Do retail traders suffer from high frequency traders?
... spread, which is a standard measure of market quality, would not help those that switch from (better priced) limit orders to market orders. Moreover, if the crowding-out phenomenon disproportionately affects a particular group of traders, such as unsophisticated retail traders, then one may worry th ...
... spread, which is a standard measure of market quality, would not help those that switch from (better priced) limit orders to market orders. Moreover, if the crowding-out phenomenon disproportionately affects a particular group of traders, such as unsophisticated retail traders, then one may worry th ...
Basic Financial Derivatives - Sanjeev Institute of Planning and
... in the underlying assets. In fact, the derivatives can be formed on almost any variable, for example, from the price of hogs to the amount of snow falling at a certain ski resort. The term financial derivative relates with a variety of financial instruments which include stocks, bonds, treasury bil ...
... in the underlying assets. In fact, the derivatives can be formed on almost any variable, for example, from the price of hogs to the amount of snow falling at a certain ski resort. The term financial derivative relates with a variety of financial instruments which include stocks, bonds, treasury bil ...
The High-Volume Return Premium - North American Business Press
... the global market. Osborne(1959), first examined the price-volume relationship and since then this issue has been attracting considerable interests from economists. The strong connection between future stock prices and trading activity is generally accepted by many scholars. The high-volume return p ...
... the global market. Osborne(1959), first examined the price-volume relationship and since then this issue has been attracting considerable interests from economists. The strong connection between future stock prices and trading activity is generally accepted by many scholars. The high-volume return p ...
Derivatives: A Twenty-First Century Understanding
... $2.3 trillion,17 but by 2009, this figure had increased to an estimated $349 trillion.18 For foreign exchange derivatives, the figure in 1990 was $578 billion,19 but by 2010, it had grown to $49 trillion.20 The markets for exchange-traded options and futures derivatives have also grown. As of June 2 ...
... $2.3 trillion,17 but by 2009, this figure had increased to an estimated $349 trillion.18 For foreign exchange derivatives, the figure in 1990 was $578 billion,19 but by 2010, it had grown to $49 trillion.20 The markets for exchange-traded options and futures derivatives have also grown. As of June 2 ...
performance of actively managed exchange traded funds in the usa
... Blitz, Huij and Swinkels (Blitz, Huij, & Swinkels, 2009) present a paper that investigates the performance of Europe-listed equity ETFs and European index mutual funds. In line with the prior studies, the authors find out differences in the funds’ performance, which is explained by the differences i ...
... Blitz, Huij and Swinkels (Blitz, Huij, & Swinkels, 2009) present a paper that investigates the performance of Europe-listed equity ETFs and European index mutual funds. In line with the prior studies, the authors find out differences in the funds’ performance, which is explained by the differences i ...
The impact of dark trading and visible fragmentation on market quality
... Spatt (2010) investigate the competition induced by ECN activity on Nasdaq stocks. They find that ECNs with smaller tick sizes tend to undercut the Nasdaq quotes and reduce overall quoted spreads. Differences between trading venues may arise to cater to the needs of heterogeneous clientele. For exam ...
... Spatt (2010) investigate the competition induced by ECN activity on Nasdaq stocks. They find that ECNs with smaller tick sizes tend to undercut the Nasdaq quotes and reduce overall quoted spreads. Differences between trading venues may arise to cater to the needs of heterogeneous clientele. For exam ...
Efficiente Plus DS 5 Strategy Guide Oct 2016
... instruments described herein may not be suitable for all investors. This information is not intended to provide and should not be relied upon as providing accounting, legal, regulatory or tax advice. Investors should consult with their own advisors as to these matters. This material is not a product ...
... instruments described herein may not be suitable for all investors. This information is not intended to provide and should not be relied upon as providing accounting, legal, regulatory or tax advice. Investors should consult with their own advisors as to these matters. This material is not a product ...
Expiration Day Effects of the EURO STOXX 50 Index Futures and
... empirical studies have reported significant volume, price and volatility effects around the expiration of index futures and options. The most common explanations include the unwinding of delta positions as well as index arbitrage, which is executed by arbitrageurs with sophisticated computer algorit ...
... empirical studies have reported significant volume, price and volatility effects around the expiration of index futures and options. The most common explanations include the unwinding of delta positions as well as index arbitrage, which is executed by arbitrageurs with sophisticated computer algorit ...
A monthly effect in stock returns - DSpace@MIT
... Hence the model to be estimated must be rewritten in ...
... Hence the model to be estimated must be rewritten in ...
1 Smart contracts: the ultimate automation of trust?
... moving an adjustable slider that determines who gets how much. Once the smart contract can verify the triggering condition — in this case, death — the contract goes into effect and assets are divided up. Escrow. Smart contracts can easily be set up as escrow accounts that monitor an exchange betwe ...
... moving an adjustable slider that determines who gets how much. Once the smart contract can verify the triggering condition — in this case, death — the contract goes into effect and assets are divided up. Escrow. Smart contracts can easily be set up as escrow accounts that monitor an exchange betwe ...
Gains from Stock Exchange Integration: The
... Users face two types of trading costs: (a) explicit costs, such as, for example, exchange fees, commissions, and the costs of clearing and settlement; and (b) implicit costs, which include the bid-ask spread and the price impact of orders, to the extent that large orders cause an adverse change in s ...
... Users face two types of trading costs: (a) explicit costs, such as, for example, exchange fees, commissions, and the costs of clearing and settlement; and (b) implicit costs, which include the bid-ask spread and the price impact of orders, to the extent that large orders cause an adverse change in s ...
Lecture 7: Quadratic Variation
... meltdown in late 1998 when implied stock index volatility levels rose to unprecedented levels. Hedge funds took advantage of this by paying variance in swaps (selling the realized volatility at high implied levels). The key to their willingness to pay on a variance swap rather than sell options was ...
... meltdown in late 1998 when implied stock index volatility levels rose to unprecedented levels. Hedge funds took advantage of this by paying variance in swaps (selling the realized volatility at high implied levels). The key to their willingness to pay on a variance swap rather than sell options was ...
BOND - ETF.com
... Bond ETFs pay out monthly income. Bond ETFs hold many different bonds at once, and at any given time, some bonds in the portfolio may be making their coupon payment. As a result, bond ETFs usually pay interest monthly, rather than semiannually, as most single bonds do. Also different: The value of t ...
... Bond ETFs pay out monthly income. Bond ETFs hold many different bonds at once, and at any given time, some bonds in the portfolio may be making their coupon payment. As a result, bond ETFs usually pay interest monthly, rather than semiannually, as most single bonds do. Also different: The value of t ...
contract design, arbitrage, and hedging in the eurodollar futures
... the expiration of the futures of a long position in the underlying 90-day Eurodollar time deposit and a short position in the futures. This value is supposed to be non-stochastic and zero, which is the case for virtually all other futures contracts. The only solution, y = 0, implies that the intere ...
... the expiration of the futures of a long position in the underlying 90-day Eurodollar time deposit and a short position in the futures. This value is supposed to be non-stochastic and zero, which is the case for virtually all other futures contracts. The only solution, y = 0, implies that the intere ...
Competition and Cooperation among Exchanges
... Thomas Chemmanur and Paolo Fulghieri, “Competition and Cooperation among Exchanges: A Theory of Cross-listing and Endogenous Listing Standard,” Journal of Financial Economics 82 (2006), 445-489. Interested readers should consult this paper for the mathematical analysis and formal proofs supporting t ...
... Thomas Chemmanur and Paolo Fulghieri, “Competition and Cooperation among Exchanges: A Theory of Cross-listing and Endogenous Listing Standard,” Journal of Financial Economics 82 (2006), 445-489. Interested readers should consult this paper for the mathematical analysis and formal proofs supporting t ...
High frequency trading: assessing the impact on market
... volatility and market abuse over the last few years have cast a shadow over the desirability of HFT. In principle, high frequency trading is an innocuous activity designed to allow traders to minimise trading costs (market impact costs), enter into and/or exit market positions with greater flexibili ...
... volatility and market abuse over the last few years have cast a shadow over the desirability of HFT. In principle, high frequency trading is an innocuous activity designed to allow traders to minimise trading costs (market impact costs), enter into and/or exit market positions with greater flexibili ...
Introduction - Drake University
... Operational Advantages – generally derivative markets have lower transaction costs and greater liquidity compared to the spot market. Additionally they allow easier short sales helping to “complete” the market. Market Efficiency - Spot market prices are sometimes not consistent with assets true econ ...
... Operational Advantages – generally derivative markets have lower transaction costs and greater liquidity compared to the spot market. Additionally they allow easier short sales helping to “complete” the market. Market Efficiency - Spot market prices are sometimes not consistent with assets true econ ...
Locals, foreigners, and multi-market trading of equities: Intraday
... interest in Thailand's stock market and in emerging markets generally began to pick up in the middle 1980s, the fraction of shares owned by foreigners began to hit these limits for many listed companies. In September 1987, the stock exchange organized a formal market, the Alien Board, where foreigne ...
... interest in Thailand's stock market and in emerging markets generally began to pick up in the middle 1980s, the fraction of shares owned by foreigners began to hit these limits for many listed companies. In September 1987, the stock exchange organized a formal market, the Alien Board, where foreigne ...
Spot Market Competition and Long-Term
... this paper we extend our analysis to include long term financial contracts such as those traded in the UK electricity supply industry between the generators and electricity suppliers, or distribution companies. Our purpose is to explore the incentives that financial contracts give for altering bidd ...
... this paper we extend our analysis to include long term financial contracts such as those traded in the UK electricity supply industry between the generators and electricity suppliers, or distribution companies. Our purpose is to explore the incentives that financial contracts give for altering bidd ...
Commodity market
A 'commodity market' is a market that trades in primary rather than manufactured products. Soft commodities are agricultural products such as wheat, coffee, cocoa and sugar. Hard commodities are mined, such as gold and oil. Investors access about 50 major commodity markets worldwide with purely financial transactions increasingly outnumbering physical trades in which goods are delivered. Futures contracts are the oldest way of investing in commodities. Futures are secured by physical assets. Commodity markets can include physical trading and derivatives trading using spot prices, forwards, futures, and options on futures. Farmers have used a simple form of derivative trading in the commodity market for centuries for price risk management.A financial derivative is a financial instrument whose value is derived from a commodity termed an underlier. Derivatives are either exchange-traded or over-the-counter (OTC). An increasing number of derivatives are traded via clearing houses some with Central Counterparty Clearing, which provide clearing and settlement services on a futures exchange, as well as off-exchange in the OTC market.Derivatives such as futures contracts, Swaps (1970s-), Exchange-traded Commodities (ETC) (2003-), forward contracts have become the primary trading instruments in commodity markets. Futures are traded on regulated commodities exchanges. Over-the-counter (OTC) contracts are ""privately negotiated bilateral contracts entered into between the contracting parties directly"".Exchange-traded funds (ETFs) began to feature commodities in 2003. Gold ETFs are based on ""electronic gold"" that does not entail the ownership of physical bullion, with its added costs of insurance and storage in repositories such as the London bullion market. According to the World Gold Council, ETFs allow investors to be exposed to the gold market without the risk of price volatility associated with gold as a physical commodity.