Quote Stuffing - Mississippi State University`s College of Business
... events localized on one exchange or are quoting and trading altered on all exchanges during quote stuffing events? This paper seeks to address these questions. The practice of quote stuffing is often linked to high frequency trading (hereafter, HFT). HFT garnered increased attention in the wake of t ...
... events localized on one exchange or are quoting and trading altered on all exchanges during quote stuffing events? This paper seeks to address these questions. The practice of quote stuffing is often linked to high frequency trading (hereafter, HFT). HFT garnered increased attention in the wake of t ...
Liquidity Provision, Information, and Inventory - cfr
... other traders. This result underlines the role of informed traders10 in limit order trading; while it contradicts the traditional assumption that informed traders participate only through market orders, it adds to the emergent view11 that informed traders strategically provide liquidity in LOB marke ...
... other traders. This result underlines the role of informed traders10 in limit order trading; while it contradicts the traditional assumption that informed traders participate only through market orders, it adds to the emergent view11 that informed traders strategically provide liquidity in LOB marke ...
Do Market Efficiency Measures Yield Correct Inferences?
... U.S. and U.K., have some of the lowest trading costs, while smaller emerging markets have some of the highest. For similar-sized large and medium cap firms, LOT trading costs are nearly twice as large in the typical emerging market. Moreover, for most size quintiles, trading costs have decreased dra ...
... U.S. and U.K., have some of the lowest trading costs, while smaller emerging markets have some of the highest. For similar-sized large and medium cap firms, LOT trading costs are nearly twice as large in the typical emerging market. Moreover, for most size quintiles, trading costs have decreased dra ...
EMIR and MiFID2/MiFIR: Update on recognition procedures for non
... ESMA has stated in its Q&A that a market cannot be considered equivalent for the purposes of EMIR unless it is included on a list published by the Commission, but the Commission has not yet listed any non-EU markets and, as a result, market participants are required to treat all non-EU ETD as “OTC ...
... ESMA has stated in its Q&A that a market cannot be considered equivalent for the purposes of EMIR unless it is included on a list published by the Commission, but the Commission has not yet listed any non-EU markets and, as a result, market participants are required to treat all non-EU ETD as “OTC ...
stock market extremes - Towneley Capital Management
... or worst days - radically changed the outcome. For the entire 42 years of daily data, the index had a geometric average annual return of 10.84% and a cumulative gain of $73.99 on $1.00 invested at the start of the period. Excluding the 10 best trading days, or one-tenth of one percent (0.1%) of the ...
... or worst days - radically changed the outcome. For the entire 42 years of daily data, the index had a geometric average annual return of 10.84% and a cumulative gain of $73.99 on $1.00 invested at the start of the period. Excluding the 10 best trading days, or one-tenth of one percent (0.1%) of the ...
Financial Statement Analysis and Security Valuation
... Amortized cost is based on the historical cost measurement rule and avoids manipulation in the financial statements. But historical cost does not capture any change in value since acquisition. Market prices give the change in value since acquisition. But (fair) market values can be biased if market ...
... Amortized cost is based on the historical cost measurement rule and avoids manipulation in the financial statements. But historical cost does not capture any change in value since acquisition. Market prices give the change in value since acquisition. But (fair) market values can be biased if market ...
The impact of the Credit Crunch on the Sterling Corporate Bond
... invest proceeds, replace redeemed bonds, and pay out cash to the fund’s investors). While there is an element of speculative trading by these institutional investors, this does not represent their major investment objective. Generally bond markets remain as intermediated markets in contrast to equit ...
... invest proceeds, replace redeemed bonds, and pay out cash to the fund’s investors). While there is an element of speculative trading by these institutional investors, this does not represent their major investment objective. Generally bond markets remain as intermediated markets in contrast to equit ...
Information Aggregation and Allocative Efficiency in Smooth Markets
... will not generally be ex ante Pareto efficient. That is, we cannot exclude the possibility of other mechanisms that yield a higher ex ante expected utility to each agent. Further, we also note that our notion of ex post efficiency excludes the market maker. This is reasonable, as we do not model the ...
... will not generally be ex ante Pareto efficient. That is, we cannot exclude the possibility of other mechanisms that yield a higher ex ante expected utility to each agent. Further, we also note that our notion of ex post efficiency excludes the market maker. This is reasonable, as we do not model the ...
The IOSCO Transparency Principle and Modelling the Bid
... Organization of Securities Commissions (IOSCO) [2013] principle 35 states that regulation should promote trading transparency. To this end, South African regulators are investigating measures to improve transparency in the South African bond market. One central consideration is the impact of transpa ...
... Organization of Securities Commissions (IOSCO) [2013] principle 35 states that regulation should promote trading transparency. To this end, South African regulators are investigating measures to improve transparency in the South African bond market. One central consideration is the impact of transpa ...
Using Prediction Markets to Track Information Flows
... the answer turns out to be correct (and zero otherwise). Trade is conducted via a continuous double auction in each security. As on the IEM, short selling is not allowed; traders can instead exchange a Gooble for a complete set of securities and then sell the ones they choose. Likewise, they can ...
... the answer turns out to be correct (and zero otherwise). Trade is conducted via a continuous double auction in each security. As on the IEM, short selling is not allowed; traders can instead exchange a Gooble for a complete set of securities and then sell the ones they choose. Likewise, they can ...
Does Option Trading Impact Underlying Stock Prices
... to these time derivatives, as time passes delta-hedgers who have net purchased (written) option positions will sell (buy) stock when the stock price is above the option strike price and buy (sell) stock when the price is below the strike price, tending to drive the stock price toward the option stri ...
... to these time derivatives, as time passes delta-hedgers who have net purchased (written) option positions will sell (buy) stock when the stock price is above the option strike price and buy (sell) stock when the price is below the strike price, tending to drive the stock price toward the option stri ...
Locals, foreigners, and multi-market trading of equities: Intraday
... interest in Thailand's stock market and in emerging markets generally began to pick up in the middle 1980s, the fraction of shares owned by foreigners began to hit these limits for many listed companies. In September 1987, the stock exchange organized a formal market, the Alien Board, where foreigne ...
... interest in Thailand's stock market and in emerging markets generally began to pick up in the middle 1980s, the fraction of shares owned by foreigners began to hit these limits for many listed companies. In September 1987, the stock exchange organized a formal market, the Alien Board, where foreigne ...
A Beginners` Guide to Commodity Market
... Commodity Exchanges function from 10.00 AM to 11.30 PM/11.55 PM everyday. However, only metals, bullions and energy products are available for trading after 5.00 PM. On Saturdays, the exchanges are open from 10.00 AM to 2.00 PM 10. What are the commodities suitable for futures trading? All the commo ...
... Commodity Exchanges function from 10.00 AM to 11.30 PM/11.55 PM everyday. However, only metals, bullions and energy products are available for trading after 5.00 PM. On Saturdays, the exchanges are open from 10.00 AM to 2.00 PM 10. What are the commodities suitable for futures trading? All the commo ...
Presence and Sources of Momentum and Contrarian Profits
... that investors have their own information and value their stock selection skills very highly. This overconfidence leads these investors to overreact to new information, which drives the price away from the true value. In the long run, the market realizes that stocks are overvalued and makes necessar ...
... that investors have their own information and value their stock selection skills very highly. This overconfidence leads these investors to overreact to new information, which drives the price away from the true value. In the long run, the market realizes that stocks are overvalued and makes necessar ...
The Relationship Between Individual Stock Trading And Returns
... n 1996, household investments comprised almost 47 percent of stock investment in the United States (Barber and Odeon, 2000). This issue incites Barber and Odeon (2000) and other researchers to study individual investor behavior in the US equity market. But, in the course of the 2020s decade, the dev ...
... n 1996, household investments comprised almost 47 percent of stock investment in the United States (Barber and Odeon, 2000). This issue incites Barber and Odeon (2000) and other researchers to study individual investor behavior in the US equity market. But, in the course of the 2020s decade, the dev ...
Equilibrium Pricing and Trading Volume under Preference
... of the round trip trades decreases, but their number becomes larger. We show that, as the frequency of information updates goes to infinity and preference uncertainty vanishes, the two effects balance out exactly, so that the excess volume converges to some non-zero limit. The condition under which ...
... of the round trip trades decreases, but their number becomes larger. We show that, as the frequency of information updates goes to infinity and preference uncertainty vanishes, the two effects balance out exactly, so that the excess volume converges to some non-zero limit. The condition under which ...
Capital Commitment and Illiquidity in Corporate Bonds
... implemented in phases, with some effective dates as long as five years after the signing. We focus in particular on the period from July 2012 onward, when the Volcker rule restrictions on proprietary trading by financial institutions were fully in effect. We document a number of striking findings, i ...
... implemented in phases, with some effective dates as long as five years after the signing. We focus in particular on the period from July 2012 onward, when the Volcker rule restrictions on proprietary trading by financial institutions were fully in effect. We document a number of striking findings, i ...
Internationalization of Stock Markets: Potential Problems for United
... shareholders when the corporations in which they own stock list and offer equity securities on stock exchanges in foreign countries. In some ways, the Comment is in search of a question. It must be noted at the outset that no case law and very little commentary currently exist on this topic.' Conseq ...
... shareholders when the corporations in which they own stock list and offer equity securities on stock exchanges in foreign countries. In some ways, the Comment is in search of a question. It must be noted at the outset that no case law and very little commentary currently exist on this topic.' Conseq ...
What pieces of limit order book information are informative?
... that pre-trade transparency increases the exposure-risk of limit order traders. Our empirical study does not provide additional insights about the beneficial or pervasive effects of pre-trade transparency, but it sheds some light on who benefits from an open LOB in an electronic order-driven market ...
... that pre-trade transparency increases the exposure-risk of limit order traders. Our empirical study does not provide additional insights about the beneficial or pervasive effects of pre-trade transparency, but it sheds some light on who benefits from an open LOB in an electronic order-driven market ...
PeteKyle_TaoLin_2002..
... because the price reveals all useful information about other signals. If the signals are all public information, we can think of them as published analysts’ forecasts of dividend growth. Otherwise, we can think of them as private forecasts of dividend growth. The forecasts are unbiased if w0 1 . T ...
... because the price reveals all useful information about other signals. If the signals are all public information, we can think of them as published analysts’ forecasts of dividend growth. Otherwise, we can think of them as private forecasts of dividend growth. The forecasts are unbiased if w0 1 . T ...
No Slide Title
... Customer pays notional of 100 today. We pay a coupon of x% (p.a.) in 3 months. If spot price is above 100 at the end of the 3-month period, then the deal is terminated and we pay back 100 to him on that date. If the spot price is below 100, then a further coupon of 2% (p.a.) is paid in 6 months. The ...
... Customer pays notional of 100 today. We pay a coupon of x% (p.a.) in 3 months. If spot price is above 100 at the end of the 3-month period, then the deal is terminated and we pay back 100 to him on that date. If the spot price is below 100, then a further coupon of 2% (p.a.) is paid in 6 months. The ...
Exercises - lasse h. pedersen
... live in for about 5 years, and, given the mobile workforce in the region, you also expect future buyers of the property to move relatively frequently. You find a house and an apartment which are equally attractive and consider which one to buy. (The house and apartment are equally attractive in the ...
... live in for about 5 years, and, given the mobile workforce in the region, you also expect future buyers of the property to move relatively frequently. You find a house and an apartment which are equally attractive and consider which one to buy. (The house and apartment are equally attractive in the ...
a survey of strategic market games
... A trivial strategy is a strategy where a trader’s bids and offers are zero. A trivial strategy in SMGs leads to no-trade equilibrium. If the trivial equilibrium is the only equilibrium in the game, then the initial allocation of endowments is already Pareto efficient and the game does not have any t ...
... A trivial strategy is a strategy where a trader’s bids and offers are zero. A trivial strategy in SMGs leads to no-trade equilibrium. If the trivial equilibrium is the only equilibrium in the game, then the initial allocation of endowments is already Pareto efficient and the game does not have any t ...
The Futures Market
... disadvantages of futures trading? B. Another market—the stock market—is a centralized market. However, it is completely different from the futures and cash markets. Futures markets trade contracts on commodities and financial products. • Stock markets are markets that trade shares of ownership in pu ...
... disadvantages of futures trading? B. Another market—the stock market—is a centralized market. However, it is completely different from the futures and cash markets. Futures markets trade contracts on commodities and financial products. • Stock markets are markets that trade shares of ownership in pu ...
stock market transactions
... When investors place an order, they may consider purchasing the stock on margin; in that case, they use cash along with funds borrowed from their broker to make the purchase. The Federal Reserve imposes margin requirements, which represent the minimum proportion of funds that must be covered with ca ...
... When investors place an order, they may consider purchasing the stock on margin; in that case, they use cash along with funds borrowed from their broker to make the purchase. The Federal Reserve imposes margin requirements, which represent the minimum proportion of funds that must be covered with ca ...