ESPP Prospectus 2016: 2nd offering period
... Presentation of financial information
Certain financial and other information presented in this prospectus may have been rounded off for the purpose of making this
prospectus more easily accessible for the reader. As a result, the figures in certain columns may not exactly add up with the stated
LULD Plan 12th Amendment Plan Text (FINAL with markings)
... Eligible Reported Transactions for the NMS Stock have occurred over the immediately preceding fiveminute period, the previous Reference Price shall remain in effect. The Price Bands for an NMS Stock
shall be calculated by applying the Percentage Parameter for such NMS Stock to the Reference Price,
THU VI?N PHÁP LU?T
... issuance and payment conditions, assurance of legitimate rights and benefits of investors and
3. Conditions for public offering of fund certificates to the public include:
a/ The total value of fund certificates registered for offering is at least VND 50 billion;
b/ There are an is ...
High Idiosyncratic Volatility and Low Returns
... and is also observed in the larger sample of 23 developed markets. Second and perhaps most interesting, the negative spread in returns between stocks with high and low idiosyncratic volatility in international markets strongly comoves with the difference in returns between U.S. stocks
with high and ...
... We operate the leading electronic global futures and over-the-counter, or OTC, marketplace for trading a broad array of energy products. We
are the only marketplace to offer an integrated electronic platform for side-by-side trading of energy products in both futures and OTC markets.
Through our ele ...
Quantitative Easing and Volatility Spillovers across
... Recent literature also links monetary policy to systemic risk. For example, Jimenez, Ongena, Peydro and
Suarina (2014) show that monetary policy in the form of low interest rates is a potential source of
systemic risk because it leads to bank risk taking. Allen (2014) argues that systemic risk is en ...
NASDAQ OMX GROUP, INC. (Form: 10-K, Received
... listing, and public company services across six continents. Our global offerings are diverse and include trading and clearing
across multiple asset classes, market data products, financial indexes, capital formation solutions, financial services,
corporate solutions and market technology products an ...
The Performance of Individual Investors in Structured Financial
... leverage certificates by an economically large 3.5% and 4.0%, respectively. Finding
no evidence for poor market or volatility timing, they conclude the negative gross
performance of investors is primarily driven by issuers’ margins.
From issuer’s perspective, it is often argued that structured finan ...
Portfolio Comparisons. - Artex Component System
... Final Analysis
The AECOS program allows investors to test different portfolio strategies to determine
the best mix of sectors, and the proper leverage to apply. Results for each sector are
from the Aegis investment programs. Past results cannot predict future returns, but
the AECOS program is desig ...
Optimal strategies of hedging portfolio of unit
... adverse individual prefers to have the expectation of the random variable with probability 1
rather than having a random variable where the probability is unknown. This means that
between two games with identical expectations of earnings, the agent will choose the least
risky. However, they will be ...
dollar cost averaging - the role of cognitive error
... price is relatively low, so price fluctuations will always mean that DCA investors buy at less than
the average price, regardless of the particular path taken by prices. The difference is particularly
large in the example above due to the large price movements, but any price volatility favors
DCA. O ...
On the history of the Growth Optimal Portfolio
... expanded the analysis of Kelly (1956) and discussed applications for long term investment
and gambling in a more general mathematical setting.
Calculating the growth optimal strategy is generally very difficult in discrete time and is
treated in Bellman and Kalaba (1957), Elton and Gruber (1974) and ...
Pricing Volatility Swaps Under Heston`s Stochastic
... Recently, there has been a considerable interest in pricing and hedging variance
swaps and volatility swaps. Grünbuchler and Longstaff (1996) developed pricing
models for options on variance based on Heston’s stochastic volatility model. Carr
and Madan (1998) showed how derivatives on volatility c ...
Low volatility anomaly and mutual fund allocations - Aalto
... and expected return is tenuous: “Volatility and long-term average returns are positively related
across assets classes.” and “However, the most volatile assets within each asset class – highvolatility stocks, 30-year Treasuries, and CCC-rated corporate – tend to offer low long-run
returns and even w ...
Chapter 22 Futures Markets
... A. maintains that for most commodities, there are natural hedgers who desire to shed risk.
B. maintains that speculators will enter the long side of the contract only if the futures price is
below the expected spot price.
C. assumes that risk premiums in the futures markets are based on systematic r ...
Why do foreign firms leave US equity markets?
... which foreign firms would choose to deregister from U.S. markets and for the shareholder wealth
consequences of such decisions.
With the bonding theory, a cross-listing has a cost for corporate insiders, which is that they face
restrictions in consuming private benefits, and a benefit, which is that ...
Overnight Versus Intraday Expected Returns
... We first examine when institutional investors likely trade. Specifically, we link changes
in institutional ownership to the components of contemporaneous firm-level stock returns.
We find that for all institutional ownership quintiles, institutional ownership increases more
with intraday than with o ...
Momentum and Investor Sentiment
... such as the Hochiminh Stock Exchange (HOSE) in Vietnam. As in Griffin et al. (2005), a
minimum of 50 stocks are required to be listed on the stock exchange to enable momentum
and subsequent tests to be carried out. This restriction weeds out exchanges with limited
listings such as the Maldives Stoc ...
... reported the highest turnover rate of 138% with a total trading volume of over 800 million
shares in 2008. The main corresponding derivative market, the Chicago Board of Options
Exchange (CBOE), also had about 1.2 billion in total number of contracts traded. It
translates into an annual total tradin ...
The pricing of volatility risk across asset classes
... allows us to entertain the possibility of more than one priced component of stock market
volatility. When we price synthetic volatility swaps, it appears that at least one additional
volatility factor may be helpful in explaining the cross-section of swap returns.
We find that our simple two-factor ...
Influencing Control: Jawboning in Risk Arbitrage
... in those deals, the board and the management, by endorsing the deals with favored acquirers,
may not have done their due diligence to challenge the acquirers for better terms or to solicit
competing bids. These results suggest that activist risk arbitrage is potentially an important
form of governa ...
Transaction Costs, Trade Throughs, and Riskless Principal Trading
... throughs. With these results, I then obtain econometric estimates of total transaction costs and total tradethrough values for the entire market. The results have strong implications for how bond markets should
be structured and regulated.
I find that average transaction costs that customers incur w ...
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.