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 ...
Can Decentralized Markets be More Efficient?
... Association and the Bank of International Settlements, daily volume reaches on average $5.4T in the global foreign exchange market, $2.3B in the U.S. interest-rate derivative market, and $0.8T in the U.S. bond market. Despite their size, these decentralized markets are commonly thought of as opaque ...
... Association and the Bank of International Settlements, daily volume reaches on average $5.4T in the global foreign exchange market, $2.3B in the U.S. interest-rate derivative market, and $0.8T in the U.S. bond market. Despite their size, these decentralized markets are commonly thought of as opaque ...
mandlebrot
... Here, we will look at some of Mandelbrot's main contributions to the study of price behavior. The work started roughly 50 years ago and involved the creation of a new type of mathematics. Rather than focusing on accounting or simple geometry, Mandelbrot equations dealt with mathematical shapes rough ...
... Here, we will look at some of Mandelbrot's main contributions to the study of price behavior. The work started roughly 50 years ago and involved the creation of a new type of mathematics. Rather than focusing on accounting or simple geometry, Mandelbrot equations dealt with mathematical shapes rough ...
Option Pricing - AUEB e
... the underlying, while that of the call is higher than the current price of the underlying. Again, a long straddle yields a profit when there is a substantial move in the stock index in either direction. The index must move farther in a strangle than in a straddle for the strategy to yield a profit. ...
... the underlying, while that of the call is higher than the current price of the underlying. Again, a long straddle yields a profit when there is a substantial move in the stock index in either direction. The index must move farther in a strangle than in a straddle for the strategy to yield a profit. ...
The Effect of Initial Public Offers on Long run Stock Performance
... shareholders‟ wealth therefore this study endeavored to find out whether Initial Public Offers (IPOs) actually help a firm to achieve this objective in the long run. This study thus sought to find out the long run performance of a company‟s stock after it goes public. The study therefore looked at v ...
... shareholders‟ wealth therefore this study endeavored to find out whether Initial Public Offers (IPOs) actually help a firm to achieve this objective in the long run. This study thus sought to find out the long run performance of a company‟s stock after it goes public. The study therefore looked at v ...
Hedge funds have attracted significant capital inflows in the last few
... factor that buys last month worst performers and sells short last month winners is used. This alternative equity risk factor is a proxy for the payoff of an equity market neutral strategy based on short‐term mean reversion in stock returns. Managed futures offer another good example of the useful ...
... factor that buys last month worst performers and sells short last month winners is used. This alternative equity risk factor is a proxy for the payoff of an equity market neutral strategy based on short‐term mean reversion in stock returns. Managed futures offer another good example of the useful ...
Does Liquidity Affect Securities Market Efficiency?
... reasons, tests of efficiency using TradeSports data nicely complement the evidence from wagering markets, experimental markets, and conventional financial markets. To measure the liquidity of securities markets on the TradeSports exchange, I rely on two indicators designed to capture O’Hara’s (1995 ...
... reasons, tests of efficiency using TradeSports data nicely complement the evidence from wagering markets, experimental markets, and conventional financial markets. To measure the liquidity of securities markets on the TradeSports exchange, I rely on two indicators designed to capture O’Hara’s (1995 ...
PRC Paper Title - Stanford University
... In Eq.(3), an exclamation point is used to denote a factorial. Figure 1 here Associated with every path of the binomial tree is the price today of a security that pays $1 if and only if that path is realized. We term these securities path-contingent claims. We can use standard arbitrage pricing tech ...
... In Eq.(3), an exclamation point is used to denote a factorial. Figure 1 here Associated with every path of the binomial tree is the price today of a security that pays $1 if and only if that path is realized. We term these securities path-contingent claims. We can use standard arbitrage pricing tech ...
Time Variation of Liquidity in the Private Real Estate Market: An
... 1990s and rises more in the late 1990s market upswing; clearly liquidity has a large impact on reported transaction prices in these two periods.1 Goetzmann and Peng (2006) show that transaction prices in markets for heterogeneous goods provide misleading measures of both the market demand and market ...
... 1990s and rises more in the late 1990s market upswing; clearly liquidity has a large impact on reported transaction prices in these two periods.1 Goetzmann and Peng (2006) show that transaction prices in markets for heterogeneous goods provide misleading measures of both the market demand and market ...
Towards a General Theory of the Stock Market
... to be something that the proponents of the EMH have effectively challenged. (3) Bubbles in share prices sometimes occur. A ‘bubble’ occurs when a share price is above its fundamental value, but rises in price since it is bought by agents who expect to resell it at a yet higher price. So equations (1 ...
... to be something that the proponents of the EMH have effectively challenged. (3) Bubbles in share prices sometimes occur. A ‘bubble’ occurs when a share price is above its fundamental value, but rises in price since it is bought by agents who expect to resell it at a yet higher price. So equations (1 ...
Paper on Speculative evidience
... A group of securities that exhibit similar characteristics, behave similarly in the marketplace, and are subject to the same laws and regulations. Asset classes and asset class categories are often mixed together. These investment vehicles are asset class categories, and are used for diversification ...
... A group of securities that exhibit similar characteristics, behave similarly in the marketplace, and are subject to the same laws and regulations. Asset classes and asset class categories are often mixed together. These investment vehicles are asset class categories, and are used for diversification ...
Chapter 8 - Mississippi State University, College of Business
... Since equity earns a much higher return but with higher risk, it would be nice if we could invest and earn a high return but reduce the risk associated with such investments ...
... Since equity earns a much higher return but with higher risk, it would be nice if we could invest and earn a high return but reduce the risk associated with such investments ...
a japanese giant launches on the australian market
... and they needed it ready in just a ten-week period. Koji Miura, CEO of DMM FX, explained there were high expectations of the platform. “DMM FX exists in a competitive market where downtime and lag are potential business killers. When ...
... and they needed it ready in just a ten-week period. Koji Miura, CEO of DMM FX, explained there were high expectations of the platform. “DMM FX exists in a competitive market where downtime and lag are potential business killers. When ...
Equilibrium Price Dispersion with Sequential Search
... as the Diamond Paradox, is problematic for several reasons. From the empirical point of view, the result flies against the evidence documenting that there is a great deal of price dispersion for identical goods (see, e.g, Sorensen 2000 or Kaplan and Menzio 2014). From the theoretical point of view, ...
... as the Diamond Paradox, is problematic for several reasons. From the empirical point of view, the result flies against the evidence documenting that there is a great deal of price dispersion for identical goods (see, e.g, Sorensen 2000 or Kaplan and Menzio 2014). From the theoretical point of view, ...
Turnover Rate and Speculative Bubble: Empirical Study
... Secondly, due to lack of short selling mechanism in A share market, it causes rational investors can’t effectively stabilize the stock price. This also leads to speculative bubble in A share market. In addition, the turnover rate of A share market is high. The most significant external manifestation ...
... Secondly, due to lack of short selling mechanism in A share market, it causes rational investors can’t effectively stabilize the stock price. This also leads to speculative bubble in A share market. In addition, the turnover rate of A share market is high. The most significant external manifestation ...
chapter 32 institutional investors
... prices will return to fundamental value very quickly. The consequence of these agents’ actions is to eliminate the anomalous behavior of prices. While this logic is appealing in theory, many questions remain. The first and rather obvious question is: Who are these arbitrageurs in real-world financi ...
... prices will return to fundamental value very quickly. The consequence of these agents’ actions is to eliminate the anomalous behavior of prices. While this logic is appealing in theory, many questions remain. The first and rather obvious question is: Who are these arbitrageurs in real-world financi ...
The Market for OTC Derivatives
... taking offsetting long and short positions, and make profits thanks to equilibrium price dispersion. One policy question is whether the private incentives to provide intermediation ...
... taking offsetting long and short positions, and make profits thanks to equilibrium price dispersion. One policy question is whether the private incentives to provide intermediation ...
Option traders use (very) sophisticated heuristics, never the Blackâ
... foundations of option hedging and pricing were already far more firmly laid down before them. The Black–Scholes–Merton argument, simply, is that an option can be hedged using a certain methodology called “dynamic hedging” and then turned into a risk-free instrument, as the portfolio would no longer b ...
... foundations of option hedging and pricing were already far more firmly laid down before them. The Black–Scholes–Merton argument, simply, is that an option can be hedged using a certain methodology called “dynamic hedging” and then turned into a risk-free instrument, as the portfolio would no longer b ...
For immediate release Ex-Dividend date Flow Traders Amsterdam
... will occur in the future whether or not outside the control of Flow Traders. Such factors may cause actual results, performance or developments to differ materially from those expressed or implied by such forwardlooking statements. Accordingly, no undue reliance should be placed on any forward-looki ...
... will occur in the future whether or not outside the control of Flow Traders. Such factors may cause actual results, performance or developments to differ materially from those expressed or implied by such forwardlooking statements. Accordingly, no undue reliance should be placed on any forward-looki ...
Trading Volume, Price Autocorrelation and Volatility
... & Mendelson 1986 and Lo, Mamaysky & Wang 2004 find that the liquidity discount of transaction costs can be substantial, despite relatively small transaction costs. While those models argue that there exists always the liquidity premium of transaction costs, Vayanos 1998 and Cheng 2005a suggest that ...
... & Mendelson 1986 and Lo, Mamaysky & Wang 2004 find that the liquidity discount of transaction costs can be substantial, despite relatively small transaction costs. While those models argue that there exists always the liquidity premium of transaction costs, Vayanos 1998 and Cheng 2005a suggest that ...
Best-Fit Estimation Of Damaged Volume in Shareholder Class
... of some investors having a higher propensity to trade than others. If real-world investors— a group that encompasses everyone from professional arbitrageurs to participants in employee stock purchase plans—are characterized by diversity in trading propensities, as seems obvious, then a disproportion ...
... of some investors having a higher propensity to trade than others. If real-world investors— a group that encompasses everyone from professional arbitrageurs to participants in employee stock purchase plans—are characterized by diversity in trading propensities, as seems obvious, then a disproportion ...
Futurization of Swaps
... neither the CFTC nor the SEC have addressed. First, margins on futures contracts are calculated differently from and are lower than those for swaps. This is a strong reason by itself for the migration from swaps to futures. But as this migration continues and volumes of transactions cleared on futur ...
... neither the CFTC nor the SEC have addressed. First, margins on futures contracts are calculated differently from and are lower than those for swaps. This is a strong reason by itself for the migration from swaps to futures. But as this migration continues and volumes of transactions cleared on futur ...