Week 4
... options because longer dated options are less liquid. Out of the money options are more interesting than in the money options because in the money options are pretty much the same as forwards, as we saw today and in previous homeworks. Puts are out of the money when the strike is below spot (ignorin ...
... options because longer dated options are less liquid. Out of the money options are more interesting than in the money options because in the money options are pretty much the same as forwards, as we saw today and in previous homeworks. Puts are out of the money when the strike is below spot (ignorin ...
Financial Market Failures and Systemic Risk
... market became illiquid. The exchange rate stumbled much more than warranted on fundamental grounds. Basically similar dynamics occurred in the early 1995 dollar crisis, but with the help of more sophisticated option contracts. Those exotic derivatives were "knock-out" call options of the dollar. The ...
... market became illiquid. The exchange rate stumbled much more than warranted on fundamental grounds. Basically similar dynamics occurred in the early 1995 dollar crisis, but with the help of more sophisticated option contracts. Those exotic derivatives were "knock-out" call options of the dollar. The ...
Day Trading Skill 110523
... we are interested in analyzing the cross-section of speculator skill, and day traders, given their short holding period, are almost certainly speculators. Second, the signal-to-noise ratio regarding investor skill arguably is greater for day traders than for investors with longer holding periods. Se ...
... we are interested in analyzing the cross-section of speculator skill, and day traders, given their short holding period, are almost certainly speculators. Second, the signal-to-noise ratio regarding investor skill arguably is greater for day traders than for investors with longer holding periods. Se ...
Overview of Financial Markets
... Organized securities exchanges are tangible secondary markets where outstanding securities are bought and sold. They account for over 60% of the dollar volume of domestic shares traded. Only the largest and most profitable companies meet the requirements necessary to be listed on the New York ...
... Organized securities exchanges are tangible secondary markets where outstanding securities are bought and sold. They account for over 60% of the dollar volume of domestic shares traded. Only the largest and most profitable companies meet the requirements necessary to be listed on the New York ...
the webinar slides here
... terms of how much money is flowing • on high profile events several hundreds of thousands of euros might not shift odds perceptibly • monitoring of Asian markets is essential • quantities wagered on European markets there may be echoes of what is happening in Asia ...
... terms of how much money is flowing • on high profile events several hundreds of thousands of euros might not shift odds perceptibly • monitoring of Asian markets is essential • quantities wagered on European markets there may be echoes of what is happening in Asia ...
tactical income fund
... operating expenses would be 1.49%. Results shown reflect the waiver, without which the results could have been lower. A Fund’s performance, especially for very short periods of time, should not be the sole factor in making your investment decisions. For performance information current to the most re ...
... operating expenses would be 1.49%. Results shown reflect the waiver, without which the results could have been lower. A Fund’s performance, especially for very short periods of time, should not be the sole factor in making your investment decisions. For performance information current to the most re ...
Code for fair disclosure - Indraprastha Gas Limited
... The Company shall provide only public information to the analyst/research persons/large investors like institutional investor. Alternatively, the information given to the analyst should be simultaneously made public at the earliest. (ii) Handling of unanticipated questions – The Company should be ca ...
... The Company shall provide only public information to the analyst/research persons/large investors like institutional investor. Alternatively, the information given to the analyst should be simultaneously made public at the earliest. (ii) Handling of unanticipated questions – The Company should be ca ...
Market Impact Studies
... From a risk management perspective, a big surprise also leads to different actions than a small surprise. This assumes a weak market efficiency, ie that the forecasts are already included in the price and the actual readings above or below forecast influence the price. For non-scalping traders, thi ...
... From a risk management perspective, a big surprise also leads to different actions than a small surprise. This assumes a weak market efficiency, ie that the forecasts are already included in the price and the actual readings above or below forecast influence the price. For non-scalping traders, thi ...
Durability, Re-trading and Market Performance
... all individual buyer values (seller costs) were realized on each transaction in the trading period in which it was executed. This process was then repeated beginning with the assignment of replenished values (costs) for designated buyers (sellers), then trading for a fixed time period, followed by s ...
... all individual buyer values (seller costs) were realized on each transaction in the trading period in which it was executed. This process was then repeated beginning with the assignment of replenished values (costs) for designated buyers (sellers), then trading for a fixed time period, followed by s ...
The Round-the-Clock Market for US Treasury Securities
... new information gets incorporated into prices and shed light on the determinants of Treasury prices. Finally, analysis of price behavior can be used to test the intraday efficiency of the Treasury market by determining, for example, whether overseas price changes reflect new information that is subs ...
... new information gets incorporated into prices and shed light on the determinants of Treasury prices. Finally, analysis of price behavior can be used to test the intraday efficiency of the Treasury market by determining, for example, whether overseas price changes reflect new information that is subs ...
A model of secret price cuts
... price u (or any lower price). When demand is low, only l = 0 < h units can be sold. The probability that demand is high or low in each period is independent of what it was in the previous period. Moreover, firms are unable to observe the state of market demand; all they can observe is whether their ...
... price u (or any lower price). When demand is low, only l = 0 < h units can be sold. The probability that demand is high or low in each period is independent of what it was in the previous period. Moreover, firms are unable to observe the state of market demand; all they can observe is whether their ...
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.