international stock exchanges
... In 1761 a group of 150 stock brokers and jobbers form a club at Jonathan's to buy and sell shares. And in 1773 the brokers erect their own building in Sweeting’s Alley, with a dealing room on the ground floor and a coffee room above. Briefly known as “New Jonathan’s”, members soon change the name to ...
... In 1761 a group of 150 stock brokers and jobbers form a club at Jonathan's to buy and sell shares. And in 1773 the brokers erect their own building in Sweeting’s Alley, with a dealing room on the ground floor and a coffee room above. Briefly known as “New Jonathan’s”, members soon change the name to ...
Essays in Information and Asset Pricing
... traders’ overconfidence impacts the market precisely through the incorrect interpretation of their private signals on the fundamental value of the traded asset, the effects of overconfidence in the economy may crucially depend on the distribution of information among the agents. It seems natural, th ...
... traders’ overconfidence impacts the market precisely through the incorrect interpretation of their private signals on the fundamental value of the traded asset, the effects of overconfidence in the economy may crucially depend on the distribution of information among the agents. It seems natural, th ...
Make and Take Fees in the US Equity Market
... marketable orders (Foucault, Kadan, and Kandel, 2013). The increased number of executed transactions generates revenue for the platform and increases its market share with respect to its competitors. Alternatively, if an exchange were to observe many nonmarketable orders but few transactions, it can ...
... marketable orders (Foucault, Kadan, and Kandel, 2013). The increased number of executed transactions generates revenue for the platform and increases its market share with respect to its competitors. Alternatively, if an exchange were to observe many nonmarketable orders but few transactions, it can ...
Estimating the Gains from Trade in Limit
... A number of researchers have also developed theoretical models abstracting from the choice between market and limit orders. Glosten (1994) shows that in a competitive environment the limit-order market provides enough liqa uidity to discourage entry by other competing market designs. Sanda s (2001) ...
... A number of researchers have also developed theoretical models abstracting from the choice between market and limit orders. Glosten (1994) shows that in a competitive environment the limit-order market provides enough liqa uidity to discourage entry by other competing market designs. Sanda s (2001) ...
Demystifying Time-Series Momentum Strategies: Volatility
... part of the hedge fund industry. Using BarclayHedge estimates at the end of 2014, managed futures funds manage a total of $318bn. of assets, which is about 11% of the $2.8tr. hedge fund industry. These funds typically trade futures contracts on assets in various asset classes (equity indices, commod ...
... part of the hedge fund industry. Using BarclayHedge estimates at the end of 2014, managed futures funds manage a total of $318bn. of assets, which is about 11% of the $2.8tr. hedge fund industry. These funds typically trade futures contracts on assets in various asset classes (equity indices, commod ...
Examining Volatility Transmission in Major Agricultural Futures
... volatility ( uctuations) of international agricultural prices (Gilbert 2010). This has raised concern about unexpected price spikes as a major threat to food security, especially in less developed countries where food makes up a high proportion of household spending. The unprecedented price spikes i ...
... volatility ( uctuations) of international agricultural prices (Gilbert 2010). This has raised concern about unexpected price spikes as a major threat to food security, especially in less developed countries where food makes up a high proportion of household spending. The unprecedented price spikes i ...
No Arbitrage Conditions For Simple Trading Strategies
... In this section we provide a necessary and sufficient condition for the no arbitrage property of non-negative strict local martingales (i.e. not true martingales, see e.g. [4]) with respect to the simple trading strategies S(F). A typical example of a strict local martingale is the inverse process o ...
... In this section we provide a necessary and sufficient condition for the no arbitrage property of non-negative strict local martingales (i.e. not true martingales, see e.g. [4]) with respect to the simple trading strategies S(F). A typical example of a strict local martingale is the inverse process o ...
SME Exchanges in Emerging Market Economies
... The AIM system does not reduce costs for the issuer; the exchange is not marketed as a low-cost exchange. AIM maintains a significant regulatory framework, and in addition sponsors bring direct costs to the issuer. This implies higher costs that smaller emerging market issuers may not be able to bea ...
... The AIM system does not reduce costs for the issuer; the exchange is not marketed as a low-cost exchange. AIM maintains a significant regulatory framework, and in addition sponsors bring direct costs to the issuer. This implies higher costs that smaller emerging market issuers may not be able to bea ...
Mastering The Markets
... fact that the average trader doesn’t understand what drives the markets either! Many traders are quite happy to blindly follow mechanical systems, based on mathematical formulas that have been back-tested over 25 years of data to ‘prove’ the system’s predictive capacity. However, most of these trade ...
... fact that the average trader doesn’t understand what drives the markets either! Many traders are quite happy to blindly follow mechanical systems, based on mathematical formulas that have been back-tested over 25 years of data to ‘prove’ the system’s predictive capacity. However, most of these trade ...
Speculative Investors and Tobin`s Tax
... are sought later by homebuyers as well as by investors 4 (The Appendix provides additional details of the residential market background in Singapore). The presale market is more attractive to short-term speculators than the spot market for completed properties because a presale contract has a lower ...
... are sought later by homebuyers as well as by investors 4 (The Appendix provides additional details of the residential market background in Singapore). The presale market is more attractive to short-term speculators than the spot market for completed properties because a presale contract has a lower ...
Time-Varying Arrival Rates of Informed and Uninformed Trades
... for 16 actively traded stocks using daily numbers of buys and sells over 15 years from January 1983 to December 1998. We find that both the informed and uninformed order flows are highly persistent. More trade today generates more trade tomorrow by both kinds of traders. However, the uninformed arriva ...
... for 16 actively traded stocks using daily numbers of buys and sells over 15 years from January 1983 to December 1998. We find that both the informed and uninformed order flows are highly persistent. More trade today generates more trade tomorrow by both kinds of traders. However, the uninformed arriva ...
mandlebrot
... ways asset price changes are understood on a fundamental level. Mandelbrot's legacy as one of the main contributors to the field of technical analysis is firmly established but there are still some traders that view Mandelbrot's work as being disconnected from the real workings of asset markets. Her ...
... ways asset price changes are understood on a fundamental level. Mandelbrot's legacy as one of the main contributors to the field of technical analysis is firmly established but there are still some traders that view Mandelbrot's work as being disconnected from the real workings of asset markets. Her ...
The Development of Secondary Market Liquidity for NYSE
... stabilization and may discontinue support at any time. Since the underwriter trades through a floor broker, we expect underwriter stabilization to result in a high floor contribution to bid depth when other buying interest at the offer price is low. Stabilization may also have indirect effects on li ...
... stabilization and may discontinue support at any time. Since the underwriter trades through a floor broker, we expect underwriter stabilization to result in a high floor contribution to bid depth when other buying interest at the offer price is low. Stabilization may also have indirect effects on li ...
"Sophisticated Trading and Market Efficiency: Evidence from Macroeconomic News Announcements"
... which sophisticated traders obtain their information. My research contributes to a separate strand of the informed trading literature that is concerned with how traders optimally trade and impound their informational advantage into asset prices. A number of theories provide insights into optimal tra ...
... which sophisticated traders obtain their information. My research contributes to a separate strand of the informed trading literature that is concerned with how traders optimally trade and impound their informational advantage into asset prices. A number of theories provide insights into optimal tra ...
Research on SOGO SHOSHA: Origins, Establishment, and
... companies like SOGO SHOSHA. As a result, general trading companies grew rapidly in South Korea and heavily contributed to its economic development. They have similarities to Japanese SOGO SHOSHA, but also have many differences such as that they couldn’t get out of the role of contact center they pla ...
... companies like SOGO SHOSHA. As a result, general trading companies grew rapidly in South Korea and heavily contributed to its economic development. They have similarities to Japanese SOGO SHOSHA, but also have many differences such as that they couldn’t get out of the role of contact center they pla ...
Trading Volume Reaction to the Earnings Reconciliation from IFRS
... whether investors still find the earnings reconciliation from IFRS as issued by the IASB to U.S. GAAP useful in their trading decision, which is more pertinent to the SEC’s decision to abolish the reconciliation requirement. Third, we explore two mechanisms that might affect the trading volume reac ...
... whether investors still find the earnings reconciliation from IFRS as issued by the IASB to U.S. GAAP useful in their trading decision, which is more pertinent to the SEC’s decision to abolish the reconciliation requirement. Third, we explore two mechanisms that might affect the trading volume reac ...
Managed Futures: Portfolio Diversification Opportunities
... As the world’s leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign ...
... As the world’s leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign ...
A Stock Market Reaction Following Convertible Bond Issuance
... price effects of different offerings including convertible bonds during the period 1972 through 1982. They find the stock price reaction to the convertible debt offerings is significantly negative both in the two-day (day -1 to day 0) announcement period and at the issuance date. The result is simil ...
... price effects of different offerings including convertible bonds during the period 1972 through 1982. They find the stock price reaction to the convertible debt offerings is significantly negative both in the two-day (day -1 to day 0) announcement period and at the issuance date. The result is simil ...
Dynamic Trading with Predictable Returns and
... Markowitz portfolio (the moving target) and the expected Markowitz portfolios on all future dates (where the target is moving). Panel A of Figure 1 illustrates the construction of the optimal portfolio of two securities.1 The solid line illustrates the expected path of the Markowitz portfolio, start ...
... Markowitz portfolio (the moving target) and the expected Markowitz portfolios on all future dates (where the target is moving). Panel A of Figure 1 illustrates the construction of the optimal portfolio of two securities.1 The solid line illustrates the expected path of the Markowitz portfolio, start ...
Evidence about Bubble Mechanisms: Precipitating Event
... We are far from the first to consider positive feedback trading; there is a long literature on it, both theoretical and empirical, with notable contributions including Shiller (1984), De Long, Shleifer, Summers, and Waldmann (1990), Cutler, Poterba, and Summers (1990), Lakonishok, Shleifer, and Vish ...
... We are far from the first to consider positive feedback trading; there is a long literature on it, both theoretical and empirical, with notable contributions including Shiller (1984), De Long, Shleifer, Summers, and Waldmann (1990), Cutler, Poterba, and Summers (1990), Lakonishok, Shleifer, and Vish ...
Gains from Stock Exchange Integration: The
... the exchange—they can benefit from: (a) lower brokerage fees and commissions, to the extent that the reductions in exchange fees and the lower costs of accessing the market are passed on to them by brokers and market makers; (b) access to more diversified portfolios, in some cases overcoming their f ...
... the exchange—they can benefit from: (a) lower brokerage fees and commissions, to the extent that the reductions in exchange fees and the lower costs of accessing the market are passed on to them by brokers and market makers; (b) access to more diversified portfolios, in some cases overcoming their f ...
Equity Quantitative Study - International Swaps and Derivatives
... Before analyzing trades in terms of fair value, we “scrubbed” the sample to eliminate data-entry errors and certain trade-reporting idiosyncrasies. For example, when reporting conversion trades (buy a put and sell a call with the same strike) or “reverse conversions”, which have two legs, counterpar ...
... Before analyzing trades in terms of fair value, we “scrubbed” the sample to eliminate data-entry errors and certain trade-reporting idiosyncrasies. For example, when reporting conversion trades (buy a put and sell a call with the same strike) or “reverse conversions”, which have two legs, counterpar ...
Dynamic competition and arbitrage in electricity markets: The role of
... market power than would be optimal given the elasticity of the residual demand they actually faced. After learning about the future fall in transaction costs for financial traders, the firms moved closer to a static Nash equilibrium. This reaction is consistent with a repeated game cooperative equi ...
... market power than would be optimal given the elasticity of the residual demand they actually faced. After learning about the future fall in transaction costs for financial traders, the firms moved closer to a static Nash equilibrium. This reaction is consistent with a repeated game cooperative equi ...
Urgent Notice for non-EU issuers of Securities
... All securities outstanding at the date of entry into force of the Directive will need a home Member State with which to file annual information under Article 10 of the Directive. If the issuer neither lists nor offers to the public any further securities, how does it choose its home Member State for ...
... All securities outstanding at the date of entry into force of the Directive will need a home Member State with which to file annual information under Article 10 of the Directive. If the issuer neither lists nor offers to the public any further securities, how does it choose its home Member State for ...
Investing in Exchange Traded Funds (ETFs):
... invested either in a sector or an individual security. Concentrations can influence the volatility and performance of the ETF. One possible solution is to own a “capped” version of the ETF where maximum weight in the portfolio is established. Several “capped” ETFs are available on the Toronto Exchan ...
... invested either in a sector or an individual security. Concentrations can influence the volatility and performance of the ETF. One possible solution is to own a “capped” version of the ETF where maximum weight in the portfolio is established. Several “capped” ETFs are available on the Toronto Exchan ...