it is not really complete. Stock returns are not claims, for example, on industrial production, which they do predict, but are claims on future dividends. The rationale for the forward-looking ...
Stock Valuation
... • Suppose you are thinking of purchasing the stock of Moore Oil, Inc. You expect it to pay a $2 dividend in one year, and you believe that you can sell the stock for $14 at that time. If you require a return of 20% on investments of this risk, what is the maximum you would be willing to pay? – Compu ...
... • Suppose you are thinking of purchasing the stock of Moore Oil, Inc. You expect it to pay a $2 dividend in one year, and you believe that you can sell the stock for $14 at that time. If you require a return of 20% on investments of this risk, what is the maximum you would be willing to pay? – Compu ...
Dynamic predictor selection and order splitting in a limit order
... immediately at the best available prices. They can also place limit orders that specify the size and the limit price at which they are willing to trade, and their limit order (or a part of the order) is executed at their pre-specified or better price when other agents hit the order. There is no sto ...
... immediately at the best available prices. They can also place limit orders that specify the size and the limit price at which they are willing to trade, and their limit order (or a part of the order) is executed at their pre-specified or better price when other agents hit the order. There is no sto ...
bid, ask and` transaction prices in a specialist
... market, i.e., the specialist performs no brokerage services, and in effect all orders are market orders. Trade occurs according to the following sequence of events. The specialist sets a bid and ask price with the interpretation that he is willing to sell one unit of stock at the ask and buy one uni ...
... market, i.e., the specialist performs no brokerage services, and in effect all orders are market orders. Trade occurs according to the following sequence of events. The specialist sets a bid and ask price with the interpretation that he is willing to sell one unit of stock at the ask and buy one uni ...
Screen Information, Trader Activity, and Bid-Ask
... information sets conditioning the price processes. Abstracting from time-of-day effects, the information sets include (i) lagged event durations and autonomous dynamics in the duration process; (ii) durations augmented by observed order book information pertaining to available pricing and liquidity; ...
... information sets conditioning the price processes. Abstracting from time-of-day effects, the information sets include (i) lagged event durations and autonomous dynamics in the duration process; (ii) durations augmented by observed order book information pertaining to available pricing and liquidity; ...
Telefónica, SA
... Further to Relevant Events notices published on March 2, 2016 in relation to the issue by TELEFÓNICA of equity-linked bonds (the “Bonds”), via its wholly-owned subsidiary Telefónica Participaciones, S.A.U. (the “Issuer”), we hereby announce that the reference price of the TELEFÓNICA shares for the p ...
... Further to Relevant Events notices published on March 2, 2016 in relation to the issue by TELEFÓNICA of equity-linked bonds (the “Bonds”), via its wholly-owned subsidiary Telefónica Participaciones, S.A.U. (the “Issuer”), we hereby announce that the reference price of the TELEFÓNICA shares for the p ...
Slide 1
... Meanwhile, thousands of mortgages had been securitized, and their values plunged or became uncertain. ...
... Meanwhile, thousands of mortgages had been securitized, and their values plunged or became uncertain. ...
Options on Energy Portfolios in an HJM Framework
... It is a delicate matter to trade spot products and financial derivatives in energy markets. Opposite to bond and stock markets, the underlying assets are real products, and a significant part of the demand for them represents a real need for the products, which can only be substituted away with some ...
... It is a delicate matter to trade spot products and financial derivatives in energy markets. Opposite to bond and stock markets, the underlying assets are real products, and a significant part of the demand for them represents a real need for the products, which can only be substituted away with some ...
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.