Note: Broker-dealers are required to disclose any material
... Note: Broker-dealers are required to disclose any material arrangements with the venues listed in each section below, including, but not limited to, any internalization or payment for order flow arrangements. ...
... Note: Broker-dealers are required to disclose any material arrangements with the venues listed in each section below, including, but not limited to, any internalization or payment for order flow arrangements. ...
Responsible Asset Management
... A short-term purchase strategy poses risks should the anticipated price swing not materialize; RAM, may then be left with the option of having a long-term investment in a security that was designed to be a short-term purchase, or potentially taking a loss. In addition, this strategy involves more fr ...
... A short-term purchase strategy poses risks should the anticipated price swing not materialize; RAM, may then be left with the option of having a long-term investment in a security that was designed to be a short-term purchase, or potentially taking a loss. In addition, this strategy involves more fr ...
Expiration Day Effects of the EURO STOXX 50 Index Futures and
... underlying index. These effects are known in the literature as expiration day effects. Several empirical studies have reported significant volume, price and volatility effects around the expiration of index futures and options. The most common explanations include the unwinding of delta positions as ...
... underlying index. These effects are known in the literature as expiration day effects. Several empirical studies have reported significant volume, price and volatility effects around the expiration of index futures and options. The most common explanations include the unwinding of delta positions as ...
2 Economic analysis of the pricing of market data services
... regarding the European Commission’s proposals to amend the Markets in Financial Instrument Directive (MiFID), but the final text had not yet been published. ...
... regarding the European Commission’s proposals to amend the Markets in Financial Instrument Directive (MiFID), but the final text had not yet been published. ...
Evidence from when-issued transactions
... Perhaps more important, we examine the sample period July 1992 to August 1993, a period in which both uniform price and discriminatory auctions were used by the Treasury, This allows us to provide some preliminary evidence on the impact of auction design on when-issued volume and volatility and the ...
... Perhaps more important, we examine the sample period July 1992 to August 1993, a period in which both uniform price and discriminatory auctions were used by the Treasury, This allows us to provide some preliminary evidence on the impact of auction design on when-issued volume and volatility and the ...
Gain, Loss and Asset Pricing
... (cf. Footnote 4). Therefore we need to develop an alternative to the Sharpe ratio that is compatible with the notion of arbitrage when returns are not normal. ...
... (cf. Footnote 4). Therefore we need to develop an alternative to the Sharpe ratio that is compatible with the notion of arbitrage when returns are not normal. ...
Option pricing with discrete dividends
... adjustment to the BSM formula. The adjustment consists of replacing the stock price S0 by the stock price minus the present value of the dividend S0 − e−rtD D, where D is the size of the cash dividend to be paid at time tD . Because the stock price is lowered, the approach will typically lead to too ...
... adjustment to the BSM formula. The adjustment consists of replacing the stock price S0 by the stock price minus the present value of the dividend S0 − e−rtD D, where D is the size of the cash dividend to be paid at time tD . Because the stock price is lowered, the approach will typically lead to too ...
NBIM DIscussIoN NoTE Momentum in Futures Market
... global equities and bonds. The authors show that this diversification effect holds for different portfolio weighing schemes. Moskowitz, Ooi and Pedersen (2012) show empirically that time-series momentum strategies in the futures market have payoffs similar to an option straddle on equity markets, de ...
... global equities and bonds. The authors show that this diversification effect holds for different portfolio weighing schemes. Moskowitz, Ooi and Pedersen (2012) show empirically that time-series momentum strategies in the futures market have payoffs similar to an option straddle on equity markets, de ...
Study of statistical correlations in intraday and daily financial
... what extent?” have been long debated on by economists, econometricians and practitioners of finance [3]. It is now accepted that the market is weakly efficient (at least to some extent and in certain time scales), and that several quantities like the price returns, volatility, traded volume, etc. do ...
... what extent?” have been long debated on by economists, econometricians and practitioners of finance [3]. It is now accepted that the market is weakly efficient (at least to some extent and in certain time scales), and that several quantities like the price returns, volatility, traded volume, etc. do ...
What types of investors drive commonality in
... and Viswanathan (2010), estimating the strength of commonality through sensitivity of changes in individual stock liquidity to changes in market liquidity. Second, following methodology by Chordia et al. (2000) we measure commonality in liquidity through the level of explanatory power when regressin ...
... and Viswanathan (2010), estimating the strength of commonality through sensitivity of changes in individual stock liquidity to changes in market liquidity. Second, following methodology by Chordia et al. (2000) we measure commonality in liquidity through the level of explanatory power when regressin ...
A Beginner`s Guide to Indian Commodity Futures Markets
... changes, from the barter system to spot markets to futures markets. In the past few decades, trading in commodity futures has also evolved from “open-outcry” methods (which involved trading through a combination of hand signals and verbal orders in trading pits) to computer-powered electronic tradin ...
... changes, from the barter system to spot markets to futures markets. In the past few decades, trading in commodity futures has also evolved from “open-outcry” methods (which involved trading through a combination of hand signals and verbal orders in trading pits) to computer-powered electronic tradin ...
Investor Sentiment and Beta Pricing
... and Brunnermeier and Nagel (2004) show that such extrapolative expectations are particularly pronounced among inexperienced investors. Consistent with these views, Grinblatt and Keloharju (2001) and Lamont and Thaler (2003) document that unsophisticated investors are more likely to enter the stock m ...
... and Brunnermeier and Nagel (2004) show that such extrapolative expectations are particularly pronounced among inexperienced investors. Consistent with these views, Grinblatt and Keloharju (2001) and Lamont and Thaler (2003) document that unsophisticated investors are more likely to enter the stock m ...
Just what you need to know about Variance Swaps
... short), effect transactions or make markets in securities or financial instruments mentioned herein (or options with respect thereto), or provide advice or loans to, or participate in the underwriting or restructuring of the obligations of, issuers mentioned herein. The information contained herein ...
... short), effect transactions or make markets in securities or financial instruments mentioned herein (or options with respect thereto), or provide advice or loans to, or participate in the underwriting or restructuring of the obligations of, issuers mentioned herein. The information contained herein ...
Just what you need to know about Variance Swaps
... short), effect transactions or make markets in securities or financial instruments mentioned herein (or options with respect thereto), or provide advice or loans to, or participate in the underwriting or restructuring of the obligations of, issuers mentioned herein. The information contained herein ...
... short), effect transactions or make markets in securities or financial instruments mentioned herein (or options with respect thereto), or provide advice or loans to, or participate in the underwriting or restructuring of the obligations of, issuers mentioned herein. The information contained herein ...
The Impact of the French Securities Transaction Tax on Market
... Hau (1998) also develops a model in which endogenous entry of traders may increase the capacity of the market to absorb exogenous supply risk, but at the same time it adds noise and endogenous trading risk. The competitive entry equilibrium is characterized by excessive market entry and excessively ...
... Hau (1998) also develops a model in which endogenous entry of traders may increase the capacity of the market to absorb exogenous supply risk, but at the same time it adds noise and endogenous trading risk. The competitive entry equilibrium is characterized by excessive market entry and excessively ...
US Treasury Market US Treasury Market
... This research report has been prepared and issued by MLPF&S and/or one or more of its non-U.S. affiliates. MLPF&S is the distributor of this research report in the U.S. and accepts full responsibility for research reports of its non-U.S. affiliates distributed in the U.S. Any U.S. person receiving t ...
... This research report has been prepared and issued by MLPF&S and/or one or more of its non-U.S. affiliates. MLPF&S is the distributor of this research report in the U.S. and accepts full responsibility for research reports of its non-U.S. affiliates distributed in the U.S. Any U.S. person receiving t ...
BARCLAYS BANK PLC /ENG/ (Form: FWP, Received
... underlying index between the inception date and the applicable valuation date. Additionally, if the level of the underlying index is insufficient to offset the negative effect of the investor fee and other applicable costs, you will lose some or all of your investment at maturity or upon redemption, ...
... underlying index between the inception date and the applicable valuation date. Additionally, if the level of the underlying index is insufficient to offset the negative effect of the investor fee and other applicable costs, you will lose some or all of your investment at maturity or upon redemption, ...
Over/Under-Reaction of Stock Markets
... • Average returns that are positive in all but one time period (1975 to 1979) • Negative January returns during this period January are from small firms • Positive profits in each of the five year periods for medium and large firms especially when January is excluded ...
... • Average returns that are positive in all but one time period (1975 to 1979) • Negative January returns during this period January are from small firms • Positive profits in each of the five year periods for medium and large firms especially when January is excluded ...
Page 1 of 5 Q1 2017 100.00% 95.64% 3.93% 0.43% 90.72
... For Quarter Ending March 31, 2017 UBS Financial Services Inc. has prepared this report pursuant to a U.S. Securities and Exchange Commission rule requiring all brokerage firms to make publicly available quarterly reports on their order routing practices. The report provides information on the routin ...
... For Quarter Ending March 31, 2017 UBS Financial Services Inc. has prepared this report pursuant to a U.S. Securities and Exchange Commission rule requiring all brokerage firms to make publicly available quarterly reports on their order routing practices. The report provides information on the routin ...
Option Spread and Combination Trading
... options markets are the most heavily traded short-term interest rate futures and options markets respectively in the world. Like some other executing brokers, Bear Brokerage regularly stations an observer at the periphery of the Eurodollar option and futures pits with instructions to record all opt ...
... options markets are the most heavily traded short-term interest rate futures and options markets respectively in the world. Like some other executing brokers, Bear Brokerage regularly stations an observer at the periphery of the Eurodollar option and futures pits with instructions to record all opt ...
Sentiment Dynamics and Stock Returns: The Case of
... sentiment would contradict this view. Such an argument neglects the additional source of risk introduced by non-fundamental traders via their potentially erratic changes of mood and sentiment-based trading. This source of noise trader risk has been investigated by Black (1986) and DeLong et al. (1 ...
... sentiment would contradict this view. Such an argument neglects the additional source of risk introduced by non-fundamental traders via their potentially erratic changes of mood and sentiment-based trading. This source of noise trader risk has been investigated by Black (1986) and DeLong et al. (1 ...
Hedge Funds and the Technology Bubble
... specialist funds—there are no aggressive reductions in hedge funds’ exposure to the technology segment prior the price peak on NASDAQ in March 2000. However, the technology bubble was not a homogenous event, where all stocks peaked in March 2000. Price peaks for many individual technology stocks oc ...
... specialist funds—there are no aggressive reductions in hedge funds’ exposure to the technology segment prior the price peak on NASDAQ in March 2000. However, the technology bubble was not a homogenous event, where all stocks peaked in March 2000. Price peaks for many individual technology stocks oc ...
Asset Pricing When Traders Sell Extreme Winners and Losers
... schedule (selling – buying), which corresponds to investors’ demand. Second, I estimate the relative magnitude of demand perturbation on the gain side versus that on the loss side, so that later we can see if the price effects from the two sides are consistent with this relation. I conduct analysis ...
... schedule (selling – buying), which corresponds to investors’ demand. Second, I estimate the relative magnitude of demand perturbation on the gain side versus that on the loss side, so that later we can see if the price effects from the two sides are consistent with this relation. I conduct analysis ...
Proceedings of 7th Annual American Business Research Conference
... shareholders of to-be-delisted firms have a strong incentive to use their private information at the expense of outside investors in the Japanese market. There have been a few empirical studies on delisting in the U.S. market, which document that the delisting decision has a significant negative eff ...
... shareholders of to-be-delisted firms have a strong incentive to use their private information at the expense of outside investors in the Japanese market. There have been a few empirical studies on delisting in the U.S. market, which document that the delisting decision has a significant negative eff ...
IPO Underpricing in a Simultaneous Equations Model of Supply and
... the insider management from trading non-offered shares for 180 days similar to the U.S. ...
... the insider management from trading non-offered shares for 180 days similar to the U.S. ...