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ESPP Prospectus 2016: 2nd offering period
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 tot ...
LULD Plan 12th Amendment Plan Text (FINAL with markings)
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, ...
exhibit 1 - New York Stock Exchange
exhibit 1 - New York Stock Exchange

... Limitations on Trades and Quotations Outside of Price Bands ...
THU VI?N PHÁP LU?T
THU VI?N PHÁP LU?T

... issuance and payment conditions, assurance of legitimate rights and benefits of investors and other conditions. 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
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 ...
INTERCONTINENTALEXCHANGE INC
INTERCONTINENTALEXCHANGE INC

... 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 ...
Long-Short Commodity Investing - EDHEC
Long-Short Commodity Investing - EDHEC

Quantitative Easing and Volatility Spillovers across
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... 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
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... 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 ...
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... 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
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
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 ...
On the history of the Growth Optimal Portfolio
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 ...
dollar cost averaging - the role of cognitive error
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... 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 ...
Low volatility anomaly and mutual fund allocations - Aalto
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
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... 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 ...
Pricing Volatility Swaps Under Heston`s Stochastic
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 ...
ABSTRACT ESSAYS ON UNIFORM PRICE AUCTIONS Mat´ıas Herrera Dappe Doctor of Philosophy, 2009
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... Independent System Operator allocates installed capacity payments through a sequence of monthly uniform price auctions6 ; and the Colombian system operator will procure forward electricity supply contracts to match the annual forecast electricity demand by means of a sequence of four quarterly aucti ...
Why do foreign firms leave US equity markets?
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... 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
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Momentum and Investor Sentiment
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... 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 ...
Chen_uta_2502D_12115
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... 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
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
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... 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
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 ...
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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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