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modeling high-frequency dynamics of financial markets in
... components being equal to the number of identified notional risks. The tradition of using univariate and bivariate marked point processes in the analysis of high-frequency financial data was started relatively recently with a series of papers by Engle and Russell (1997, 1998), Engle and Lunde (1999) ...
... components being equal to the number of identified notional risks. The tradition of using univariate and bivariate marked point processes in the analysis of high-frequency financial data was started relatively recently with a series of papers by Engle and Russell (1997, 1998), Engle and Lunde (1999) ...
CFTC Brings First Bitcoin Enforcement Action, Further Clarifying U.S.
... ordered to cease and desist from future violations of the CEA and CFTC regulations, although the order carried no monetary penalties. The order confirms the regulatory treatment of Bitcoin (and other “virtual currencies” as defined in the order 1) under CEA and CFTC regulations, consistent with posi ...
... ordered to cease and desist from future violations of the CEA and CFTC regulations, although the order carried no monetary penalties. The order confirms the regulatory treatment of Bitcoin (and other “virtual currencies” as defined in the order 1) under CEA and CFTC regulations, consistent with posi ...
The High-Volume Return Premium - North American Business Press
... the global market. Osborne(1959), first examined the price-volume relationship and since then this issue has been attracting considerable interests from economists. The strong connection between future stock prices and trading activity is generally accepted by many scholars. The high-volume return p ...
... the global market. Osborne(1959), first examined the price-volume relationship and since then this issue has been attracting considerable interests from economists. The strong connection between future stock prices and trading activity is generally accepted by many scholars. The high-volume return p ...
Screen Information, Trader Activity, and Bid-Ask
... information sets conditioning the price processes. Abstracting from time-of-day effects, the information sets include (i) lagged event durations and autonomous dynamics in the duration process; (ii) durations augmented by observed order book information pertaining to available pricing and liquidity; ...
... information sets conditioning the price processes. Abstracting from time-of-day effects, the information sets include (i) lagged event durations and autonomous dynamics in the duration process; (ii) durations augmented by observed order book information pertaining to available pricing and liquidity; ...
MiFID II Implementation
... Not exercise the discretion now but delegate power to the Central Bank to issue regulations or Request the Central Bank to conduct a detailed assessment in advance of any decision on whether or how to exercise the national discretions. Such an assessment to use the following criteria The devel ...
... Not exercise the discretion now but delegate power to the Central Bank to issue regulations or Request the Central Bank to conduct a detailed assessment in advance of any decision on whether or how to exercise the national discretions. Such an assessment to use the following criteria The devel ...
tactallocbrochure - Railroad Street Weaith Management LLC
... Dorsey, Wright Foreign Currency Index: An equal weighted index comprised of eight foreign currencies. The index is rebalanced on a daily basis and measured by pricing all currencies against the US Dollar. S&P 500 Index: S&P 500 index consists of 500 stocks chosen for market size, liquidity, and indu ...
... Dorsey, Wright Foreign Currency Index: An equal weighted index comprised of eight foreign currencies. The index is rebalanced on a daily basis and measured by pricing all currencies against the US Dollar. S&P 500 Index: S&P 500 index consists of 500 stocks chosen for market size, liquidity, and indu ...
Block trade reporting for OTC derivatives markets, January
... a fixed-rate bond, it is exposed to the risk that interest rates rise by the time it is ready to issue the bond. The firm can hedge that risk by entering into an interest rate swap with a market maker. The cost of the interest rate swap to the corporation will be directly related to the price at whi ...
... a fixed-rate bond, it is exposed to the risk that interest rates rise by the time it is ready to issue the bond. The firm can hedge that risk by entering into an interest rate swap with a market maker. The cost of the interest rate swap to the corporation will be directly related to the price at whi ...
The synchronized and long-lasting structural change on
... International Finance, 2011). In the meantime, commodity investment specialists, asset managers and investment banks have created new products linked to commodities to satisfy the demand from investors. Consequently, the volumes of exchange-traded derivatives on commodity markets are now twenty to t ...
... International Finance, 2011). In the meantime, commodity investment specialists, asset managers and investment banks have created new products linked to commodities to satisfy the demand from investors. Consequently, the volumes of exchange-traded derivatives on commodity markets are now twenty to t ...
Dodging Robin Hood: Responses to France and Italy`s
... and very few take into account the responses of different asset markets. Avoidance opportunities also abound for this type of taxes, the most notorious of which are contracts for differences1 , which bypass the need for direct asset trading by cash settling net capital gains. A large lock-in effect ...
... and very few take into account the responses of different asset markets. Avoidance opportunities also abound for this type of taxes, the most notorious of which are contracts for differences1 , which bypass the need for direct asset trading by cash settling net capital gains. A large lock-in effect ...
Download paper (PDF)
... download speeds. In practice, these factors rarely affect the time interval by more than two minutes. The program stops running only for random author-specific events, such as software installations, operating system updates, power failures, and office relocation—and technical TradeSports issues, su ...
... download speeds. In practice, these factors rarely affect the time interval by more than two minutes. The program stops running only for random author-specific events, such as software installations, operating system updates, power failures, and office relocation—and technical TradeSports issues, su ...
A study on Foreign Exchange Rate Volatility in India and Use of
... technical analysis can detect these shifts rather early and hence provides clues to future price movements. The Efficient Marke t Theory (EMT) i s against the Technical Analysis, which says that future rates cannot be predicted. Inefficiency of the market like slow information spread rather than ins ...
... technical analysis can detect these shifts rather early and hence provides clues to future price movements. The Efficient Marke t Theory (EMT) i s against the Technical Analysis, which says that future rates cannot be predicted. Inefficiency of the market like slow information spread rather than ins ...
Creating a Safer Financial System
... banking books created incentives that resulted in elevated institutional and systemic risk. For example, banks were able to book securitized assets and illiquid securities (so-called level 3 exposures) as trading assets and price them using internal risk models that generated lighter capital require ...
... banking books created incentives that resulted in elevated institutional and systemic risk. For example, banks were able to book securitized assets and illiquid securities (so-called level 3 exposures) as trading assets and price them using internal risk models that generated lighter capital require ...
An Empirical Analysis of the Profitability of Technical Analysis
... value of an asset based on financial indicators, supply and demand data or economic news, TA makes up the foundation of most asset trading (Karevold and Dahl, 2014). Whereas fundamental analysis usually is applied to find the long-term value of an asset, TA is more commonly used to predict short-ter ...
... value of an asset based on financial indicators, supply and demand data or economic news, TA makes up the foundation of most asset trading (Karevold and Dahl, 2014). Whereas fundamental analysis usually is applied to find the long-term value of an asset, TA is more commonly used to predict short-ter ...
OTE (Hellenic Telecoms)
... This report has been issued by EUROBANK Equities Investment Firm S.A, a member of the Athens Exchange, a member of the Cyprus Stock Exchange and a member of Eurobank Ergasias S.A. EUROBANK Equities Investment Firm S.A. is regulated by the Hellenic Capital Markets Commission (HCMC) with authorization ...
... This report has been issued by EUROBANK Equities Investment Firm S.A, a member of the Athens Exchange, a member of the Cyprus Stock Exchange and a member of Eurobank Ergasias S.A. EUROBANK Equities Investment Firm S.A. is regulated by the Hellenic Capital Markets Commission (HCMC) with authorization ...
H R Khan: Promoting retail investor participation in government bonds
... Web-based access to retail & mid-segment investors in G-sec In order to facilitate direct participation of retail and mid-segment investors in the secondary market for G-sec, a web-based secondary market module was launched in NDS-OM in June 2012. The web-based system is in addition to the existing ...
... Web-based access to retail & mid-segment investors in G-sec In order to facilitate direct participation of retail and mid-segment investors in the secondary market for G-sec, a web-based secondary market module was launched in NDS-OM in June 2012. The web-based system is in addition to the existing ...
How Do Canadian Banks That Deal in Foreign Exchange Hedge
... orders. Their access to the information contained in the order flow gives them an advantage. Each dealer will know their own customer orders through the course of the day, and will try to deduce from the order flow the net imbalance in the market. Dealing banks learn about market-wide order flow fro ...
... orders. Their access to the information contained in the order flow gives them an advantage. Each dealer will know their own customer orders through the course of the day, and will try to deduce from the order flow the net imbalance in the market. Dealing banks learn about market-wide order flow fro ...
the long reach of Georgia-Pacific`s Harmon Associates is beginning
... already recovering 70 percent of its paper, says Forman. "I'm not sure how much it can grow as a supplier. Chinese mills are going to need U.S. fiber." Of the long-term, he says, "In China, you have the emergence of a middle class, which provides a huge potential for more paper generation, and throu ...
... already recovering 70 percent of its paper, says Forman. "I'm not sure how much it can grow as a supplier. Chinese mills are going to need U.S. fiber." Of the long-term, he says, "In China, you have the emergence of a middle class, which provides a huge potential for more paper generation, and throu ...
For Whom the Bell Tolls: The Demise of Exchange
... role of their trading floors, while expanding their own electronic execution facilities. The amazing growth of the ECNs and their displacement of the traditional exchanges have raised regulatory concerns. The Commodity Futures Trading Commission (CFTC) and the Securities and Exchange Commission (SEC ...
... role of their trading floors, while expanding their own electronic execution facilities. The amazing growth of the ECNs and their displacement of the traditional exchanges have raised regulatory concerns. The Commodity Futures Trading Commission (CFTC) and the Securities and Exchange Commission (SEC ...
Equilibrium Pricing and Trading Volume under Preference
... who analyzes the challenges raised by the aggregation of risky positions within a financial firm subject to communication constraints. These challenges have also been emphasized by several regulators and consultants.1 Because data collection and aggregation is challenging, it takes time. For example ...
... who analyzes the challenges raised by the aggregation of risky positions within a financial firm subject to communication constraints. These challenges have also been emphasized by several regulators and consultants.1 Because data collection and aggregation is challenging, it takes time. For example ...
Notes - Duke University`s Fuqua School of Business
... Preliminary study suggests that there is no lookahead bias in G_IBES_FY1_MED_USD. I am always concerned with G_ parameters because they have proven mostly unreliable in the past. As it is, mixing a FY1 forecast with an NTM forecast is less than ideal. Definition G was created because close inspecti ...
... Preliminary study suggests that there is no lookahead bias in G_IBES_FY1_MED_USD. I am always concerned with G_ parameters because they have proven mostly unreliable in the past. As it is, mixing a FY1 forecast with an NTM forecast is less than ideal. Definition G was created because close inspecti ...
Price dynamics with bounded rationality under different market
... rational traders with adaptive behavior and were designed to be simulated on the computers. The Santa Fe artificial market (AM) model [1, 9] represents one of the best known examples of such approach. See also [10] and reviews in [7] and [8]. The inherent difficulty to interpret the results of simul ...
... rational traders with adaptive behavior and were designed to be simulated on the computers. The Santa Fe artificial market (AM) model [1, 9] represents one of the best known examples of such approach. See also [10] and reviews in [7] and [8]. The inherent difficulty to interpret the results of simul ...
Emotional State and Market Behavior Adriana Breaban Charles N
... which was two minutes in this experiment. At any time while the market is open, any trader can submit an offer to sell or to purchase a share. These offers are posted publicly on all traders’ computer screens. Also at any time, any trader can accept an offer that another trader has submitted. When a ...
... which was two minutes in this experiment. At any time while the market is open, any trader can submit an offer to sell or to purchase a share. These offers are posted publicly on all traders’ computer screens. Also at any time, any trader can accept an offer that another trader has submitted. When a ...
Questions from Ofgem`s Liquidity in the GB wholesale energy markets
... that, within the electricity sector, even vertically integrated companies continue to have incentives to trade on the wholesale markets, in particular to optimise their generation portfolios. The Commission commented that a vertically integrated company that owns sufficient generation capacity to pr ...
... that, within the electricity sector, even vertically integrated companies continue to have incentives to trade on the wholesale markets, in particular to optimise their generation portfolios. The Commission commented that a vertically integrated company that owns sufficient generation capacity to pr ...
Predatory or Sunshine Trading? Evidence from Crude Oil ETF Rolls
... Some observers have suggested that predatory trading practices help to explain that the USO share price declined even while crude oil prices rose. For example, the Wall Street Journal reported that “Since the fund (USO) is so big, it is unable to switch in and out of contracts….without moving marke ...
... Some observers have suggested that predatory trading practices help to explain that the USO share price declined even while crude oil prices rose. For example, the Wall Street Journal reported that “Since the fund (USO) is so big, it is unable to switch in and out of contracts….without moving marke ...
Exchange Traded Commodities - London Stock Exchange Group
... contingent liability, margining requirements, mandate restrictions, connectivity issues and access to international derivatives exchanges. As a result many investors are left unable to invest in commodities or paying dearly for the privilege. This is why the London Stock Exchange has worked closely ...
... contingent liability, margining requirements, mandate restrictions, connectivity issues and access to international derivatives exchanges. As a result many investors are left unable to invest in commodities or paying dearly for the privilege. This is why the London Stock Exchange has worked closely ...
Trading room
![](https://commons.wikimedia.org/wiki/Special:FilePath/RVS_Handelsraum.jpg?width=300)
A trading room gathers traders operating on financial markets. The trading room is also often called the front office. The terms ""dealing room"" and ""trading floor"" are also used, the latter being inspired from that of an open outcry stock exchange. As open outcry is gradually replaced by electronic trading, the trading room gets the only living place that is emblematic of the financial market. It is also the likeliest place within the financial institution where the most recent technologies are implemented before being disseminated in its other businesses.