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Statistical Facts of Artificial Stock Market
... 9 Number of stocks that become investment in stock market nt(i ) . So that, in each iteration, the total asset of each agent: k t(i ) = nt(i ) pt + ct(i ) 9 Influence strength: the agent’s influence towards other agents on their decision to buy, hold, or sell, r (i ) = [0,1], r ( i ) ∈ ℜ . As previo ...
... 9 Number of stocks that become investment in stock market nt(i ) . So that, in each iteration, the total asset of each agent: k t(i ) = nt(i ) pt + ct(i ) 9 Influence strength: the agent’s influence towards other agents on their decision to buy, hold, or sell, r (i ) = [0,1], r ( i ) ∈ ℜ . As previo ...
arXiv:physics/0603084 v1 10 Mar 2006 Relation between Bid
... unit time. Such a relation was first noted on the case of France-Telecom [13], and independently on the stocks of the ftse-100 [22], but no theoretical argument was given in favor of this relation. From a theoretical point of view, several statistical models of limit and market order flows have been ...
... unit time. Such a relation was first noted on the case of France-Telecom [13], and independently on the stocks of the ftse-100 [22], but no theoretical argument was given in favor of this relation. From a theoretical point of view, several statistical models of limit and market order flows have been ...
Emerging Market Overview_March 2016
... holding companies and some chaebol group companies also drove stock prices, as did easing geopolitical tensions between China and South Korea. Consumer and business sentiment also improved in May. We continue to like companies in the IT and automobile component sectors as we think they are well posi ...
... holding companies and some chaebol group companies also drove stock prices, as did easing geopolitical tensions between China and South Korea. Consumer and business sentiment also improved in May. We continue to like companies in the IT and automobile component sectors as we think they are well posi ...
On Chinese Government`s Stock Market Rescue Efforts in 2015
... This practice, known as “trading on margin”, used to be prohibited in China. But then the Chinese government lifted the prohibition changing policy to strictly regulate the practice of margin trading. Over the past five years the Chinese authorities have gradually relaxed the restrictions on margin ...
... This practice, known as “trading on margin”, used to be prohibited in China. But then the Chinese government lifted the prohibition changing policy to strictly regulate the practice of margin trading. Over the past five years the Chinese authorities have gradually relaxed the restrictions on margin ...
Are Stocks Expensive? - Zevin Asset Management
... forecast of the future is highly uncertain and risks abound to this relatively calm outlook. At the moment Japan is treading a dangerous course in raising the value-added tax while its domestic economy is still weak. In China the plan to transition the economy towards more household consumption and ...
... forecast of the future is highly uncertain and risks abound to this relatively calm outlook. At the moment Japan is treading a dangerous course in raising the value-added tax while its domestic economy is still weak. In China the plan to transition the economy towards more household consumption and ...
Introducing a Better Gauge of Market Volatility
... The SPYIX is designed to withstand the most turbulent market conditions...when investors need it most. The graph below demonstrates the resiliency of SPYIX index prices on August 24, 2015 — a day characterized by unprecedented levels of cross-market volatility and exceptionally high volume traded. D ...
... The SPYIX is designed to withstand the most turbulent market conditions...when investors need it most. The graph below demonstrates the resiliency of SPYIX index prices on August 24, 2015 — a day characterized by unprecedented levels of cross-market volatility and exceptionally high volume traded. D ...
Trading Decision Maker: Stock Trading Decision by Price Series
... the usefulness of TDM in evaluating profitability capacity, and prove that its accumulated rate of return performed 199.05% better than other buy-and-hold strategies used by open-ended mutual funds on the Taiwan Stock Exchange Capitalization Weighted Index (TAIEX) from 2001 to 2003. ...
... the usefulness of TDM in evaluating profitability capacity, and prove that its accumulated rate of return performed 199.05% better than other buy-and-hold strategies used by open-ended mutual funds on the Taiwan Stock Exchange Capitalization Weighted Index (TAIEX) from 2001 to 2003. ...
CCT-eu: a new type of nominal floating rate bonds, indexed to
... can consider other maturities based on the preferences expressed by the market. ...
... can consider other maturities based on the preferences expressed by the market. ...
Risk Management
... 1. It is 29 April, 2015. A large commodities dealer has just sold calls on 3 million barrels of July crude oil futures contracts. The crude oil futures price is $59.29/bbl. The options expire on 17 June, 2015. The strike price on the options is $62/bbl. The volatility of oil is 45 percent (annualize ...
... 1. It is 29 April, 2015. A large commodities dealer has just sold calls on 3 million barrels of July crude oil futures contracts. The crude oil futures price is $59.29/bbl. The options expire on 17 June, 2015. The strike price on the options is $62/bbl. The volatility of oil is 45 percent (annualize ...
Заголовок слайда отсутствует
... AFINEX was operated by currency and derivatives instruments. KASE had operated in stock and Tbills markets because there was law requirement to separate different markets. 1997 September 19 – first trade on shares. ...
... AFINEX was operated by currency and derivatives instruments. KASE had operated in stock and Tbills markets because there was law requirement to separate different markets. 1997 September 19 – first trade on shares. ...
The Hunger-Makers: How Deutsche Bank, Goldman
... parallels relevant futures prices. If prices for futures have been driven by financial market investment strategies to a level higher than they would have been without this influence, then this has an immediate negative impact on the price of food. 8) How betting on commodities drives up the price o ...
... parallels relevant futures prices. If prices for futures have been driven by financial market investment strategies to a level higher than they would have been without this influence, then this has an immediate negative impact on the price of food. 8) How betting on commodities drives up the price o ...
Lei, Noussair, and Plott: Non-Speculative Bubbles in Experimental
... slightly more than £125/share. New stock was issued at £300/share in April of 1720. Spurred by speculative interest and easy credit, prices soon soared over £1000/share. The stock price collapsed in fall of 1720, spurred by a liquidity crisis caused by passage of the Bubble Act and sale of shares by ...
... slightly more than £125/share. New stock was issued at £300/share in April of 1720. Spurred by speculative interest and easy credit, prices soon soared over £1000/share. The stock price collapsed in fall of 1720, spurred by a liquidity crisis caused by passage of the Bubble Act and sale of shares by ...
IRRI-6 Weekly
... Exchange required documentation up to the end of day of delivery will borne by the Seller. Buyers shall pay all charges including storage charges after the business day following the day of the delivery. Inspection and Certification will only be carried out by Exchange approved and designated Inspec ...
... Exchange required documentation up to the end of day of delivery will borne by the Seller. Buyers shall pay all charges including storage charges after the business day following the day of the delivery. Inspection and Certification will only be carried out by Exchange approved and designated Inspec ...
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.