Estimating a Structural Model of Herd Behavior in Financial Markets
... by the data, which implies both that herd behavior arises in equilibrium and that there is information content in the sequence of trades. Note that in each day of trading there is always high heterogeneity in trading decisions (i.e., even in days when the fundamental value has increased, we observe ...
... by the data, which implies both that herd behavior arises in equilibrium and that there is information content in the sequence of trades. Note that in each day of trading there is always high heterogeneity in trading decisions (i.e., even in days when the fundamental value has increased, we observe ...
Chapter 10
... Assumptions of technical analysis directly oppose the notion of efficient markets Technicians believe that stock prices move in patterns that persist and are predictable to the informed investor. Technical analysts develop systems to detect trends and patterns in prices If the capital market is weak ...
... Assumptions of technical analysis directly oppose the notion of efficient markets Technicians believe that stock prices move in patterns that persist and are predictable to the informed investor. Technical analysts develop systems to detect trends and patterns in prices If the capital market is weak ...
Slide 0 - E
... Commodities : International Environment & Trading (OFIN 2290A) 1 –International Commodities Trading Franck Pradier – Commodities Derivatives Trading– February 2008 ...
... Commodities : International Environment & Trading (OFIN 2290A) 1 –International Commodities Trading Franck Pradier – Commodities Derivatives Trading– February 2008 ...
Exercises - lasse h. pedersen
... Selection vs. Timing. Explain the meanings of market timing and security selection, highlighting their similarities and differences. ...
... Selection vs. Timing. Explain the meanings of market timing and security selection, highlighting their similarities and differences. ...
The Stock Market
... the laptops determine 9 companies you wish to buy stock in, how much the stock is worth currently, and how much money you would have invested in that stock. – Turn to page 36 in your workbooks – Using the stapled packet I have given you pick nine companies, go to Google and type in ...
... the laptops determine 9 companies you wish to buy stock in, how much the stock is worth currently, and how much money you would have invested in that stock. – Turn to page 36 in your workbooks – Using the stapled packet I have given you pick nine companies, go to Google and type in ...
Price jump prediction in a limit order book
... give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that the liquidity balance on the best bid/best ask is quite informative for predicting the future market order’s direction. Moreover, we define price jump as a sell (buy) market order arriv ...
... give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that the liquidity balance on the best bid/best ask is quite informative for predicting the future market order’s direction. Moreover, we define price jump as a sell (buy) market order arriv ...
Study on Diversification Benefits and Financial Market Integration
... The financial markets around the world became more integrated due to development of technologies and an increase of cross-border investments and foreign direct investments. Financial market integration and openness (e.g., liberalization and deregulation) may discipline domestic economic policies and ...
... The financial markets around the world became more integrated due to development of technologies and an increase of cross-border investments and foreign direct investments. Financial market integration and openness (e.g., liberalization and deregulation) may discipline domestic economic policies and ...
Name __________________ Eco 201: Homework 2
... If your income is $10,000, your price elasticity of demand as the price of compact discs rises from $8 to $10 [Formula = [(Qi – Qf)/ Qi ]/[(Pi – Pf)/ Pi ] sometimes the formula will give a negative number but remember its an absolute value, so it is always positive, thus the calculation [(40 - 32)/4 ...
... If your income is $10,000, your price elasticity of demand as the price of compact discs rises from $8 to $10 [Formula = [(Qi – Qf)/ Qi ]/[(Pi – Pf)/ Pi ] sometimes the formula will give a negative number but remember its an absolute value, so it is always positive, thus the calculation [(40 - 32)/4 ...
Optimal basket liquidation with finite time
... controls. As a result, the corresponding Hamilton-Jacobi-Bellman (HJB) equation involves an infinite initial condition and cannot be solved in general. The case of exponential utility, however, exhibits a close connection to classical mechanics, and we are able to construct a classical solution to o ...
... controls. As a result, the corresponding Hamilton-Jacobi-Bellman (HJB) equation involves an infinite initial condition and cannot be solved in general. The case of exponential utility, however, exhibits a close connection to classical mechanics, and we are able to construct a classical solution to o ...
Morningstar US Market Factor Tilt Index
... allows us to set separately degrees of value tilting and size tilting, each on a scale from 0 (no tilt) to 1 (full tilt). To select which combination of settings for thee tilting parameters, we first create 25 portfolios by using values of 0.1, 0.2, 0.3, 0.4, 0.5 for each of two parameters. We then ...
... allows us to set separately degrees of value tilting and size tilting, each on a scale from 0 (no tilt) to 1 (full tilt). To select which combination of settings for thee tilting parameters, we first create 25 portfolios by using values of 0.1, 0.2, 0.3, 0.4, 0.5 for each of two parameters. We then ...
Technical Analysis Around the World: Does it Ever Add Value?
... The evidence of profitability over and above transactions costs appears to be the most compelling in emerging markets. Parisi and Vasquez (2000) document large profits to the BLL (1992) trading rules in the Chilean stock market. They do not consider transactions costs, however, several other authors ...
... The evidence of profitability over and above transactions costs appears to be the most compelling in emerging markets. Parisi and Vasquez (2000) document large profits to the BLL (1992) trading rules in the Chilean stock market. They do not consider transactions costs, however, several other authors ...
Durability, Re-trading and Market Performance
... investigate why efficiencies remain low throughout the RT experiments, we summarize each trader type’s trading activities. In Figure 6, each subject’s buying and selling activities are sampled over 4 RT experiments covering a total of 40 trading periods. The first question is whether subject types s ...
... investigate why efficiencies remain low throughout the RT experiments, we summarize each trader type’s trading activities. In Figure 6, each subject’s buying and selling activities are sampled over 4 RT experiments covering a total of 40 trading periods. The first question is whether subject types s ...
THE BEHAVIOR OF MALAYSIAN STOCK MARKET
... corporate finance. The most prominent of the studies is the efficient market hypothesis (EMH) which was introduced by Fama, Fisher, Jensen, and Roll in 1969 (Fama, 1991; Fama, 1998). This line of research advocates an economically efficient market whereby the behavior of markets can be predicted and ...
... corporate finance. The most prominent of the studies is the efficient market hypothesis (EMH) which was introduced by Fama, Fisher, Jensen, and Roll in 1969 (Fama, 1991; Fama, 1998). This line of research advocates an economically efficient market whereby the behavior of markets can be predicted and ...
modeling high-frequency dynamics of financial markets in
... This paper introduces an econometric framework that can be used to study short-run liquidity provision in limit order markets. This model can be applied with minor modifications to any sequence of events that occur at random, rather than predetermined, time intervals. In the context of electronic li ...
... This paper introduces an econometric framework that can be used to study short-run liquidity provision in limit order markets. This model can be applied with minor modifications to any sequence of events that occur at random, rather than predetermined, time intervals. In the context of electronic li ...
High frequency trading: assessing the impact on market
... These market operators would be able to offset some of the cost of the rebate from ‘tape-revenue’. ...
... These market operators would be able to offset some of the cost of the rebate from ‘tape-revenue’. ...
Paying for Market Quality
... Our study complements Mann, Venkataraman, and Waisburd (2004) in that we focus on stocks that are traded in a continuous market. Therefore, our focus is not on market failure but on the impact of market-maker adoption on conventional measures of market quality such as spreads, depth and volatility. ...
... Our study complements Mann, Venkataraman, and Waisburd (2004) in that we focus on stocks that are traded in a continuous market. Therefore, our focus is not on market failure but on the impact of market-maker adoption on conventional measures of market quality such as spreads, depth and volatility. ...
Mariner Investment Group Adds Fourth Portfolio Team to Mariner
... The Mariner team will employ a derivatives relative-value strategy that capitalizes on Mr. Loflin’s experience in structuring, analyzing, and managing portfolios of derivative securities at banks and hedge funds since 1999. The strategy will identify and seek to exploit recurring dislocations in der ...
... The Mariner team will employ a derivatives relative-value strategy that capitalizes on Mr. Loflin’s experience in structuring, analyzing, and managing portfolios of derivative securities at banks and hedge funds since 1999. The strategy will identify and seek to exploit recurring dislocations in der ...
Investing in Stocks
... However, traditionally, half of that return was from dividends Stockholders used to expect 4% to 6% in dividends ...
... However, traditionally, half of that return was from dividends Stockholders used to expect 4% to 6% in dividends ...
DOC - Europa.eu
... reasons and since 2008 prices are fairly stable and less volatile than, for example, most energy commodities. There is no evidence of any pattern between the influx of investors and volatility in carbon prices. ...
... reasons and since 2008 prices are fairly stable and less volatile than, for example, most energy commodities. There is no evidence of any pattern between the influx of investors and volatility in carbon prices. ...
Multi-market Trading and Liquidity: Evidence from Cross
... Atanasova: Corresponding author; Beedie School of Business, Simon Fraser University, 8888 University Drive, Burnaby, BC V5A 1S6, Canada. E-mail: [email protected]. Gatev: Simon Fraser University. Li: Simon Fraser University. ...
... Atanasova: Corresponding author; Beedie School of Business, Simon Fraser University, 8888 University Drive, Burnaby, BC V5A 1S6, Canada. E-mail: [email protected]. Gatev: Simon Fraser University. Li: Simon Fraser University. ...
re-examining risk tolerance using worst
... diversified among various stock categories, and a commitment of less than 10% would not have a meaningful effect. Their bond holding can remain at 5% because of their other fixed-income assets—the pension and Social Security payments. Of course, the next question the Pinkertons must contend with is ...
... diversified among various stock categories, and a commitment of less than 10% would not have a meaningful effect. Their bond holding can remain at 5% because of their other fixed-income assets—the pension and Social Security payments. Of course, the next question the Pinkertons must contend with is ...
Informational overshooting, booms, and crashes
... This paper presents an explanation to stock markets’ booms and crashes, which is based on informational dynamics. Episodes of booms and crashes have occured in many stock markets since the famous South Sea Bubble.1 The US stock market has experienced two such episodes during this century: the boom a ...
... This paper presents an explanation to stock markets’ booms and crashes, which is based on informational dynamics. Episodes of booms and crashes have occured in many stock markets since the famous South Sea Bubble.1 The US stock market has experienced two such episodes during this century: the boom a ...