Informed Trading in Parallel Auction and Dealer Markets
... partial price reversion to their previous levels. Seppi (1990), extending the work of Easley and O’Hara (1987), develops a framework in which dealers (upstairs block traders) are able to differentiate uninformed traders from informed traders based on reputation signals or other implicit commitments. ...
... partial price reversion to their previous levels. Seppi (1990), extending the work of Easley and O’Hara (1987), develops a framework in which dealers (upstairs block traders) are able to differentiate uninformed traders from informed traders based on reputation signals or other implicit commitments. ...
Revisiting The Inadvertent Investment Company
... area that historically has received little attention and continues to exist in relative obscurity is the application of the Investment Company Act of 1940 (the “Company Act”) to commodity pools, as opposed to mutual funds, hedge funds and private equity funds. The purpose of this article is to disti ...
... area that historically has received little attention and continues to exist in relative obscurity is the application of the Investment Company Act of 1940 (the “Company Act”) to commodity pools, as opposed to mutual funds, hedge funds and private equity funds. The purpose of this article is to disti ...
Proposed Amendments to National Instrument 23
... In the 2014 Notice we indicated that the $0.0030 per share fee cap for securities priced at or above $1.00 was set at the same level as the cap set in the U.S. under Rule 610(c) of Regulation National Market System (NMS). We proposed this cap because it is an established benchmark that was created b ...
... In the 2014 Notice we indicated that the $0.0030 per share fee cap for securities priced at or above $1.00 was set at the same level as the cap set in the U.S. under Rule 610(c) of Regulation National Market System (NMS). We proposed this cap because it is an established benchmark that was created b ...
Understanding Counterparty Risk on Total Return
... Horizons ETFs believes that investors should pay as little as possible for passive market returns. That’s the idea behind our family of Total Return Index ETFs (TRI ETFs), which are low-cost index replicating ETFs that use an innovative Investment structure know as a Total Return Swap (TRS) to deliv ...
... Horizons ETFs believes that investors should pay as little as possible for passive market returns. That’s the idea behind our family of Total Return Index ETFs (TRI ETFs), which are low-cost index replicating ETFs that use an innovative Investment structure know as a Total Return Swap (TRS) to deliv ...
Towards a Theory of Volatility Trading
... the variance between the 2 maturities, and developed the notion of forward variance. Following Heath, Jarrow and Morton[19](HJM), Dupire modelled the evolution of the term structure of this forward variance, thereby developing the first stochastic volatility model in which the market price of volati ...
... the variance between the 2 maturities, and developed the notion of forward variance. Following Heath, Jarrow and Morton[19](HJM), Dupire modelled the evolution of the term structure of this forward variance, thereby developing the first stochastic volatility model in which the market price of volati ...
Introduction To Options - Michigan State University
... seller is obligated to take the opposite futures position at the same strike price. Because of the seller’s obligation to take a futures position if the option is exercised, an option seller must post a margin and faces the possibility that the margin will be called if the market moves against his o ...
... seller is obligated to take the opposite futures position at the same strike price. Because of the seller’s obligation to take a futures position if the option is exercised, an option seller must post a margin and faces the possibility that the margin will be called if the market moves against his o ...
BARCLAYS BANK PLC /ENG/ (Form: FWP, Received
... sole discretion and without your consent on any trading day on or after the inception date until and including maturity. The Performance of the Underlying Index is Unpredictable: An investment in the ETNs is subject to risks associated with fluctuations, particularly a decline, in the performance of ...
... sole discretion and without your consent on any trading day on or after the inception date until and including maturity. The Performance of the Underlying Index is Unpredictable: An investment in the ETNs is subject to risks associated with fluctuations, particularly a decline, in the performance of ...
The Round-the-Clock Market for US Treasury Securities
... may originate anywhere. For example, business hours among the locations overlap somewhat: traders in London may continue to transact in their afternoon while morning activity picks up in New York. Traders may also transact from one location during another location’s business hours. In fact, some pri ...
... may originate anywhere. For example, business hours among the locations overlap somewhat: traders in London may continue to transact in their afternoon while morning activity picks up in New York. Traders may also transact from one location during another location’s business hours. In fact, some pri ...
Longshots, Overconfidence and Efficiency on the Iowa Electronic Market
... different context than a betting market, context effects may reinforce, weaken or eliminate the longshot bias. Third, the market structure may reduce or reverse the bias. While it is not apparent what the effect will be in context, some evidence suggests that structure matters. Woodland and Woodland ...
... different context than a betting market, context effects may reinforce, weaken or eliminate the longshot bias. Third, the market structure may reduce or reverse the bias. While it is not apparent what the effect will be in context, some evidence suggests that structure matters. Woodland and Woodland ...
Anatomy of a Bond Futures Contract Delivery Squeeze
... exchanges need to be very concerned about ensuring that squeezes do not take place, since they are accompanied by severe price distortions, and also some erosion of depth for customer buy trades, which randomly penalize hedgers. Second, exchanges should mark-to-market the specifications of their con ...
... exchanges need to be very concerned about ensuring that squeezes do not take place, since they are accompanied by severe price distortions, and also some erosion of depth for customer buy trades, which randomly penalize hedgers. Second, exchanges should mark-to-market the specifications of their con ...
PDF
... We assume consumers to be heterogeneous in their preferences towards NIP and IP products. Because we assume heterogeneous consumer preferences, we also assume separate markets for IP and NIP products. There is also a market for a product, S, that substitutes for the commodity NIP. We assume that the ...
... We assume consumers to be heterogeneous in their preferences towards NIP and IP products. Because we assume heterogeneous consumer preferences, we also assume separate markets for IP and NIP products. There is also a market for a product, S, that substitutes for the commodity NIP. We assume that the ...
Commodity Market Maps and Price Bulletins
... Even without an established monitoring system, an analyst should be able to surmise some general potential food security outcomes stemming from changes in cross‐border trade flows or volumes. Information on agricultural production within the country and across borders provides a first step in asse ...
... Even without an established monitoring system, an analyst should be able to surmise some general potential food security outcomes stemming from changes in cross‐border trade flows or volumes. Information on agricultural production within the country and across borders provides a first step in asse ...
The information content of an open limit-order book
... A majority of equity and derivative markets around the world are organized as electronic limit-order books. Such equity markets include the Electronic Communication Networks (ECNs) in the United States, the Toronto Stock Exchange, and the Hong Kong Stock Exchange. Electronic trading platforms in der ...
... A majority of equity and derivative markets around the world are organized as electronic limit-order books. Such equity markets include the Electronic Communication Networks (ECNs) in the United States, the Toronto Stock Exchange, and the Hong Kong Stock Exchange. Electronic trading platforms in der ...
Index Derivatives Reference Manual
... A futures contract is an exchange-traded contract that is used for both hedging (risk management) and directional trading (income generation). The buyer of a futures contract establishes a long position; the seller establishes a short position. Subsequent to the initiation of a position, futures con ...
... A futures contract is an exchange-traded contract that is used for both hedging (risk management) and directional trading (income generation). The buyer of a futures contract establishes a long position; the seller establishes a short position. Subsequent to the initiation of a position, futures con ...
Equity Quantitative Study - International Swaps and Derivatives
... to eliminate data-entry errors and certain trade-reporting idiosyncrasies. For example, when reporting conversion trades (buy a put and sell a call with the same strike) or “reverse conversions”, which have two legs, counterparties often tend to report a premium of 1 for each leg rather than the act ...
... to eliminate data-entry errors and certain trade-reporting idiosyncrasies. For example, when reporting conversion trades (buy a put and sell a call with the same strike) or “reverse conversions”, which have two legs, counterparties often tend to report a premium of 1 for each leg rather than the act ...
Lecture 09: Multi-period Model Fixed Income, Futures, Swaps
... The term structure are bond prices at a particular point in time. This is a cross section of prices. • time series properties: how do interest rates evolve as time goes by? • Time series view is the relevant view for an investor how tries to decide what kind of bonds to invest into, or what kind of ...
... The term structure are bond prices at a particular point in time. This is a cross section of prices. • time series properties: how do interest rates evolve as time goes by? • Time series view is the relevant view for an investor how tries to decide what kind of bonds to invest into, or what kind of ...
Official Listing - European Commission
... regular disclosure from listed companies (e.g. by requiring half-yearly financial reports). The idea at the time was that issuers would seek parallell listing at more than one stock exchange, and that a framework for mutual recognition between the competent authorities would simplify such developmen ...
... regular disclosure from listed companies (e.g. by requiring half-yearly financial reports). The idea at the time was that issuers would seek parallell listing at more than one stock exchange, and that a framework for mutual recognition between the competent authorities would simplify such developmen ...
derivatives - Borsa İstanbul
... To take a position in FX futures and options, you will need to deposit the required margin. It is sufficient that you deposit the required margin. If your margin falls below maintenance level, you will receive a margin call and you will need to increase your margin to the initial margin requirement ...
... To take a position in FX futures and options, you will need to deposit the required margin. It is sufficient that you deposit the required margin. If your margin falls below maintenance level, you will receive a margin call and you will need to increase your margin to the initial margin requirement ...
2.07 Clearing Rules Cash Market
... (2) All exchange transactions in non-CCP-eligible securities shall be cleared directly between the contractual partners, specifically at the latest on the second exchange trading day after the day the trade was executed. (3) At the end of the day on which a trade has been executed, the trade informa ...
... (2) All exchange transactions in non-CCP-eligible securities shall be cleared directly between the contractual partners, specifically at the latest on the second exchange trading day after the day the trade was executed. (3) At the end of the day on which a trade has been executed, the trade informa ...
esma_priips_euronext_reply_form_jan_29
... The proposed set up of a Key Information Document (“KID”) and its application on listed derivatives With the introduction of the PRIIPs Regulation, legislators are seeking to introduce a coordinated set of transparency rules for these products when offered to retail investors. This is to ensure that ...
... The proposed set up of a Key Information Document (“KID”) and its application on listed derivatives With the introduction of the PRIIPs Regulation, legislators are seeking to introduce a coordinated set of transparency rules for these products when offered to retail investors. This is to ensure that ...
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.