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Note: Broker-dealers are required to disclose any material
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. ...
Responsible Asset Management
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 ...
Expiration Day Effects of the EURO STOXX 50 Index Futures and
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 ...
2 Economic analysis of the pricing of market data services
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. ...
Evidence from when-issued transactions
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 ...
Gain, Loss and Asset Pricing
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. ...
Option pricing with discrete dividends
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 ...
NBIM DIscussIoN NoTE Momentum in Futures Market
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 ...
Study of statistical correlations in intraday and daily financial
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 types of investors drive commonality in
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 ...
A Beginner`s Guide to Indian Commodity Futures Markets
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 ...
Investor Sentiment and Beta Pricing
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 ...
Just what you need to know about Variance Swaps
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 ...
Just what you need to know about Variance Swaps
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 ...
The Impact of the French Securities Transaction Tax on Market
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 ...
US Treasury Market US Treasury Market
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 ...
BARCLAYS BANK PLC /ENG/ (Form: FWP, Received
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, ...
Over/Under-Reaction of Stock Markets
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 ...
Page 1 of 5 Q1 2017 100.00% 95.64% 3.93% 0.43% 90.72
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 ...
Option Spread and Combination Trading
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 ...
Sentiment Dynamics and Stock Returns: The Case of
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 ...
Hedge Funds and the Technology Bubble
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 ...
Asset Pricing When Traders Sell Extreme Winners and Losers
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 ...
Proceedings of 7th Annual American Business Research Conference
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 ...
IPO Underpricing in a Simultaneous Equations Model of Supply and
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. ...
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Algorithmic trading

Algorithmic trading, also called algo trading and blackbox trading, encompasses trading systems that are heavily reliant on complex mathematical formulas and high-speed, computer programs to determine trading strategies. These strategies use electronic platforms to enter trading orders with an algorithm which executes pre-programmed trading instructions accounting for a variety of variables such as timing, price, and volume. Algorithmic trading is widely used by investment banks, pension funds, mutual funds, and other buy-side (investor-driven) institutional traders, to divide large trades into several smaller trades to manage market impact and risk.Algorithmic trading may be used in any investment strategy or trading strategy, including market making, inter-market spreading, arbitrage, or pure speculation (including trend following). The investment decision and implementation may be augmented at any stage with algorithmic support or may operate completely automatically.Many types of algorithmic or automated trading activities can be described as high-frequency trading (HFT), which is a specialized form of algorithmic trading characterized by high turnover and high order-to-trade ratios. As a result, in February 2012, the Commodity Futures Trading Commission (CFTC) formed a special working group that included academics and industry experts to advise the CFTC on how best to define HFT. HFT strategies utilize computers that make elaborate decisions to initiate orders based on information that is received electronically, before human traders are capable of processing the information they observe. Algorithmic trading and HFT have resulted in a dramatic change of the market microstructure, particularly in the way liquidity is provided.Profitability projections by the TABB Group, a financial services industry research firm, for the US equities HFT industry were US$1.3 billion before expenses for 2014, significantly down on the maximum of US$21 billion that the 300 securities firms and hedge funds that then specialized in this type of trading took in profits in 2008, which the authors had then called ""relatively small"" and ""surprisingly modest"" when compared to the market's overall trading volume. In March 2014, Virtu Financial, a high-frequency trading firm, reported that during five years the firm as a whole was profitable on 1,277 out of 1,278 trading days, losing money just one day, empirically demonstrating the law of large numbers benefit of trading thousands to millions of tiny, low-risk and low-edge trades every trading day.A third of all European Union and United States stock trades in 2006 were driven by automatic programs, or algorithms. As of 2009, studies suggested HFT firms accounted for 60-73% of all US equity trading volume, with that number falling to approximately 50% in 2012. In 2006, at the London Stock Exchange, over 40% of all orders were entered by algorithmic traders, with 60% predicted for 2007. American markets and European markets generally have a higher proportion of algorithmic trades than other markets, and estimates for 2008 range as high as an 80% proportion in some markets. Foreign exchange markets also have active algorithmic trading (about 25% of orders in 2006). Futures markets are considered fairly easy to integrate into algorithmic trading, with about 20% of options volume expected to be computer-generated by 2010. Bond markets are moving toward more access to algorithmic traders.Algorithmic trading and HFT have been the subject of much public debate since the U.S. Securities and Exchange Commission and the Commodity Futures Trading Commission said in reports that an algorithmic trade entered by a mutual fund company triggered a wave of selling that led to the 2010 Flash Crash. The same reports found HFT strategies may have contributed to subsequent volatility by rapidly pulling liquidity from the market. As a result of these events, the Dow Jones Industrial Average suffered its second largest intraday point swing ever to that date, though prices quickly recovered. (See List of largest daily changes in the Dow Jones Industrial Average.) A July, 2011 report by the International Organization of Securities Commissions (IOSCO), an international body of securities regulators, concluded that while ""algorithms and HFT technology have been used by market participants to manage their trading and risk, their usage was also clearly a contributing factor in the flash crash event of May 6, 2010."" However, other researchers have reached a different conclusion. One 2010 study found that HFT did not significantly alter trading inventory during the Flash Crash. Some algorithmic trading ahead of index fund rebalancing transfers profits from investors.
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