The Link between IPO Underpricing and Trading Volume: Evidence
... between underwriter’s trading profits and IPO underpricing. Based on the second explanation, higher liquidity is not a goal but a by-product as it is argued by Reese (2003). The reasoning relies on the book-building model of Benveniste and Spindt (1989). In their model, underwriters of initial publi ...
... between underwriter’s trading profits and IPO underpricing. Based on the second explanation, higher liquidity is not a goal but a by-product as it is argued by Reese (2003). The reasoning relies on the book-building model of Benveniste and Spindt (1989). In their model, underwriters of initial publi ...
modeling the optimal strategy in an incomplete market
... equation is solvable, leading to a so-called ”myopic” optimal portfolio strategy. The myopic strategy is suboptimal, but we use it as the first step in a recursive algorithm which approximates the unique optimal strategy. The myopic strategy is a good initial strategy in this algorithm because it req ...
... equation is solvable, leading to a so-called ”myopic” optimal portfolio strategy. The myopic strategy is suboptimal, but we use it as the first step in a recursive algorithm which approximates the unique optimal strategy. The myopic strategy is a good initial strategy in this algorithm because it req ...
Informed Trading, Flow Toxicity and the Impact on Intraday Trading
... profits at “supracompetitive levels” by creating higher effective spreads (they find that individual market maker quotes were quoted exclusively in even-eighths). In many cases, the market maker has the power to hide orders in a bid to increase the spread for high profits. This research finds these ...
... profits at “supracompetitive levels” by creating higher effective spreads (they find that individual market maker quotes were quoted exclusively in even-eighths). In many cases, the market maker has the power to hide orders in a bid to increase the spread for high profits. This research finds these ...
Market Liquidity after the Financial Crisis
... This paper examines the evidence surrounding market liquidity in the post-crisis era. We begin with a discussion of the broader trading environment in an effort to outline potential drivers of market liquidity since the crisis. This includes a discussion of regulations and their potential effects on ...
... This paper examines the evidence surrounding market liquidity in the post-crisis era. We begin with a discussion of the broader trading environment in an effort to outline potential drivers of market liquidity since the crisis. This includes a discussion of regulations and their potential effects on ...
Futures on EUR/USD Exchange Rate
... Specifications) establish the standard terms of the given futures contract. The present Specifications together with the Clearing Rules of CJSC RTS Clearing Center (hereinafter the Clearing Center), Derivatives Rules (hereinafter the Trading Rules) of OJSC RTS (hereinafter the Exchange) and other do ...
... Specifications) establish the standard terms of the given futures contract. The present Specifications together with the Clearing Rules of CJSC RTS Clearing Center (hereinafter the Clearing Center), Derivatives Rules (hereinafter the Trading Rules) of OJSC RTS (hereinafter the Exchange) and other do ...
Tick Size Constraints, Market Structure, and Liquidity First Draft
... assumed to arrive at the market at the same time. However, the reality regarding financial markets is exactly the opposite: price competition is restricted by tick size regulations but time becomes divisible at the nanosecond level. This paper shows that two sources of friction, discrete prices and ...
... assumed to arrive at the market at the same time. However, the reality regarding financial markets is exactly the opposite: price competition is restricted by tick size regulations but time becomes divisible at the nanosecond level. This paper shows that two sources of friction, discrete prices and ...
Toward a Fully Continuous Exchange
... U.S. market, the stated minimum tick size for most actively traded stocks is currently one cent per share. It was reduced from 1/8 of a dollar (12.5 cents per share) to 1/16 of a dollar (6.25 cents per share) in the late 1990s and reduced again to its current level of one cent per share in 2001. The ...
... U.S. market, the stated minimum tick size for most actively traded stocks is currently one cent per share. It was reduced from 1/8 of a dollar (12.5 cents per share) to 1/16 of a dollar (6.25 cents per share) in the late 1990s and reduced again to its current level of one cent per share in 2001. The ...
Market E¢ciency and Price Formation when Dealers are Asymmetrically Informed ¤ R. Calcagno
... In each period the two MMs simultaneously8 announce their asks and bid quotes which are …rm for one unit of the asset9 . Then, transactions take place between liquidity traders and the market makers. We assume that at each date, liquidity traders sell one unit of the asset to the market maker who se ...
... In each period the two MMs simultaneously8 announce their asks and bid quotes which are …rm for one unit of the asset9 . Then, transactions take place between liquidity traders and the market makers. We assume that at each date, liquidity traders sell one unit of the asset to the market maker who se ...
Preview - American Economic Association
... for all customers’ transactions. Intuitively, both variables reflect the size of the intermediary sector. When more investors choose to become dealers, the price dispersion among interdealer trades is larger (i.e., the dispersion ratio is higher), and customers’ transactions tend to go through more ...
... for all customers’ transactions. Intuitively, both variables reflect the size of the intermediary sector. When more investors choose to become dealers, the price dispersion among interdealer trades is larger (i.e., the dispersion ratio is higher), and customers’ transactions tend to go through more ...
Locals, Foreigners, and Multi-market Trading of Equities: Some
... Some of our tests require measures of the extent to which certain types of investors are buying versus selling. For each 15 minute interval for each of our 25 stocks on each board, we compute “price-setting” order imbalances by investor type by subtracting the price-setting sell volume from the pric ...
... Some of our tests require measures of the extent to which certain types of investors are buying versus selling. For each 15 minute interval for each of our 25 stocks on each board, we compute “price-setting” order imbalances by investor type by subtracting the price-setting sell volume from the pric ...
The nature of Jumps in Brazil`s stock market
... inherited by the Black-Scholes model, and many modifications have been proposed. For example, the hypothesis of constant volatility has been removed in many stochastic volatility models, and the presence of statistically prescribed large price deviations (jumps) have been include in SVJ and SVJJ mod ...
... inherited by the Black-Scholes model, and many modifications have been proposed. For example, the hypothesis of constant volatility has been removed in many stochastic volatility models, and the presence of statistically prescribed large price deviations (jumps) have been include in SVJ and SVJJ mod ...
download, ENG - NBI INVESTMENTS Ltd
... Price will generally have relatively high importance in terms of best execution. However, in some circumstances NBI may appropriately determine that some execution factors are more important than price in order to obtain best possible execution results for the Client. For example, there is no forma ...
... Price will generally have relatively high importance in terms of best execution. However, in some circumstances NBI may appropriately determine that some execution factors are more important than price in order to obtain best possible execution results for the Client. For example, there is no forma ...
Tick Size and Institutional Trading Costs: Evidence from Mutual Funds
... trading costs that is consistent with our findings; hence our results cannot be explained by tracking error in the benchmark portfolios. Details are presented in the Appendix. Studies of mutual fund performance, dating back to Jensen (1968), generally use the alpha of factor model regressions relate ...
... trading costs that is consistent with our findings; hence our results cannot be explained by tracking error in the benchmark portfolios. Details are presented in the Appendix. Studies of mutual fund performance, dating back to Jensen (1968), generally use the alpha of factor model regressions relate ...
How Markets React to Earnings Announcements in the Absence of
... interesting to study the effect of these unique aspects of the SSM on stock trading and returns, especially in regard to earnings announcements. Many stock markets in developing countries such as Saudi Arabia have no or a few financial analysts who – regularly – follow stocks and issue forecasts and ...
... interesting to study the effect of these unique aspects of the SSM on stock trading and returns, especially in regard to earnings announcements. Many stock markets in developing countries such as Saudi Arabia have no or a few financial analysts who – regularly – follow stocks and issue forecasts and ...
An Empirical Analysis of the Limit Order Book and the Order
... order placement such as liquidity, priority, and information effects. To illustrate our results, we also present plots of bid and ask quotes and trades for a single stock on a given day. Our methods and substantive insights may be useful in studying a variety of alternative market structures. Becaus ...
... order placement such as liquidity, priority, and information effects. To illustrate our results, we also present plots of bid and ask quotes and trades for a single stock on a given day. Our methods and substantive insights may be useful in studying a variety of alternative market structures. Becaus ...
return on stock investment
... People think that investing in the stock market is buying shares of a certain company, wait for a while and see if it has risen or declined. It cannot be denied that this is one of its key products (in fact it was the first), but not the only one. The possibilities of the stock market do not end her ...
... People think that investing in the stock market is buying shares of a certain company, wait for a while and see if it has risen or declined. It cannot be denied that this is one of its key products (in fact it was the first), but not the only one. The possibilities of the stock market do not end her ...
Chapter 4: Using Futures Markets
... company and have silver stored. You own the commodity. 2. An anticipatory hedge: a commodity that you will acquire in the future. If you are a new silver mining company and just have initiated mining operations. You expect to acquire/have silver in the future. 3. An anticipatory hedge: a commodity t ...
... company and have silver stored. You own the commodity. 2. An anticipatory hedge: a commodity that you will acquire in the future. If you are a new silver mining company and just have initiated mining operations. You expect to acquire/have silver in the future. 3. An anticipatory hedge: a commodity t ...
Price jump prediction in a limit order book
... give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that the liquidity balance on the best bid/best ask is quite informative for predicting the future market order’s direction. Moreover, we define price jump as a sell (buy) market order arriv ...
... give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that the liquidity balance on the best bid/best ask is quite informative for predicting the future market order’s direction. Moreover, we define price jump as a sell (buy) market order arriv ...
Broker-Dealer Trading Activities
... NBBO, Not Necessarily Sufficient - "The Commission has emphasized that best execution obligations require that brokerdealer's routing orders for automatic execution must periodically assess the quality of competing markets to assure that order flow is directed to markets providing the most beneficia ...
... NBBO, Not Necessarily Sufficient - "The Commission has emphasized that best execution obligations require that brokerdealer's routing orders for automatic execution must periodically assess the quality of competing markets to assure that order flow is directed to markets providing the most beneficia ...
Dynamic predictor selection and order splitting in a limit order
... distribution in stock markets, and yet the markets are informationally efficient. Certain agentbased theoretical models attempt to explain the empirical features in terms of investors’ ordersplitting or dynamic switching strategies, both of which are popularly used by actual stock investors. However ...
... distribution in stock markets, and yet the markets are informationally efficient. Certain agentbased theoretical models attempt to explain the empirical features in terms of investors’ ordersplitting or dynamic switching strategies, both of which are popularly used by actual stock investors. However ...
Capital Flow Software
... Capital Flow Software represents a new generation of decision-making support tools for traders in the global markets. In the closing years of the 20th century, the computer will dominate the financial markets to a degree that we can as yet only imagine. What will come to the fore is not just the tir ...
... Capital Flow Software represents a new generation of decision-making support tools for traders in the global markets. In the closing years of the 20th century, the computer will dominate the financial markets to a degree that we can as yet only imagine. What will come to the fore is not just the tir ...
Volatility Strategies for 2016
... time horizon. – Direct advisor input on option strategy setup for the underlying security, strike selection, position sizing. Strong emphasis on risk management. – Your advisor will advise, undertake and monitor all positions – Focus on obtaining consistent P&L for your options account ...
... time horizon. – Direct advisor input on option strategy setup for the underlying security, strike selection, position sizing. Strong emphasis on risk management. – Your advisor will advise, undertake and monitor all positions – Focus on obtaining consistent P&L for your options account ...
The Dark Side of Trading - The University of Chicago Booth School
... trading purely driven by non-information motivations. In fact, much and maybe even most of trading seems to fall in the grey area between pure-information and non-information trading (Chordia, Huh, and Subrahmanyam 2007). A vivid illustration of this grey area are various types of algorithmic tradi ...
... trading purely driven by non-information motivations. In fact, much and maybe even most of trading seems to fall in the grey area between pure-information and non-information trading (Chordia, Huh, and Subrahmanyam 2007). A vivid illustration of this grey area are various types of algorithmic tradi ...
put title here - Terry FitzPatrick: Reporting, Training, Media
... perceived as chaos. In the daily jumble of upan-eighth and down-a-quarter, it was hard to tell whether stock prices were generally moving up or down. With the Industrial Average, you could keep your eye on the long-term trends and not be confused by the short-term static." woodcut montage of ticker ...
... perceived as chaos. In the daily jumble of upan-eighth and down-a-quarter, it was hard to tell whether stock prices were generally moving up or down. With the Industrial Average, you could keep your eye on the long-term trends and not be confused by the short-term static." woodcut montage of ticker ...
Screen Information, Trader Activity, and Bid-Ask
... information in the form of durations between market events also helps to explain the evolution of transactions behavior. Our models are therefore differentiated by four information sets conditioning the price processes. Abstracting from time-of-day effects, the information sets include (i) lagged ev ...
... information in the form of durations between market events also helps to explain the evolution of transactions behavior. Our models are therefore differentiated by four information sets conditioning the price processes. Abstracting from time-of-day effects, the information sets include (i) lagged ev ...