1 DETERMINANTS OF VIOLATION OF PUT
... Exchange (NSE) and Bombay Stock Exchange (BSE), and their clearing houses to commence derivatives trading with the introduction of index futures contracts based on S&P NSE Nifty index and BSE-30 (Sensex) index. This was followed by the introduction of trading in options based on these two indices, o ...
... Exchange (NSE) and Bombay Stock Exchange (BSE), and their clearing houses to commence derivatives trading with the introduction of index futures contracts based on S&P NSE Nifty index and BSE-30 (Sensex) index. This was followed by the introduction of trading in options based on these two indices, o ...
When Does Information Asymmetry Affect the Cost of
... In this paper we explore further this possibility by introducing a proxy for the level of competition in a firm’s shares. While financial market competition is a well accepted economic concept, it has no natural proxy in market data. This problem notwithstanding, we use the number of investors in a ...
... In this paper we explore further this possibility by introducing a proxy for the level of competition in a firm’s shares. While financial market competition is a well accepted economic concept, it has no natural proxy in market data. This problem notwithstanding, we use the number of investors in a ...
Spot Market Competition and Long-Term
... the electricity pool price, and two-way, or fixed-price, contracts, which in this set-up are identical to futures. The formal analysis is very similar for all three forms of contracts, and since the first form was initially the most common in the England and Wales electricity market, we concentrate ...
... the electricity pool price, and two-way, or fixed-price, contracts, which in this set-up are identical to futures. The formal analysis is very similar for all three forms of contracts, and since the first form was initially the most common in the England and Wales electricity market, we concentrate ...
Dealing With High Volatility “Low Volatility Folios”
... The Low Volatility ETF Folio generated an average return of 5.9% per year over the four years through 2007, as compared to a benchmark of an S&P500 fund and fixedincome funds, which averaged 5% per year in return over this same period, with slightly higher risk. It may be possible to improve the per ...
... The Low Volatility ETF Folio generated an average return of 5.9% per year over the four years through 2007, as compared to a benchmark of an S&P500 fund and fixedincome funds, which averaged 5% per year in return over this same period, with slightly higher risk. It may be possible to improve the per ...
2. Return
... underwriting of a bond issue. Less well known is the fundamental role that duality theory plays in the theoretical treatment of the pricing of options and contingent claims, both in its discrete state and time formulation using linear programming and in its continuous time counterparts. This duality ...
... underwriting of a bond issue. Less well known is the fundamental role that duality theory plays in the theoretical treatment of the pricing of options and contingent claims, both in its discrete state and time formulation using linear programming and in its continuous time counterparts. This duality ...
1.4. creating securities investment portfolios
... Vietnam, it is necessary to work out technical solutions for investors to analyze stock investment. The positive effect of portfolio investment has been proved both in studies and in reality. In Vietnam, the studies that are applied practically in the market are limited; the scope of examining the a ...
... Vietnam, it is necessary to work out technical solutions for investors to analyze stock investment. The positive effect of portfolio investment has been proved both in studies and in reality. In Vietnam, the studies that are applied practically in the market are limited; the scope of examining the a ...
Dynamic Trading with Predictable Returns and
... that currently “likes” security 1 is more persistent. Therefore, the aim portfolio loads more heavily on security 1, and consequently the optimal trade buys more shares in security 1 than it would otherwise. We show that it is in fact a general principle that predictors with slower mean-reversion (a ...
... that currently “likes” security 1 is more persistent. Therefore, the aim portfolio loads more heavily on security 1, and consequently the optimal trade buys more shares in security 1 than it would otherwise. We show that it is in fact a general principle that predictors with slower mean-reversion (a ...
Sentiment Dynamics and Stock Returns: The Case of
... information beyond the informational content of past and contemporaneous stock prices and returns themselves. This is also in harmony with the theoretical arguments laid out above as predictability of the noise component would evoke straightforward arbitrage arguments. Using sentiment data and retur ...
... information beyond the informational content of past and contemporaneous stock prices and returns themselves. This is also in harmony with the theoretical arguments laid out above as predictability of the noise component would evoke straightforward arbitrage arguments. Using sentiment data and retur ...
Demystifying Time-Series Momentum Strategies: Volatility
... different methodologies, but they do show that correlations between futures markets have experienced a significant increase in the period from 2008 to 2013. We show that incorporating the pairwise correlations of the constituent assets into the weighting scheme of the time-series momentum strategy n ...
... different methodologies, but they do show that correlations between futures markets have experienced a significant increase in the period from 2008 to 2013. We show that incorporating the pairwise correlations of the constituent assets into the weighting scheme of the time-series momentum strategy n ...
7 Derivatives Pricing and Applications of Stochastic Calculus
... Property I is called the self-financing property. The interpretation of Property I is that during every infinitesimal time interval (t,t+dt) the change in the value of the portfolio is entirely due to the changes in the prices of the stock and bond. There is no net new investment in the portfolio. ...
... Property I is called the self-financing property. The interpretation of Property I is that during every infinitesimal time interval (t,t+dt) the change in the value of the portfolio is entirely due to the changes in the prices of the stock and bond. There is no net new investment in the portfolio. ...
IPO Underpricing in a Simultaneous Equations Model of Supply and
... make some partial identification of potential subscribers (demanders) for a particular IPO feasible. In other countries, eligible subscribers are rarely identified or disclosed. Prior researches overemphasize the use of over-subscription as the only measure of demand, which is not necessarily an acc ...
... make some partial identification of potential subscribers (demanders) for a particular IPO feasible. In other countries, eligible subscribers are rarely identified or disclosed. Prior researches overemphasize the use of over-subscription as the only measure of demand, which is not necessarily an acc ...
Dark pools in European equity markets
... Not all HFT or algorithmic strategies increase the costs of trading for other market participants – some strategies may even improve market efficiency and functioning. For example, one strategy is to place many small-volume buy and sell orders at the best current prices and profit from the differenc ...
... Not all HFT or algorithmic strategies increase the costs of trading for other market participants – some strategies may even improve market efficiency and functioning. For example, one strategy is to place many small-volume buy and sell orders at the best current prices and profit from the differenc ...
Regulation and the National Regulatory Authority in
... Each Member State shall designate one or more national regulatory authorities for the postal sector that are legally separate from and operationally independent of the postal operators. Member States shall inform the Commission which national regulatory authorities they have designated to carry out ...
... Each Member State shall designate one or more national regulatory authorities for the postal sector that are legally separate from and operationally independent of the postal operators. Member States shall inform the Commission which national regulatory authorities they have designated to carry out ...
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.