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UBS ATS Monthly Volume Summary – November 2016 (restated 1
... Average trade size Average total executed shares per order Executed share percentage at midpoint3 Percentage of volume executed versus UBS Principal orders4 ...
... Average trade size Average total executed shares per order Executed share percentage at midpoint3 Percentage of volume executed versus UBS Principal orders4 ...
VaR Exceedances at Large Financial Institutions
... not be more useful if they were more accurate. It’s possible that the models are biased in a predictable fashion, and that risk managers simply correct for these biases when using the numbers produced by their VaR models. If a process for correcting the reported VaR did exist, why wouldn’t the banks ...
... not be more useful if they were more accurate. It’s possible that the models are biased in a predictable fashion, and that risk managers simply correct for these biases when using the numbers produced by their VaR models. If a process for correcting the reported VaR did exist, why wouldn’t the banks ...
NBER WORKING PAPER SERIES JUMP AND VOLATILITY RISK AND RISK PREMIA:
... the time series of the S&P 500 index and its options from 1989 to 1996. She uses the pricing model proposed by Bates (2000) which has a square-root process for the diffusive variance and jump intensity proportional to the diffusive variance. The jump risk premium is specified to be linear in the var ...
... the time series of the S&P 500 index and its options from 1989 to 1996. She uses the pricing model proposed by Bates (2000) which has a square-root process for the diffusive variance and jump intensity proportional to the diffusive variance. The jump risk premium is specified to be linear in the var ...
Do Mutual Funds Time the Market? Evidence from
... to have better timing ability. Given the evidence on market return predictability documented in academic studies, we explore whether the market-timing activity of mutual funds is based on several known return-predictive economic variables. We find that fund betas are positively correlated with the a ...
... to have better timing ability. Given the evidence on market return predictability documented in academic studies, we explore whether the market-timing activity of mutual funds is based on several known return-predictive economic variables. We find that fund betas are positively correlated with the a ...
Is there a “Right Time” to Buy High Yield?
... shared by all investments. What we find is that the number of opportunities observed historically for a tactical investor to participate in the high yield market and achieve an outcome, on average, that exceeds the performance generated at tighter starting option adjusted spreads (“OAS”) are limited ...
... shared by all investments. What we find is that the number of opportunities observed historically for a tactical investor to participate in the high yield market and achieve an outcome, on average, that exceeds the performance generated at tighter starting option adjusted spreads (“OAS”) are limited ...
US Treasury Market US Treasury Market
... disclosed, in whole or in part, or in any form or manner, without the express written consent of Merrill Lynch. Merrill Lynch research reports are distributed simultaneously to internal and client websites eligible to receive such research prior to any public dissemination by Merrill Lynch of the re ...
... disclosed, in whole or in part, or in any form or manner, without the express written consent of Merrill Lynch. Merrill Lynch research reports are distributed simultaneously to internal and client websites eligible to receive such research prior to any public dissemination by Merrill Lynch of the re ...
Bloomberg Briefs - Parallax Financial Research
... The above table monitors major markets and contains conditions to alert you to look at your charts. The rules are as follows: Last price and %Chg (5) is green/red if positive/negative. 5dHigh/5dLow is green/red if the 5d high or 5d low occurred during the last 20 days. The 50d SMA and 200d SMA will ...
... The above table monitors major markets and contains conditions to alert you to look at your charts. The rules are as follows: Last price and %Chg (5) is green/red if positive/negative. 5dHigh/5dLow is green/red if the 5d high or 5d low occurred during the last 20 days. The 50d SMA and 200d SMA will ...
The Pricing and Performance of New Corporate Bonds: TRACE
... A total of 790 (175) of the bonds in our final sample traded (did not trade) within 7 days of the offering. As with issuer frequency, we do not restrict our sample to bonds that trade within a specified number of days (e.g., 7 days) after issuance, even though we do not, and practically cannot, mea ...
... A total of 790 (175) of the bonds in our final sample traded (did not trade) within 7 days of the offering. As with issuer frequency, we do not restrict our sample to bonds that trade within a specified number of days (e.g., 7 days) after issuance, even though we do not, and practically cannot, mea ...
NBER WORKING PAPER SERIES DEMAND-BASED OPTION PRICING Nicolae Garleanu Lasse Heje Pedersen
... main option-pricing puzzles. The starting point of our analysis is that options are traded because they are useful and, therefore, options cannot be redundant for all investors (Hakansson (1979)). We denote the agents who have a fundamental need for option exposure as “end users.” Intermediaries suc ...
... main option-pricing puzzles. The starting point of our analysis is that options are traded because they are useful and, therefore, options cannot be redundant for all investors (Hakansson (1979)). We denote the agents who have a fundamental need for option exposure as “end users.” Intermediaries suc ...
Global Trading Hours
... Volatility Auction Activated when the maximum price range deviation is exceeded, decided by the exchange. Generally ends after 3 or 5 minutes, depending on security. The change to the next scheduled trading phase is carried out whether or not a price occurs. Single volatility interruption occurs if ...
... Volatility Auction Activated when the maximum price range deviation is exceeded, decided by the exchange. Generally ends after 3 or 5 minutes, depending on security. The change to the next scheduled trading phase is carried out whether or not a price occurs. Single volatility interruption occurs if ...
2 hundred million +2 hundred million
... meaning there is a 1% (significant level) chance that losses will be greater than 2.32 standard deviations. Assuming a Normal distribution, 99% (confidence interval) VaR can be defined as follows: standard deviation of the portfolio's value The subscript T in the VaR expression refers to the time ...
... meaning there is a 1% (significant level) chance that losses will be greater than 2.32 standard deviations. Assuming a Normal distribution, 99% (confidence interval) VaR can be defined as follows: standard deviation of the portfolio's value The subscript T in the VaR expression refers to the time ...
Emerging Equity Markets in a Globalizing World
... Twenty years ago, the World Bank organized a conference on “Portfolio Flows to Emerging Markets”. At the time, the World Bank had recently compiled the first-ever database of emerging market equity returns. Foreign portfolio (as opposed to direct) investment was relatively new. The theme of the conf ...
... Twenty years ago, the World Bank organized a conference on “Portfolio Flows to Emerging Markets”. At the time, the World Bank had recently compiled the first-ever database of emerging market equity returns. Foreign portfolio (as opposed to direct) investment was relatively new. The theme of the conf ...
University of Groningen Socially responsible investing and
... These indices serve as proxies for non-SRI investments, although some of the funds represented in the MSCI indices also may be classified as SRI. It would have been preferable if the indices in our model resulted in a mutual exclusive classification over SRI and non-SRI stocks. However, such indices ...
... These indices serve as proxies for non-SRI investments, although some of the funds represented in the MSCI indices also may be classified as SRI. It would have been preferable if the indices in our model resulted in a mutual exclusive classification over SRI and non-SRI stocks. However, such indices ...
Good news-Bad news: Information revelation
... another to roll a die. The result of the coin toss was announced to everyone by the subject and this determined whether the Light Blue marbles in Bag 1 represented the high {100, 200, 300}, or the low set of dividends {50, 100, 150}. The result of the die roll was also announced. This determined wha ...
... another to roll a die. The result of the coin toss was announced to everyone by the subject and this determined whether the Light Blue marbles in Bag 1 represented the high {100, 200, 300}, or the low set of dividends {50, 100, 150}. The result of the die roll was also announced. This determined wha ...
Orders and Positions
... average fill price, volume ratio, position, and OTE & P/L per symbol for each account. You can also filter by symbol and date. The average fill price is calculated as the number of filled lots times the fill price for each filled order divided by the number of filled lots. The volume ratio is calcul ...
... average fill price, volume ratio, position, and OTE & P/L per symbol for each account. You can also filter by symbol and date. The average fill price is calculated as the number of filled lots times the fill price for each filled order divided by the number of filled lots. The volume ratio is calcul ...
the university of chicago modeling the stock price process
... self financing strategy. However, this is much nicer situation than for general models with jumps. In a sense birth death processes are almost continuous, as one needs to traverse all intermediate states to go from one point to the other. On the other hand, birth-death processes have a micro-structu ...
... self financing strategy. However, this is much nicer situation than for general models with jumps. In a sense birth death processes are almost continuous, as one needs to traverse all intermediate states to go from one point to the other. On the other hand, birth-death processes have a micro-structu ...
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.