Corporate Bond Trading on a Limit Order Book Exchange by
... liquid and a second market is potentially more efficient but currently illiquid, it is not optimal for each trader individually to deviate from the equilibrium and move to the currently less liquid market. This paper investigates the case of the Tel Aviv Stock Exchange (hereafter TASE), where c-bond ...
... liquid and a second market is potentially more efficient but currently illiquid, it is not optimal for each trader individually to deviate from the equilibrium and move to the currently less liquid market. This paper investigates the case of the Tel Aviv Stock Exchange (hereafter TASE), where c-bond ...
modeling high-frequency dynamics of financial markets in
... This paper introduces an econometric framework that can be used to study short-run liquidity provision in limit order markets. This model can be applied with minor modifications to any sequence of events that occur at random, rather than predetermined, time intervals. In the context of electronic li ...
... This paper introduces an econometric framework that can be used to study short-run liquidity provision in limit order markets. This model can be applied with minor modifications to any sequence of events that occur at random, rather than predetermined, time intervals. In the context of electronic li ...
Testing the Strong-Form Efficiency of the Namibian Stock Market
... In this work, monthly spot rates were used for the Japanese Yen, the Pound sterling, the US dollar, the French Franc, the Indian Rupee and the German Mark, relative to the Sri Lankan Rupee, for the period of January 1986 until November 2000. The principal results point to the fact that evidence exis ...
... In this work, monthly spot rates were used for the Japanese Yen, the Pound sterling, the US dollar, the French Franc, the Indian Rupee and the German Mark, relative to the Sri Lankan Rupee, for the period of January 1986 until November 2000. The principal results point to the fact that evidence exis ...
Official Listing - European Commission
... regular disclosure from listed companies (e.g. by requiring half-yearly financial reports). The idea at the time was that issuers would seek parallell listing at more than one stock exchange, and that a framework for mutual recognition between the competent authorities would simplify such developmen ...
... regular disclosure from listed companies (e.g. by requiring half-yearly financial reports). The idea at the time was that issuers would seek parallell listing at more than one stock exchange, and that a framework for mutual recognition between the competent authorities would simplify such developmen ...
WP SES
... Lim and Brooks (2011)). In addition, even if a short-term trend is discovered, benefitting from it might be difficult. Indeed, the trend might already be over once it has been identified. A second disadvantage is that these trading strategies induce heavy trading activities. Thus, transaction costs ...
... Lim and Brooks (2011)). In addition, even if a short-term trend is discovered, benefitting from it might be difficult. Indeed, the trend might already be over once it has been identified. A second disadvantage is that these trading strategies induce heavy trading activities. Thus, transaction costs ...
Forecasting Prices in the Presence of Hidden Liquidity
... The term “order book” (OB) is generally used to describe the bid and ask prices and sizes in continuous-auction exchanges, such as NYSE-ARCA, BATS or NASDAQ. A distinction is often made between Level I quotes, i.e. the best bid/ask prices and sizes, and Level II quotes, which consist of all prices a ...
... The term “order book” (OB) is generally used to describe the bid and ask prices and sizes in continuous-auction exchanges, such as NYSE-ARCA, BATS or NASDAQ. A distinction is often made between Level I quotes, i.e. the best bid/ask prices and sizes, and Level II quotes, which consist of all prices a ...
Opening and Closing the Market
... the call auction at the open as the ideal solution to the problem of assimilating diverse information from traders to achieve informational efficiency of prices, and thereby minimize adverse selection problems where some traders have superior information to others. Domowitz and Madhavan (2001) argue ...
... the call auction at the open as the ideal solution to the problem of assimilating diverse information from traders to achieve informational efficiency of prices, and thereby minimize adverse selection problems where some traders have superior information to others. Domowitz and Madhavan (2001) argue ...
The Treasury Bill Futures Market and Market Expectations of Interest
... for a particular commodity is utilized by market participants when determining the price at which they are willing to buy or sell futures contracts, If a trader projects that a commodity’s price will be different in the future than at the present time, he will buy or sell contracts for delivery of t ...
... for a particular commodity is utilized by market participants when determining the price at which they are willing to buy or sell futures contracts, If a trader projects that a commodity’s price will be different in the future than at the present time, he will buy or sell contracts for delivery of t ...
Explaining the Migration of Stocks from Exchanges in Emerging
... explain a large fraction of the decision to list in New York. Pagano, Roell, and Zechner (2001) study the determinants of European firms listing abroad. They find that firms with high growth (potentials) and in high-tech industries are more likely to list in the U.S., whereas firms that cross-list w ...
... explain a large fraction of the decision to list in New York. Pagano, Roell, and Zechner (2001) study the determinants of European firms listing abroad. They find that firms with high growth (potentials) and in high-tech industries are more likely to list in the U.S., whereas firms that cross-list w ...
primary dealership in ghana
... market, calculated as total market activity divided by the number of PDs. For example, if there are 10 PDs, each would have a proportional market share of 10%. Regulatory Authorities - MOF and Financial Regulators of the different operators in the financial market i.e. BOG, SEC, GSE and NIC. Repo or ...
... market, calculated as total market activity divided by the number of PDs. For example, if there are 10 PDs, each would have a proportional market share of 10%. Regulatory Authorities - MOF and Financial Regulators of the different operators in the financial market i.e. BOG, SEC, GSE and NIC. Repo or ...
Bitcoin Comes of Age
... Miners who produce new bitcoin and merchant processors who accumulate bitcoin and disburse dollars would prefer to actually deliver their bitcoin to settle their hedges; meanwhile, consumer on‐ramps like Circle Financial would prefer to receive bitcoin on settlement to be able to deliver it to t ...
... Miners who produce new bitcoin and merchant processors who accumulate bitcoin and disburse dollars would prefer to actually deliver their bitcoin to settle their hedges; meanwhile, consumer on‐ramps like Circle Financial would prefer to receive bitcoin on settlement to be able to deliver it to t ...
Correlated Trading and Returns
... Why do individual investors move together? Answering this question requires understanding why individuals actively trade stocks and voluntarily take on idiosyncratic risk and high transaction costs. Knowing the investor’s identity, characteristics of his trades, and his stock, bond, fund, and option ...
... Why do individual investors move together? Answering this question requires understanding why individuals actively trade stocks and voluntarily take on idiosyncratic risk and high transaction costs. Knowing the investor’s identity, characteristics of his trades, and his stock, bond, fund, and option ...
Circular 2018/2 Duty to report securities transactions Duty to
... Alternatively, a disclosure office may accept a full report in the European Union format as specified in the regulatory and technical implementing standards (RTS 22) for Article 26 of Regulation (EU) No 600/2014 of the European Parliament and of the Council of 15 May 2014 on markets in financial ins ...
... Alternatively, a disclosure office may accept a full report in the European Union format as specified in the regulatory and technical implementing standards (RTS 22) for Article 26 of Regulation (EU) No 600/2014 of the European Parliament and of the Council of 15 May 2014 on markets in financial ins ...
Application - BSP SouthPool
... Balancing Market in accordance with the Article 24 of Energy Law (Official Gazette of the RS, No. 27/07 – UPB-2, 70/2008, 22/2010, 37/2011 Odl.US: U-I-257/09-22 in10/2012; hereinafter referred to as “Rules for the Operation of the Slovenian Balancing Market”). BSP Regional Energy Exchange LL C and i ...
... Balancing Market in accordance with the Article 24 of Energy Law (Official Gazette of the RS, No. 27/07 – UPB-2, 70/2008, 22/2010, 37/2011 Odl.US: U-I-257/09-22 in10/2012; hereinafter referred to as “Rules for the Operation of the Slovenian Balancing Market”). BSP Regional Energy Exchange LL C and i ...
The information content of an open limit-order book
... Evidence consistent with this hypothesis supports the prediction that informed traders use limit orders as part of their trading strategies. On the contrary, if informed traders prefer to use market orders over limit orders, it will be expected that their market orders may pick off any mis-priced li ...
... Evidence consistent with this hypothesis supports the prediction that informed traders use limit orders as part of their trading strategies. On the contrary, if informed traders prefer to use market orders over limit orders, it will be expected that their market orders may pick off any mis-priced li ...
The synchronized and long-lasting structural change on
... portfolio and reduce their risks. The publication of the seminal paper by Gorton and Rouwenhort (2006) entitled “Facts and Fantasies about Commodities” supported this diversification strategy. Using monthly returns spanning the period from July 1959 to March 2004, the authors found that commodity fu ...
... portfolio and reduce their risks. The publication of the seminal paper by Gorton and Rouwenhort (2006) entitled “Facts and Fantasies about Commodities” supported this diversification strategy. Using monthly returns spanning the period from July 1959 to March 2004, the authors found that commodity fu ...
Multi-market Trading and Liquidity: Evidence from Cross
... As of 2013, there are over 500 non-U.S. firms listed on the New York Stock Exchange (NYSE). When a firm’s shares trade simultaneously on multiple exchanges, however, there may be more than one price for the same stock, i.e. identical financial assets trade at different prices in different markets. F ...
... As of 2013, there are over 500 non-U.S. firms listed on the New York Stock Exchange (NYSE). When a firm’s shares trade simultaneously on multiple exchanges, however, there may be more than one price for the same stock, i.e. identical financial assets trade at different prices in different markets. F ...
Table 1: Granger Causality Testing between Prices and Volumes
... properties in this paper as they are heavily traded shares on the ASX, and represent some of the largest companies, in terms of market capitalisation, on the ASX. The four listed banks analysed in this paper, the ANZ Banking Group (ANZ), the Commonwealth Bank of Australia (CBA), the National Austral ...
... properties in this paper as they are heavily traded shares on the ASX, and represent some of the largest companies, in terms of market capitalisation, on the ASX. The four listed banks analysed in this paper, the ANZ Banking Group (ANZ), the Commonwealth Bank of Australia (CBA), the National Austral ...
Glued to the TV: Distracted Retail Investors and Stock Market Liquidity
... trading activity was especially dramatic for small trades, the hallmark of retail traders. Because the O.J. Simpson trial is unrelated to the economy, such an episode speaks to a causal effect of retail trading on the stock market. [[ Insert Figure 1 about here ]] We create a sample of such distract ...
... trading activity was especially dramatic for small trades, the hallmark of retail traders. Because the O.J. Simpson trial is unrelated to the economy, such an episode speaks to a causal effect of retail trading on the stock market. [[ Insert Figure 1 about here ]] We create a sample of such distract ...
handbill on eligibility to bid for government securities in the primary
... accounts of a financial institution. CAPITAL means the paid-in capital and surplus account. SURPLUS means the excess of the assets over the liabilities and paid-in capital of the financial institutions but excluding the reserves set aside for valuation purposes and reserves for liabilities and defer ...
... accounts of a financial institution. CAPITAL means the paid-in capital and surplus account. SURPLUS means the excess of the assets over the liabilities and paid-in capital of the financial institutions but excluding the reserves set aside for valuation purposes and reserves for liabilities and defer ...
Development of an algorithmic trading model for intraday
... assumption that ideas of technical analysis can generate profitable outcome is highly debated. First to mention, the belief that technical analysis works contradicts the efficient market hypothesis (EMH) of Fama that stock prices fully reflect all available information (Fama, 1970). Therefore techni ...
... assumption that ideas of technical analysis can generate profitable outcome is highly debated. First to mention, the belief that technical analysis works contradicts the efficient market hypothesis (EMH) of Fama that stock prices fully reflect all available information (Fama, 1970). Therefore techni ...
Corporate Catastrophes, Stock Returns, and Trading Volume
... However, after a sharp initial negative impact amounting to almost 8 per cent of stock value, there is on average an apparent full recovery in just over 50 trading days. This suggests that the net impact on stock returns is negligible. However, as will be demonstrated, the ability to recover the los ...
... However, after a sharp initial negative impact amounting to almost 8 per cent of stock value, there is on average an apparent full recovery in just over 50 trading days. This suggests that the net impact on stock returns is negligible. However, as will be demonstrated, the ability to recover the los ...
Chapter 15 PPP
... • Buyer/holder has legally binding obligation to take delivery on specified date • Futures may be held until delivery date or traded on futures market • All trading is done on a margin basis ...
... • Buyer/holder has legally binding obligation to take delivery on specified date • Futures may be held until delivery date or traded on futures market • All trading is done on a margin basis ...
Fundamental of Technical Analysis and Algorithmic Trading
... Typically, the news is still bad. As prices retest the prior low, bearish sentiment quickly builds, and "the crowd" haughtily reminds all that the bear market is still deeply ensconced. Still, some positive signs appear for those who are looking: volume should be lower during wave two than during wa ...
... Typically, the news is still bad. As prices retest the prior low, bearish sentiment quickly builds, and "the crowd" haughtily reminds all that the bear market is still deeply ensconced. Still, some positive signs appear for those who are looking: volume should be lower during wave two than during wa ...
Liquidity and Market Crashes
... fundamentals—such as future asset payoffs. They exhibit some distinct features. Crashes are one-sided—there are no sudden market surges. They are typically accompanied by large selling pressures in the market. Moreover, the drop in prices occurs quickly but the recovery is much slower. Even though t ...
... fundamentals—such as future asset payoffs. They exhibit some distinct features. Crashes are one-sided—there are no sudden market surges. They are typically accompanied by large selling pressures in the market. Moreover, the drop in prices occurs quickly but the recovery is much slower. Even though t ...