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Volume-Synchronized Probability of Informed Trading (VPIN
... measures that are more suitable to examine their association with VPIN. In the first part of the thesis, we aim to choose a best VPIN calculation algorithm that has the most accurate risk-warning effect. This part serves as the basis for the thesis by choosing a VPIN metric that has the most accura ...
... measures that are more suitable to examine their association with VPIN. In the first part of the thesis, we aim to choose a best VPIN calculation algorithm that has the most accurate risk-warning effect. This part serves as the basis for the thesis by choosing a VPIN metric that has the most accura ...
Buy Low and Sell High - University of Oxford
... The results derived from our models are quite intuitive and consistent with the common investment practice. For the two buying problems (1.1) and (1.2), our results dictate that one ought to buy immediately or never buy depending on whether the underlying stock is “good” or “bad” (which will be def ...
... The results derived from our models are quite intuitive and consistent with the common investment practice. For the two buying problems (1.1) and (1.2), our results dictate that one ought to buy immediately or never buy depending on whether the underlying stock is “good” or “bad” (which will be def ...
A Single Protocol for Clearing and Settlement?
... 2001 CPSS-IOSCO Recommendation 16: “Securities Settlement Systems should use or accommodate relevant international communication procedures & standards…” ...
... 2001 CPSS-IOSCO Recommendation 16: “Securities Settlement Systems should use or accommodate relevant international communication procedures & standards…” ...
Morgan Stanley Memorandum/Facsimile Template
... In connection with transactions in which Morgan Stanley agrees to guarantee an execution that is tied to a particular benchmark or price level, which is an unconditional contract, we may transact for our own account using similar means as described above. When we accept an order for execution on a g ...
... In connection with transactions in which Morgan Stanley agrees to guarantee an execution that is tied to a particular benchmark or price level, which is an unconditional contract, we may transact for our own account using similar means as described above. When we accept an order for execution on a g ...
Long_Tail_PE.112134455
... the portfolio. Instead, portfolios are going to have to rely on many more, smaller investments that result in singles and doubles. Just like the 100-million copy selling album ‘Thriller’ released in 1982 has devolved into 2008’s biggest grossing album by ‘Lil Wayne (selling less than 3 million copie ...
... the portfolio. Instead, portfolios are going to have to rely on many more, smaller investments that result in singles and doubles. Just like the 100-million copy selling album ‘Thriller’ released in 1982 has devolved into 2008’s biggest grossing album by ‘Lil Wayne (selling less than 3 million copie ...
Investment Securities Internal Control Questionnaire
... investment recommendations or decisions for the accounts of customers, who participate in the determination of such recommendations or decisions, or who, in connection with their duties, obtain information concerning which securities are being purchased or sold or recommended for such action, report ...
... investment recommendations or decisions for the accounts of customers, who participate in the determination of such recommendations or decisions, or who, in connection with their duties, obtain information concerning which securities are being purchased or sold or recommended for such action, report ...
Price Impact of Block Trades in the Saudi Stock Market
... prices tend to change permanently as the buyer or seller has to offer a higher discount to make the deal attractive. Large trades are believed to convey information about the prospects of a stock. Participants in the market learn new information about the underpricing or overpricing of stocks from t ...
... prices tend to change permanently as the buyer or seller has to offer a higher discount to make the deal attractive. Large trades are believed to convey information about the prospects of a stock. Participants in the market learn new information about the underpricing or overpricing of stocks from t ...
Testing for imperfect competition at the Fulton fish market - U
... Almost all tests for competition have been performed in oligopolistic industries with high entry barriers, in which an initial case study would suggest anticompetitive behavior.1 These studies use data that have been gathered from public sources such as trade journals, regulatory bodies, or court ca ...
... Almost all tests for competition have been performed in oligopolistic industries with high entry barriers, in which an initial case study would suggest anticompetitive behavior.1 These studies use data that have been gathered from public sources such as trade journals, regulatory bodies, or court ca ...
Market efficiency in emerging stock markets: A case study of the
... Abrosimova et al. (2002), in their study, tested weak-form in the Russian stock market. In order to test RWH, they used unit root, auto-correlation, variance ratio tests, and model comparison approach (ARIMA and GARCH). Results showed evidence for the existence of weak-form efficiency in the Russian ...
... Abrosimova et al. (2002), in their study, tested weak-form in the Russian stock market. In order to test RWH, they used unit root, auto-correlation, variance ratio tests, and model comparison approach (ARIMA and GARCH). Results showed evidence for the existence of weak-form efficiency in the Russian ...
Clarifications to Questions and Criticisms on the Johansen
... to the discovery of the best fit of the LPPL model to a given price time series. Specifically, they write: “We presume that the reason that any fit with was rejected is because then the increase in the index is exponentially declining whereas the underlying mechanism requires it to be increasing. An ...
... to the discovery of the best fit of the LPPL model to a given price time series. Specifically, they write: “We presume that the reason that any fit with was rejected is because then the increase in the index is exponentially declining whereas the underlying mechanism requires it to be increasing. An ...
Annexure – 1
... The broker shall be fully responsible and liable for all orders emanating through their DMA systems. It shall be the responsibility of the broker to ensure that only clients who ...
... The broker shall be fully responsible and liable for all orders emanating through their DMA systems. It shall be the responsibility of the broker to ensure that only clients who ...
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.