2013/14 Assessment of ASX Clearing and Settlement Facilities September 2014 Contents
... In accordance with its responsibilities under the Corporations Act 2001, the Reserve Bank (the Bank) carries out periodic assessments of how well each clearing and settlement (CS) facility licensee is complying with applicable Financial Stability Standards (FSS) determined by the Bank and the more g ...
... In accordance with its responsibilities under the Corporations Act 2001, the Reserve Bank (the Bank) carries out periodic assessments of how well each clearing and settlement (CS) facility licensee is complying with applicable Financial Stability Standards (FSS) determined by the Bank and the more g ...
Gains from Stock Exchange Integration: The
... the costs of its cash trading business. The creation of a single trading platform made it possible for Euronext to eliminate the duplication of infrastructure and IT investments across the individual exchanges. This resulted in significant IT cost savings. Euronext’s total continental IT costs fell ...
... the costs of its cash trading business. The creation of a single trading platform made it possible for Euronext to eliminate the duplication of infrastructure and IT investments across the individual exchanges. This resulted in significant IT cost savings. Euronext’s total continental IT costs fell ...
Derivatives: A Twenty-First Century Understanding
... Let’s imagine an even more complex bet. Patrick, confident that over the next ten years Super Bowl games would not on average be tightly contested, offered to pay Steve $1500 each year for the next ten years in return for Steve’s promise to pay Patrick $300 for each point above three points by which ...
... Let’s imagine an even more complex bet. Patrick, confident that over the next ten years Super Bowl games would not on average be tightly contested, offered to pay Steve $1500 each year for the next ten years in return for Steve’s promise to pay Patrick $300 for each point above three points by which ...
Chapter 22 Futures Markets
... 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 risk. D. maintains that for most commodities, there are natural hedgers who desire to shed r ...
... 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 risk. D. maintains that for most commodities, there are natural hedgers who desire to shed r ...
Not Just One Man - Barings I. How Leeson Broke Barings II. Lessons
... positions on the Nikkei and short positions on Japanese interest rates? The Board of Banking Supervision (BoBS) of the Bank of England which conducted an investigation into the collapse of Barings believes that "the vehicle used to effect this deception was the cross trade."1 A cross trade is a tran ...
... positions on the Nikkei and short positions on Japanese interest rates? The Board of Banking Supervision (BoBS) of the Bank of England which conducted an investigation into the collapse of Barings believes that "the vehicle used to effect this deception was the cross trade."1 A cross trade is a tran ...
IMPORTANT NOTICE THIS DOCUMENT IS AVAILABLE ONLY TO
... registered Canadian dealer, or (ii) an ‘‘accredited investor’’ who is a ‘‘permitted client’’, as such term is defined in National Instrument 31-103—Registration Requirements, Exemptions and Ongoing Registrant Obligations, of a dealer relying on the ‘‘international dealer exemption’’, which dealer ha ...
... registered Canadian dealer, or (ii) an ‘‘accredited investor’’ who is a ‘‘permitted client’’, as such term is defined in National Instrument 31-103—Registration Requirements, Exemptions and Ongoing Registrant Obligations, of a dealer relying on the ‘‘international dealer exemption’’, which dealer ha ...
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 ...
Does high-frequency trading improve market quality?
... Fourth, our HF traders are different in that some of them can take a speed advantage over others and pick them off. This is a more general model than previous theoretical studies in which HF traders have the same information processing speed, so they are always successful in avoiding the picking-off ...
... Fourth, our HF traders are different in that some of them can take a speed advantage over others and pick them off. This is a more general model than previous theoretical studies in which HF traders have the same information processing speed, so they are always successful in avoiding the picking-off ...
The impact of dark trading and visible fragmentation on market quality
... positive network externalities (e.g. Pagano (1989a), Pagano (1989b) and Admati, Amihud, and Pfleiderer (1991)). Each additional trader reduces the stock’s execution risk for other potential traders, attracting more traders. This positive feedback should cause all trades to be executed at a single ma ...
... positive network externalities (e.g. Pagano (1989a), Pagano (1989b) and Admati, Amihud, and Pfleiderer (1991)). Each additional trader reduces the stock’s execution risk for other potential traders, attracting more traders. This positive feedback should cause all trades to be executed at a single ma ...
Liquidity and the Law of One Price: The Case of the Futures/Cash
... reveals that auto-quotes (passive quotes by secondary market dealers) have been eliminated in the ISSM database but not in TAQ. This causes the quoted spread to be artificially inflated in TAQ. Since there is no reliable way to filter out auto-quotes in TAQ, only BBO (best bid or offer)-eligible pri ...
... reveals that auto-quotes (passive quotes by secondary market dealers) have been eliminated in the ISSM database but not in TAQ. This causes the quoted spread to be artificially inflated in TAQ. Since there is no reliable way to filter out auto-quotes in TAQ, only BBO (best bid or offer)-eligible pri ...
A Beginner`s Guide to Indian Commodity Futures Markets
... There is no denying that there are several easy-to-read publications and beginner’s guides (available in print and online) that explain the workings of commodity futures markets in India. But most, if not all, have been brought out by brokerage houses and commodity exchanges to encourage people to ...
... There is no denying that there are several easy-to-read publications and beginner’s guides (available in print and online) that explain the workings of commodity futures markets in India. But most, if not all, have been brought out by brokerage houses and commodity exchanges to encourage people to ...
Eighths, sixteenths, and market depth: changes in tick
... stocks but would also lower quoted depth, because of a decrease in the marginal pro"tability of supplying liquidity. Harris further notes that the reduction in tick size would likely a!ect stocks even where the constraint is not binding: since the tick size represents the subsidy paid to liquidity p ...
... stocks but would also lower quoted depth, because of a decrease in the marginal pro"tability of supplying liquidity. Harris further notes that the reduction in tick size would likely a!ect stocks even where the constraint is not binding: since the tick size represents the subsidy paid to liquidity p ...
I Should We Fear Derivatives? Rene´ M. Stulz
... plain vanilla or exotic. Financial engineers could even invent new instruments and find their value with the Black-Merton-Scholes pricing method. The growing speed and power of computers made it easier to price derivatives using that method. Until the 1970s, the trading of derivatives took the form ...
... plain vanilla or exotic. Financial engineers could even invent new instruments and find their value with the Black-Merton-Scholes pricing method. The growing speed and power of computers made it easier to price derivatives using that method. Until the 1970s, the trading of derivatives took the form ...
NBER WORKING PAPER SERIES SHOULD WE FEAR DERIVATIVES? Rene M. Stulz
... exotic. Financial engineers could even invent new instruments and find their value with the Black-Merton-Scholes pricing method. The growing speed and power of computers made it easier to price derivatives using that method. Until the 1970s, the trading of derivatives took the form mostly of option, ...
... exotic. Financial engineers could even invent new instruments and find their value with the Black-Merton-Scholes pricing method. The growing speed and power of computers made it easier to price derivatives using that method. Until the 1970s, the trading of derivatives took the form mostly of option, ...
NBER WORKING PAPER SERIES DEMAND-BASED OPTION PRICING Nicolae Garleanu Lasse Heje Pedersen
... main option-pricing puzzles. The starting point of our analysis is that options are traded because they are useful and, therefore, options cannot be redundant for all investors (Hakansson (1979)). We denote the agents who have a fundamental need for option exposure as “end users.” Intermediaries suc ...
... main option-pricing puzzles. The starting point of our analysis is that options are traded because they are useful and, therefore, options cannot be redundant for all investors (Hakansson (1979)). We denote the agents who have a fundamental need for option exposure as “end users.” Intermediaries suc ...
Automated Trading Desk and Price Prediction in High
... studies of finance’, the application to financial markets not of economics but of wider social-science disciplines such as anthropology, politics, geography, sociology and science and technology studies (STS). STS-inflected work has been particularly prominent within social studies of finance, and m ...
... studies of finance’, the application to financial markets not of economics but of wider social-science disciplines such as anthropology, politics, geography, sociology and science and technology studies (STS). STS-inflected work has been particularly prominent within social studies of finance, and m ...
Hedging With Futures Contract
... been criticized for not taking into account the expected return which is inconsistent with the mean-variance framework. Since the selection of a hedge ratio is dependent on the hedgers’ objective in the hedging position, this will be different for various participants in the carbon market. For exam ...
... been criticized for not taking into account the expected return which is inconsistent with the mean-variance framework. Since the selection of a hedge ratio is dependent on the hedgers’ objective in the hedging position, this will be different for various participants in the carbon market. For exam ...
Demand-Based Option Pricing
... reality, however, even intermediaries cannot hedge options perfectly—that is, even they face incomplete markets—because of the impossibility of trading continuously, stochastic volatility, jumps in the underlying, and transaction costs (Figlewski 1989).1 In addition, intermediaries are sensitive to ...
... reality, however, even intermediaries cannot hedge options perfectly—that is, even they face incomplete markets—because of the impossibility of trading continuously, stochastic volatility, jumps in the underlying, and transaction costs (Figlewski 1989).1 In addition, intermediaries are sensitive to ...
Option Trading: Information or Differences of
... questionable if this type of demand would explain the large volume of trading. Besides, Lakonsihok, Lee, Pearson and Poteshman (2006) found that the most popular option-trading strategy is covered call writing, followed by purchasing calls and writing puts, none of which appears to be a logical hedg ...
... questionable if this type of demand would explain the large volume of trading. Besides, Lakonsihok, Lee, Pearson and Poteshman (2006) found that the most popular option-trading strategy is covered call writing, followed by purchasing calls and writing puts, none of which appears to be a logical hedg ...
Commodity-Derivatives
... The major characteristic of commodity futures include A number of commodity futures on individual commodities are frequently available. The differences between individual contract specifications include differences in quality / grade of the commodity or delivery location. The range of similar contra ...
... The major characteristic of commodity futures include A number of commodity futures on individual commodities are frequently available. The differences between individual contract specifications include differences in quality / grade of the commodity or delivery location. The range of similar contra ...
Do retail traders suffer from high frequency traders?
... them to use expensive market orders. Following this thought, improvements in the bid-ask spread, which is a standard measure of market quality, would not help those that switch from (better priced) limit orders to market orders. Moreover, if the crowding-out phenomenon disproportionately affects a ...
... them to use expensive market orders. Following this thought, improvements in the bid-ask spread, which is a standard measure of market quality, would not help those that switch from (better priced) limit orders to market orders. Moreover, if the crowding-out phenomenon disproportionately affects a ...
Decimalization, trading costs, and information transmission between
... where Pit is the transaction price for stock i at time t and Mit is the midpoint of the bid and ask prices of the quotes immediately prior to the transaction. The quote is required to be at least 5 seconds before the trade.5 Because quotes of index futures are not available, quoted and effective spr ...
... where Pit is the transaction price for stock i at time t and Mit is the midpoint of the bid and ask prices of the quotes immediately prior to the transaction. The quote is required to be at least 5 seconds before the trade.5 Because quotes of index futures are not available, quoted and effective spr ...
ASX Clear Schedule 01 - Risk Based Capital Requirements
... “Position Risk Factors” are the percentages applied to principal positions as specified in Tables 1.1, 1.2, 1.3 and 1.7 of Annexure 5. “Position Risk Requirement” is the absolute sum of the position risk amounts for a Participant’s: (a) ...
... “Position Risk Factors” are the percentages applied to principal positions as specified in Tables 1.1, 1.2, 1.3 and 1.7 of Annexure 5. “Position Risk Requirement” is the absolute sum of the position risk amounts for a Participant’s: (a) ...
Morning Briefing Global Economic Trading Calendar
... the highest levels seen since April 4, when the DJIA and S&P 500 posted life-time highs of 16,631.63 and 1897.28. The Nasdaq Composite closed up 21 pts at 4,148.338. ...
... the highest levels seen since April 4, when the DJIA and S&P 500 posted life-time highs of 16,631.63 and 1897.28. The Nasdaq Composite closed up 21 pts at 4,148.338. ...
Causes and Consequences of Margin Levels in Futures Markets
... realized variance slowly mean-reverts. Margin changes are of course endogenous as they are set by the clearing house primarily based on volatility, and I address this endogeneity problem throughout the paper. Traders in commodity futures often state that margin increases squeeze out speculators and ...
... realized variance slowly mean-reverts. Margin changes are of course endogenous as they are set by the clearing house primarily based on volatility, and I address this endogeneity problem throughout the paper. Traders in commodity futures often state that margin increases squeeze out speculators and ...