FINAL NOTICE: Michael Coscia
... 28. As Mr Coscia’s large orders were so unlikely to be executed (due to their short resting time on the order book and inevitable cancellation once the small order was executed or they were partially executed) they created false impressions of liquidity rather than genuine market supply and demand. ...
... 28. As Mr Coscia’s large orders were so unlikely to be executed (due to their short resting time on the order book and inevitable cancellation once the small order was executed or they were partially executed) they created false impressions of liquidity rather than genuine market supply and demand. ...
High-Frequency Trading in the US Treasury Market
... supported by a grant from the Research Grants Council of Hong Kong (Project No. 4478712). This work was partly written while Giorgio Valente was visiting the Bank for International Settlements and the University of Essex. The views expressed here are solely our own and do not necessarily reflect tho ...
... supported by a grant from the Research Grants Council of Hong Kong (Project No. 4478712). This work was partly written while Giorgio Valente was visiting the Bank for International Settlements and the University of Essex. The views expressed here are solely our own and do not necessarily reflect tho ...
Guidance Note on the Calculation of Capital Requirement for Market
... 3. Amount (face value) of cash position = amount of underlying asset in credit default swap = N 5 billion Bank’s long cash position is fully offset by purchase of protection under credit default swap resulting in no position in the corporate bond instrument. b) Offsetting by 80% A bank may offset 80 ...
... 3. Amount (face value) of cash position = amount of underlying asset in credit default swap = N 5 billion Bank’s long cash position is fully offset by purchase of protection under credit default swap resulting in no position in the corporate bond instrument. b) Offsetting by 80% A bank may offset 80 ...
Disputation, August 4th, 2009, Ryan Riordan
... social uselessness) than high-frequency trading. The stock market is supposed to allocate capital to its most productive uses, for example by helping companies with good ideas raise money. But it's hard to see how traders who place their orders one-thirtieth of a second faster than anyone else do an ...
... social uselessness) than high-frequency trading. The stock market is supposed to allocate capital to its most productive uses, for example by helping companies with good ideas raise money. But it's hard to see how traders who place their orders one-thirtieth of a second faster than anyone else do an ...
Speculation, Risk Aversion, and Risk Premiums in the Crude Oil
... Equations (2.12) and (2.13) solve equilibrium optimal positions in futures contracts for the speculator and hedger respectively. Thus I obtain the following implications: 1. In equilibrium, traders’absolute positions in futures contracts are proportional to the covariance between the futures prices ...
... Equations (2.12) and (2.13) solve equilibrium optimal positions in futures contracts for the speculator and hedger respectively. Thus I obtain the following implications: 1. In equilibrium, traders’absolute positions in futures contracts are proportional to the covariance between the futures prices ...
Ch10
... • Derivative security • An agreement between two parties to exchange a standard quantity of an asset at a predetermined price at a specified date in the future • Derivatives are contracts whose value is linked to and derived from something else. • The ‘something else’ is usually a security, a portfo ...
... • Derivative security • An agreement between two parties to exchange a standard quantity of an asset at a predetermined price at a specified date in the future • Derivatives are contracts whose value is linked to and derived from something else. • The ‘something else’ is usually a security, a portfo ...
Why is gold different from other assets? An
... The hypotheses listed in Section 2 are tested using two methods: firstly, by calculating simple pairwise correlations between the variables. The advantage of this approach is that it is widely used and the results are therefore easier to understand. The Pearson product moment correlation coefficient ...
... The hypotheses listed in Section 2 are tested using two methods: firstly, by calculating simple pairwise correlations between the variables. The advantage of this approach is that it is widely used and the results are therefore easier to understand. The Pearson product moment correlation coefficient ...
Exchange-Traded Barrier Option and VPIN: Evidence from Hong Kong
... turnover of CBBCs as a percentage of the total market turnover in 2009 reached 10.86%, surpassing the DW turnover of 10.72%. CBBC and DW trading constituted about 25% of the total market turnover throughout the 2006-2010 period. The success of the CBBC provides a unique opportunity to explore the or ...
... turnover of CBBCs as a percentage of the total market turnover in 2009 reached 10.86%, surpassing the DW turnover of 10.72%. CBBC and DW trading constituted about 25% of the total market turnover throughout the 2006-2010 period. The success of the CBBC provides a unique opportunity to explore the or ...
Derivative Market Operations
... or before a given future date. Puts give the buyer the right, but not the obligation to sell a given quantity of the underlying asset at a given price on or before a given date. One can buy and sell each of the contracts. When one buys an option he is said to be having a long position and when one ...
... or before a given future date. Puts give the buyer the right, but not the obligation to sell a given quantity of the underlying asset at a given price on or before a given date. One can buy and sell each of the contracts. When one buys an option he is said to be having a long position and when one ...
Jeffrey Gundlach
... Source: Federal Reserve Open Market Committee (FOMC) meeting December 15-16, 2015, DoubleLine PCE = Personal consumption expenditures (PCE) is the primary measure of all consumer spending on goods and services in the U.S. economy. You cannot invest directly in an index. ...
... Source: Federal Reserve Open Market Committee (FOMC) meeting December 15-16, 2015, DoubleLine PCE = Personal consumption expenditures (PCE) is the primary measure of all consumer spending on goods and services in the U.S. economy. You cannot invest directly in an index. ...
ASX Clear Section 11 - Derivatives Market Contracts – Allocation
... Participant may allocate Derivatives Market Contracts If a Derivatives Market Contract is reported to ASX Clear for registration in the name of a Participant (the “First Participant”), the First Participant may, before the Derivatives Market Contract is registered, allocate the contract to another P ...
... Participant may allocate Derivatives Market Contracts If a Derivatives Market Contract is reported to ASX Clear for registration in the name of a Participant (the “First Participant”), the First Participant may, before the Derivatives Market Contract is registered, allocate the contract to another P ...
Asian basket options and implied correlations in energy
... assets comprising the basket, as they are the so-called correlation, or cross-commodity derivatives that allow to manage the correlation risk. Spread options are very common in energy markets, they are traded both over-the-counter and on commodity exchanges such as ICE4 and NYMEX. However, most trad ...
... assets comprising the basket, as they are the so-called correlation, or cross-commodity derivatives that allow to manage the correlation risk. Spread options are very common in energy markets, they are traded both over-the-counter and on commodity exchanges such as ICE4 and NYMEX. However, most trad ...
Benchmarks for Investment Strategies
... Indexing is high-quality work and requires experienced specialists for the daily tasks. The three indices SIX Structured Products Participation Index (SSPP®), SIX Structured Products Yield Enhancement Index (SSPY®), and SIX Structured Products Capital Protection Index (SSPC®) were developed by Deriv ...
... Indexing is high-quality work and requires experienced specialists for the daily tasks. The three indices SIX Structured Products Participation Index (SSPP®), SIX Structured Products Yield Enhancement Index (SSPY®), and SIX Structured Products Capital Protection Index (SSPC®) were developed by Deriv ...
Q2 - Journey Wealth Partners
... Past performance is not a guarantee of future results. Indices are not available for direct investment. Index performance does not reflect the expenses associated with the management of an actual portfolio. 1. Barclays US Corporate Bond Index. 2. Barclays Municipal Bond Index. Yield curve data from ...
... Past performance is not a guarantee of future results. Indices are not available for direct investment. Index performance does not reflect the expenses associated with the management of an actual portfolio. 1. Barclays US Corporate Bond Index. 2. Barclays Municipal Bond Index. Yield curve data from ...
Flow Traders reports strong second quarter 2016 results in slower
... appetite in 2Q16 across the globe. However, the total global ETP Assets under Management continued to grow, especially in Fixed Income, reaching a new high of € 2.9tn overall at the end of 1H16. For 2Q16, Flow Traders saw a quarter-on-quarter improvement in Net Trading Income and Net Income. Flow Tr ...
... appetite in 2Q16 across the globe. However, the total global ETP Assets under Management continued to grow, especially in Fixed Income, reaching a new high of € 2.9tn overall at the end of 1H16. For 2Q16, Flow Traders saw a quarter-on-quarter improvement in Net Trading Income and Net Income. Flow Tr ...
the role of financial markets in the pricing of crude oil
... and policy in understanding the passage of renewable fuel standards and the ban – and eventual repeal – on crude oil exports. Developing an understanding of the context of the oil market also entails moving outside of scholarly journals to areas such as niche and business journalism, analyst and fin ...
... and policy in understanding the passage of renewable fuel standards and the ban – and eventual repeal – on crude oil exports. Developing an understanding of the context of the oil market also entails moving outside of scholarly journals to areas such as niche and business journalism, analyst and fin ...
full text
... density with market observed spot prices. Strong and Xu (1999) repeat similar tests as in Longstaff (1995) but use the S&P 500 index options instead of the S&P 100 options. They claim that the martingale restriction cannot be rejected for the S&P 500 index calls and puts over the period from 1990 to ...
... density with market observed spot prices. Strong and Xu (1999) repeat similar tests as in Longstaff (1995) but use the S&P 500 index options instead of the S&P 100 options. They claim that the martingale restriction cannot be rejected for the S&P 500 index calls and puts over the period from 1990 to ...
Pricing Crude Oil Calendar Spread Options
... liberalization process that is still taking place even in the most developed countries. Moreover, the significant increase in the demand for energy, in particular due to the spectacular economic growth of Asian economies such as India and China, has increased the prominence of energy trading and thu ...
... liberalization process that is still taking place even in the most developed countries. Moreover, the significant increase in the demand for energy, in particular due to the spectacular economic growth of Asian economies such as India and China, has increased the prominence of energy trading and thu ...
Options on Fed funds futures and interst rate volatity
... options on Fed Funds futures on the volatility in underlying markets: the Fed Funds spot and Fed Funds futures. Since their introduction on March 14, 2003, CBOT options1 on the Fed Funds futures have become increasingly popular2 for risk management. The possibility that the volatility in the primary ...
... options on Fed Funds futures on the volatility in underlying markets: the Fed Funds spot and Fed Funds futures. Since their introduction on March 14, 2003, CBOT options1 on the Fed Funds futures have become increasingly popular2 for risk management. The possibility that the volatility in the primary ...
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.