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Using Markets to Inform Policy: The Case of the Iraq War
... a $1 increase in spot oil prices that futures markets suggested was expected to dissipate quickly. Equity prices movements implied that the same shock led to a 1½ percent decline in the S&P 500. Further, the existence of widely-traded equity index options allows us to back out the entire distributio ...
... a $1 increase in spot oil prices that futures markets suggested was expected to dissipate quickly. Equity prices movements implied that the same shock led to a 1½ percent decline in the S&P 500. Further, the existence of widely-traded equity index options allows us to back out the entire distributio ...
Chapter 16
... political and legal environment on international firms • Identify pricing-related challenges imposed by the economic and financial environment on international firms • Address international pricing decisions of international firms Copyright Atomic Dog Publishing, 2002 ...
... political and legal environment on international firms • Identify pricing-related challenges imposed by the economic and financial environment on international firms • Address international pricing decisions of international firms Copyright Atomic Dog Publishing, 2002 ...
Market Design with Blockchain Technology
... To examine the implications of this choice, we consider a trading process that explicitly allows peer-to-peer trading and it allows market participants to actively search for a counterparty. This peer-to-peer process in our model shares features of “request-forquote” systems in current OTC markets, ...
... To examine the implications of this choice, we consider a trading process that explicitly allows peer-to-peer trading and it allows market participants to actively search for a counterparty. This peer-to-peer process in our model shares features of “request-forquote” systems in current OTC markets, ...
testing of risk anomalies in indian equity market by using
... and beta is linear and (ii) standard deviation of least square residuals from regressions of expected returns on the market return to test whether the market beta is the only measure of risk. It was found that these additional variables did not add to the explanation of average returns provided by b ...
... and beta is linear and (ii) standard deviation of least square residuals from regressions of expected returns on the market return to test whether the market beta is the only measure of risk. It was found that these additional variables did not add to the explanation of average returns provided by b ...
How Markets React to Earnings Announcements in the Absence of
... interesting to study the effect of these unique aspects of the SSM on stock trading and returns, especially in regard to earnings announcements. Many stock markets in developing countries such as Saudi Arabia have no or a few financial analysts who – regularly – follow stocks and issue forecasts and ...
... interesting to study the effect of these unique aspects of the SSM on stock trading and returns, especially in regard to earnings announcements. Many stock markets in developing countries such as Saudi Arabia have no or a few financial analysts who – regularly – follow stocks and issue forecasts and ...
Index rises by 0.5% as 29 stocks gain
... rose by 0.5 per cent or 97.09 basis points, from 20,314.08 points to 20,411.17 points. Similarly, the market capitalisation of listed equities increased by 0.5 per cent or N31bn to N6.432tn up from N6.402tn recorded the preceding day. The NSE-30 Index rose by 0.6 per cent or 5.52 basis points from 9 ...
... rose by 0.5 per cent or 97.09 basis points, from 20,314.08 points to 20,411.17 points. Similarly, the market capitalisation of listed equities increased by 0.5 per cent or N31bn to N6.432tn up from N6.402tn recorded the preceding day. The NSE-30 Index rose by 0.6 per cent or 5.52 basis points from 9 ...
Quiz #1 with Answers
... cookies to shift to the right if cookies are a normal good and to shift to the left if cookies are an inferior good. So, you need to either make an explicit assumption here that is stated: e.g., “Cookies are a normal good.” or else you need to draw two graphs depicting the two possibilities. The fir ...
... cookies to shift to the right if cookies are a normal good and to shift to the left if cookies are an inferior good. So, you need to either make an explicit assumption here that is stated: e.g., “Cookies are a normal good.” or else you need to draw two graphs depicting the two possibilities. The fir ...
What Market Believes
... and produces forecasts that can capture observed deviations from standard learning behavior, such as backward induction, over-reaction and time inconsistency. In economies populated by finitely many traders in which there is more than one most accurate trader, depending on risk attitudes, the next p ...
... and produces forecasts that can capture observed deviations from standard learning behavior, such as backward induction, over-reaction and time inconsistency. In economies populated by finitely many traders in which there is more than one most accurate trader, depending on risk attitudes, the next p ...
Journal Review: Mathematical Finance (Oct/July/April/Jan 2006
... strategies for a retiree whose objective is to minimize the probability of lifetime ruin, namely the probability that a fixed consumption strategy will lead to zero wealth while the individual is still alive. Recent papers in the insurance economics literature have examined utility-maximizing annuit ...
... strategies for a retiree whose objective is to minimize the probability of lifetime ruin, namely the probability that a fixed consumption strategy will lead to zero wealth while the individual is still alive. Recent papers in the insurance economics literature have examined utility-maximizing annuit ...
Using Prediction Markets to Track Information Flows
... These results contribute to three quite different literatures: on the role of optimism in entrepreneurial firms, on employee communication in organizations, and on social networks and information flows among investors. De Meza and Southey (1996) argue many of the stylized facts about entrepreneu ...
... These results contribute to three quite different literatures: on the role of optimism in entrepreneurial firms, on employee communication in organizations, and on social networks and information flows among investors. De Meza and Southey (1996) argue many of the stylized facts about entrepreneu ...
Conditional Correlation Between Oil and Stock Market
... influences emerging stock markets or not. It seems to be that the period taken to evaluation and the relationship between the markets and the importance of the oil production in the economy lead different results. Zarour (2006) shows different results according to the period of the tests. For the pe ...
... influences emerging stock markets or not. It seems to be that the period taken to evaluation and the relationship between the markets and the importance of the oil production in the economy lead different results. Zarour (2006) shows different results according to the period of the tests. For the pe ...
Determining optimum P/E ratio regarding the risk and return
... portfolio analysis. Original portfolio selection problems, with risk and return optimization can be viewed as a GP with two objectives. For a more realistic approach to portfolio selection problem, additional objectives representing other factors can be introduced. ...
... portfolio analysis. Original portfolio selection problems, with risk and return optimization can be viewed as a GP with two objectives. For a more realistic approach to portfolio selection problem, additional objectives representing other factors can be introduced. ...
Markets: Anthropological Aspects
... attention), while others are ‘gray,’ ‘black, ’ or entirely illegal. Other specialized markets for professional traders are organized within tightly regulated institutional frameworks that govern access, terms of exchange, reporting requirements, or public accountability; some examples include stock ...
... attention), while others are ‘gray,’ ‘black, ’ or entirely illegal. Other specialized markets for professional traders are organized within tightly regulated institutional frameworks that govern access, terms of exchange, reporting requirements, or public accountability; some examples include stock ...
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.