The information content of interest rate futures options
... corresponds to a futures interest rate of 4.20 per cent. Thus if investors expect short-term interest rates to decline (increase), they would go long (short) the futures contract. ED contracts have a contract size of U.S.$1 million. They also feature a minimum allowable price move or tick size of 0. ...
... corresponds to a futures interest rate of 4.20 per cent. Thus if investors expect short-term interest rates to decline (increase), they would go long (short) the futures contract. ED contracts have a contract size of U.S.$1 million. They also feature a minimum allowable price move or tick size of 0. ...
Day Trading Skill 110523
... On average, individual investors lose money from trading. Barber and Odean (2000) document that the majority of losses incurred at one large discount broker in the United States can be traced to trading costs. However, trading costs are not the whole story. On average, individual investors have per ...
... On average, individual investors lose money from trading. Barber and Odean (2000) document that the majority of losses incurred at one large discount broker in the United States can be traced to trading costs. However, trading costs are not the whole story. On average, individual investors have per ...
Market Design with Blockchain Technology
... their trade. Finding a counterparty can be challenging, in particular when the investors want to exchange a large quantity or if the security is traded infrequently; examples are the markets for corporate and off-the-run government bonds. Liquidity sourcing in the sense of knowing who is interested ...
... their trade. Finding a counterparty can be challenging, in particular when the investors want to exchange a large quantity or if the security is traded infrequently; examples are the markets for corporate and off-the-run government bonds. Liquidity sourcing in the sense of knowing who is interested ...
DETERMINANTS OF IMPLIED VOLATILITY FUNCTION ON THE
... collect from the NSE website. We consider only liquid prices of near month options, for which we carried out the following filtering criteria. First, we deleted the options closing prices with zero transactions. Second, we eliminated the last five trading days to expiration (as in the case of Beber, ...
... collect from the NSE website. We consider only liquid prices of near month options, for which we carried out the following filtering criteria. First, we deleted the options closing prices with zero transactions. Second, we eliminated the last five trading days to expiration (as in the case of Beber, ...
Volume and Liquidity After Cross
... stock exchanges –– a fact for which a variety of reasons have been offered and explored (see Karolyi, 1998, and Pagano, Röell and Zechner 2002, among others). A motive often advanced for this decision is that a foreign listing facilitates trading by foreign investors and therefore tends to attract t ...
... stock exchanges –– a fact for which a variety of reasons have been offered and explored (see Karolyi, 1998, and Pagano, Röell and Zechner 2002, among others). A motive often advanced for this decision is that a foreign listing facilitates trading by foreign investors and therefore tends to attract t ...
Corporate Bond Trading on a Limit Order Book Exchange by
... This paper investigates the case of the Tel Aviv Stock Exchange (hereafter TASE), where c-bonds (and government bonds) have been traded for many years by the same open limit order book system as stocks and with no competing exchanges, dark pools, etc. The Israeli c-bond market is quite small (~$76 b ...
... This paper investigates the case of the Tel Aviv Stock Exchange (hereafter TASE), where c-bonds (and government bonds) have been traded for many years by the same open limit order book system as stocks and with no competing exchanges, dark pools, etc. The Israeli c-bond market is quite small (~$76 b ...
Development of an algorithmic trading model for intraday
... are based on using historical daily stock price data, and while the findings are divided, we will look into intraday data related research next. While traditionally testing of profitability of technical analysis trading rules is performed on daily data, the research in intraday trading is done in si ...
... are based on using historical daily stock price data, and while the findings are divided, we will look into intraday data related research next. While traditionally testing of profitability of technical analysis trading rules is performed on daily data, the research in intraday trading is done in si ...
Smoking or trading ? On cigarette money in post WW2
... Everyone familiar with search models can easily understand the difference between direct barter goods and all the other goods. A good is used only in direct barter if nobody has interest to used it as an intermediary of exchange. Hence, partial intermediary of exchange and commodity money shared the ...
... Everyone familiar with search models can easily understand the difference between direct barter goods and all the other goods. A good is used only in direct barter if nobody has interest to used it as an intermediary of exchange. Hence, partial intermediary of exchange and commodity money shared the ...
Intermarket Technical Analysis
... editor for the Commodity Research Bureau (CRB), I spent a considerable amount of time analyzing the Commodity Research Bureau Futures Price Index, which measures the trend of commodity prices. I had always used the CRB Index in my analysis of commodity markets in much the same way that equity analys ...
... editor for the Commodity Research Bureau (CRB), I spent a considerable amount of time analyzing the Commodity Research Bureau Futures Price Index, which measures the trend of commodity prices. I had always used the CRB Index in my analysis of commodity markets in much the same way that equity analys ...
Chapter XV (pdf format)
... which is a negotiable and often bearer instrument. We also mentioned that for long-term CDs (up to ten years), there is the possibility of selecting a CD with floating-rate coupons. For CDs with floating-rate coupons, the life of the CD is divided into subperiods of usually six months. The interest ...
... which is a negotiable and often bearer instrument. We also mentioned that for long-term CDs (up to ten years), there is the possibility of selecting a CD with floating-rate coupons. For CDs with floating-rate coupons, the life of the CD is divided into subperiods of usually six months. The interest ...
NBER WORKING PAPER SERIES RESOLVING MACROECONOMIC UNCERTAINTY IN STOCK AND BOND MARKETS
... with greater reduction in the implied volatilities of stock and bond options when the economic data is released. The results are more pronounced for bonds than for stocks. Specifically, we observe that the degree of uncertainty about the Non-Farm Payroll (NFP) report, for example, explains more than ...
... with greater reduction in the implied volatilities of stock and bond options when the economic data is released. The results are more pronounced for bonds than for stocks. Specifically, we observe that the degree of uncertainty about the Non-Farm Payroll (NFP) report, for example, explains more than ...
Liquidity and the Law of One Price: The Case of the Futures/Cash
... recorded before the open or after the closing time, and trades with special settlement conditions (because they might be subject to distinct liquidity considerations). A preliminary investigation reveals that auto-quotes (passive quotes by secondary market dealers) have been eliminated in the ISSM d ...
... recorded before the open or after the closing time, and trades with special settlement conditions (because they might be subject to distinct liquidity considerations). A preliminary investigation reveals that auto-quotes (passive quotes by secondary market dealers) have been eliminated in the ISSM d ...
Greeks
... The gamma of a stock is zero. We can use traded options to adjust the gamma of a portfolio, similar to what we have done to vega. But if we are really concerned about large moves, we may want to try something else. Liuren Wu ...
... The gamma of a stock is zero. We can use traded options to adjust the gamma of a portfolio, similar to what we have done to vega. But if we are really concerned about large moves, we may want to try something else. Liuren Wu ...
CGZ CGF CGB
... In September 1989, the Montréal Exchange (MX) launched the Ten-Year Government of Canada Bond Futures (CGB). Since the introduction of its CGB contract, MX continued developing the Canadian yield curve by launching the Two-Year (CGZ), Five-Year (CGF) and 30-Year (LGB) Government of Canada Bond Futur ...
... In September 1989, the Montréal Exchange (MX) launched the Ten-Year Government of Canada Bond Futures (CGB). Since the introduction of its CGB contract, MX continued developing the Canadian yield curve by launching the Two-Year (CGZ), Five-Year (CGF) and 30-Year (LGB) Government of Canada Bond Futur ...
What do we know about high-frequency trading?
... times per day for their own account, with a typical holding period measured in seconds or minutes. This paper reviews a substantial body of recent theoretical and empirical research on HFT so that researchers, practitioners, policymakers, and other interested parties can become familiar with the cur ...
... times per day for their own account, with a typical holding period measured in seconds or minutes. This paper reviews a substantial body of recent theoretical and empirical research on HFT so that researchers, practitioners, policymakers, and other interested parties can become familiar with the cur ...
Drivers for Growth Through 2020
... investors are primary contributors to the steady growth in ETF demand, and over the last five years Greenwich Associates has conducted studies in the U.S., Europe, Asia, and Canada to identify the key trends behind their increasing ETF adoption. In this paper we take a long-term view and explore how ...
... investors are primary contributors to the steady growth in ETF demand, and over the last five years Greenwich Associates has conducted studies in the U.S., Europe, Asia, and Canada to identify the key trends behind their increasing ETF adoption. In this paper we take a long-term view and explore how ...
Debunking myths about ETF liquidity
... in investor demand. This feature enables ETFs to trade at prices that typically closely approximate NAV. ETF creation and redemption is the process by which ETF shares are added to or removed from the secondary market. This process is managed by one or more intermediaries, called Authorized Particip ...
... in investor demand. This feature enables ETFs to trade at prices that typically closely approximate NAV. ETF creation and redemption is the process by which ETF shares are added to or removed from the secondary market. This process is managed by one or more intermediaries, called Authorized Particip ...
Debunking myths about ETF liquidity
... in investor demand. This feature enables ETFs to trade at prices that typically closely approximate NAV. ETF creation and redemption is the process by which ETF shares are added to or removed from the secondary market. This process is managed by one or more intermediaries, called Authorized Particip ...
... in investor demand. This feature enables ETFs to trade at prices that typically closely approximate NAV. ETF creation and redemption is the process by which ETF shares are added to or removed from the secondary market. This process is managed by one or more intermediaries, called Authorized Particip ...
Heat Waves, Meteor Showers, and Trading Volume: An Analysis of
... and 2% in Tokyo. Such a concentration may be explained by the macroeconomic announcements released during New York trading hours, which lead to sharp price revisions and trading volume surges (Fleming and Remolona (1997, 1999). The fixed hours of Treasury futures trading on the Chicago Board of Trad ...
... and 2% in Tokyo. Such a concentration may be explained by the macroeconomic announcements released during New York trading hours, which lead to sharp price revisions and trading volume surges (Fleming and Remolona (1997, 1999). The fixed hours of Treasury futures trading on the Chicago Board of Trad ...
index of defined terms
... The credit ratings of GSG referred to in this Prospectus have been issued by DBRS, Inc. ("DBRS"), Fitch, Inc. ("Fitch"), Moody's Investors Service, Inc. ("Moody's"), Standard & Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc. ("S&P") and Rating and Investment Information, Inc. ...
... The credit ratings of GSG referred to in this Prospectus have been issued by DBRS, Inc. ("DBRS"), Fitch, Inc. ("Fitch"), Moody's Investors Service, Inc. ("Moody's"), Standard & Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc. ("S&P") and Rating and Investment Information, Inc. ...
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.