New Evidence on the Financialization of Commodity Markets*
... underlying futures prices increase on the pricing dates when the hedge trades are executed, and decrease on the determination dates when the hedge trades are unwound. The OTC CLN issuances provide a convenient dataset to study the impact of investor flows for several reasons. First, it seems unlikel ...
... underlying futures prices increase on the pricing dates when the hedge trades are executed, and decrease on the determination dates when the hedge trades are unwound. The OTC CLN issuances provide a convenient dataset to study the impact of investor flows for several reasons. First, it seems unlikel ...
Day Trading Skill 110523
... analyze the day trading of Small Order Execution System (SOES) bandits using trading records from two brokers. To do so, they analyze roughly 20,000 trades over a threeweek period. Though the SOES traders lose money almost as frequently as they make money, they earn a small average profit per trade. ...
... analyze the day trading of Small Order Execution System (SOES) bandits using trading records from two brokers. To do so, they analyze roughly 20,000 trades over a threeweek period. Though the SOES traders lose money almost as frequently as they make money, they earn a small average profit per trade. ...
Corporate Bond Trading on a Limit Order Book Exchange by
... This paper investigates the case of the Tel Aviv Stock Exchange (hereafter TASE), where c-bonds (and government bonds) have been traded for many years by the same open limit order book system as stocks and with no competing exchanges, dark pools, etc. The Israeli c-bond market is quite small (~$76 b ...
... This paper investigates the case of the Tel Aviv Stock Exchange (hereafter TASE), where c-bonds (and government bonds) have been traded for many years by the same open limit order book system as stocks and with no competing exchanges, dark pools, etc. The Israeli c-bond market is quite small (~$76 b ...
A prudent margin setting methodology that controls the frequency of margin changes
... clearinghouse may adopt various measures. It may require a member to have a minimum capital level, pay up a guarantee fund, or report regularly its firm capital, to name just a few. Among all the risk management measures, the most substantial one is to put up an initial/maintenance margin, and to re ...
... clearinghouse may adopt various measures. It may require a member to have a minimum capital level, pay up a guarantee fund, or report regularly its firm capital, to name just a few. Among all the risk management measures, the most substantial one is to put up an initial/maintenance margin, and to re ...
Chicago Board of Trade (CBOT)
... "@" indicates the most recently auctioned US Treasury security eligible for delivery. Information contained in this publication is taken from sources believed to be reliable, but it is not guaranteed by the Chicago Board of Trade as to its accuracy or completeness, nor as to any trading result, and ...
... "@" indicates the most recently auctioned US Treasury security eligible for delivery. Information contained in this publication is taken from sources believed to be reliable, but it is not guaranteed by the Chicago Board of Trade as to its accuracy or completeness, nor as to any trading result, and ...
Managed Futures: Portfolio Diversification Opportunities
... As the world’s leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign ...
... As the world’s leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign ...
Derivative Market Operations
... these contracts do not fall under the purview of rules and regulations of an exchange, they generally suffer from counterparty risk i.e. the risk that one of the parties to the contract may not fulfill his or her obligation. 1.1.2 Futures Contracts: A futures contract is an agreement between two par ...
... these contracts do not fall under the purview of rules and regulations of an exchange, they generally suffer from counterparty risk i.e. the risk that one of the parties to the contract may not fulfill his or her obligation. 1.1.2 Futures Contracts: A futures contract is an agreement between two par ...
Circular 2018/2 Duty to report securities transactions Duty to
... both when executed via a trading venue and when definitively allocated to clients. A direct placement to the client without booking to the nostro account requires only one report. The report on interal client allocations must be submitted before the close of trading on the following trading day at t ...
... both when executed via a trading venue and when definitively allocated to clients. A direct placement to the client without booking to the nostro account requires only one report. The report on interal client allocations must be submitted before the close of trading on the following trading day at t ...
A Guide to Understanding Opportunities and Risks in Futures Trading
... trading account or by participating in a commodity pool that is similar in concept to a mutual fund. For those individuals who fully understand and can afford the risks that are involved, the allocation of some portion of their investment capital—the portion that is truly risk capital— to futures sp ...
... trading account or by participating in a commodity pool that is similar in concept to a mutual fund. For those individuals who fully understand and can afford the risks that are involved, the allocation of some portion of their investment capital—the portion that is truly risk capital— to futures sp ...
Price Volatility, Trading Activity and Market Depth
... contracts traded on the Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Division (SGX-DT). Two different methodologies, the OLS-based and GARCH-based models, are used to test the robustness of the result and to obtain a sensitivity check. The major findings of this invest ...
... contracts traded on the Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Division (SGX-DT). Two different methodologies, the OLS-based and GARCH-based models, are used to test the robustness of the result and to obtain a sensitivity check. The major findings of this invest ...
U.S. Banking Regulators Finalize Minimum Margin Requirements for
... Basel/IOSCO Framework (which provides for an €8 billion threshold) than the $3 billion threshold under the Proposed Rules. 4 In determining whether a financial end user has material swaps exposure, the financial end user has to include not only over-the-counter derivatives of such financial end user ...
... Basel/IOSCO Framework (which provides for an €8 billion threshold) than the $3 billion threshold under the Proposed Rules. 4 In determining whether a financial end user has material swaps exposure, the financial end user has to include not only over-the-counter derivatives of such financial end user ...
The synchronized and long-lasting structural change on
... like adverse weather and export bans have amplified price movements on some already tight markets. Third, the growing presence of financial investors in the commodity markets has become significant. While these developments are widely acknowledged, the arguments arise when one tries to assess the im ...
... like adverse weather and export bans have amplified price movements on some already tight markets. Third, the growing presence of financial investors in the commodity markets has become significant. While these developments are widely acknowledged, the arguments arise when one tries to assess the im ...
Leveraged and Inverse ETFs(Slides)
... and carry operational risks that make them particularly susceptible to market volatility and the effects of compounding, so that their risk profiles differ significantly vis-à-vis traditional ETFs Investors should be aware that leveraged and inverse ETFs do not seek to provide returns which are the ...
... and carry operational risks that make them particularly susceptible to market volatility and the effects of compounding, so that their risk profiles differ significantly vis-à-vis traditional ETFs Investors should be aware that leveraged and inverse ETFs do not seek to provide returns which are the ...
Index Futures and Options - Contract Information
... to agree upon the terms of a transaction on index futures contracts to take place outside the MX’s electronic trading system. The trade must include the acquisition of a cash market position by the approved participant. The terms agreed upon also include the required amount of index exposure and the ...
... to agree upon the terms of a transaction on index futures contracts to take place outside the MX’s electronic trading system. The trade must include the acquisition of a cash market position by the approved participant. The terms agreed upon also include the required amount of index exposure and the ...
special report series: defining high frequency trading
... the entire market would be classified as HFT firms. In establishing the median daily lifetime of modified/cancelled orders of a particular market, ESMA states that only orders made for liquid instruments (in which HFT is more frequent) should be considered. 5 ESMA has invited the views of market par ...
... the entire market would be classified as HFT firms. In establishing the median daily lifetime of modified/cancelled orders of a particular market, ESMA states that only orders made for liquid instruments (in which HFT is more frequent) should be considered. 5 ESMA has invited the views of market par ...
Regulatory Notice 09-53
... Day Trading For day-trading purposes, the calculations to determine day-trading buying power and day-trade calls will also be based on the amount of leverage on the ETF. Thus, the day-trading buying power on a leveraged ETF will need to include the higher margin requirements prescribed above. The fo ...
... Day Trading For day-trading purposes, the calculations to determine day-trading buying power and day-trade calls will also be based on the amount of leverage on the ETF. Thus, the day-trading buying power on a leveraged ETF will need to include the higher margin requirements prescribed above. The fo ...
ASX Operating Rules Section 01
... Trading Messages may only be entered into a Trading Platform by a Trading Participant and in accordance with an appropriate Trading Permission. ...
... Trading Messages may only be entered into a Trading Platform by a Trading Participant and in accordance with an appropriate Trading Permission. ...
Chapter IV: How Securities are Traded? etImUlbRtRtUv
... Specialists. These members perform two roles. First, any order that the commission broker cannot execute immediately because the current market price is not at or better than the specified limit price will be left with the specialist for possible execution in the future, called broker’s broker. Seco ...
... Specialists. These members perform two roles. First, any order that the commission broker cannot execute immediately because the current market price is not at or better than the specified limit price will be left with the specialist for possible execution in the future, called broker’s broker. Seco ...
WORD
... per share has returned to par value or higher, the TWSE shall publicly announce reinstatement of margin purchase and short sale transactions in those shares. However, for shares issued by a TWSE primary listed company at no par value or at a par value other than NT$10 per share, announcement of rein ...
... per share has returned to par value or higher, the TWSE shall publicly announce reinstatement of margin purchase and short sale transactions in those shares. However, for shares issued by a TWSE primary listed company at no par value or at a par value other than NT$10 per share, announcement of rein ...
I 1) Which of the following is NOT an example of a
... 4) If someone is bearish in the market? a) He expects the market to rise. b) He expects the market to fall. c) He expects the market to move sideways. d) He expects the market to close. 5) A rice exporter will be purchasing rice soon. He is afraid that higher prices could wipe out his potential prof ...
... 4) If someone is bearish in the market? a) He expects the market to rise. b) He expects the market to fall. c) He expects the market to move sideways. d) He expects the market to close. 5) A rice exporter will be purchasing rice soon. He is afraid that higher prices could wipe out his potential prof ...
Insights into Evaluating Exchange Traded Funds
... range of objectives and risk tolerances. ETF providers have responded by expanding product lines to encompass a wider range of asset classes, including fixed income, emerging market equities and bonds, commodities among others. However, the proliferation of ETFs is clearly responsible for some confu ...
... range of objectives and risk tolerances. ETF providers have responded by expanding product lines to encompass a wider range of asset classes, including fixed income, emerging market equities and bonds, commodities among others. However, the proliferation of ETFs is clearly responsible for some confu ...
CME SPAN - CME Group
... and calculate the profit or loss on individual contracts given the market moves. • Exchanges may determine any number of market scenarios to be ...
... and calculate the profit or loss on individual contracts given the market moves. • Exchanges may determine any number of market scenarios to be ...
PDF
... March contract observed in March are not much higher than those in the other months analyzed (27 hundredths of a cent), although the standard deviation of TWM is much greater(4.5 hundredths of a cent). In contrast, mean liquidity costs for the Chicago May contract observed in May are much higher th ...
... March contract observed in March are not much higher than those in the other months analyzed (27 hundredths of a cent), although the standard deviation of TWM is much greater(4.5 hundredths of a cent). In contrast, mean liquidity costs for the Chicago May contract observed in May are much higher th ...
18-43 18.7 Forward Rate Agreements (FRAs)
... Company S initially entered into a ‘sell one 10-year treasury bond contract’ with company B Company S would close out the position by entering into a ‘buy one 10-year treasury bond contract’ for delivery on the same date, with a third party, e.g. company R • The second contract reverses or close ...
... Company S initially entered into a ‘sell one 10-year treasury bond contract’ with company B Company S would close out the position by entering into a ‘buy one 10-year treasury bond contract’ for delivery on the same date, with a third party, e.g. company R • The second contract reverses or close ...