Stop-loss and Investment Returns - Actuaries
... review the profitability of stop-loss strategies in varied financial markets. We conclude by suggesting further research. Extensions to alternative money management techniques and take-profit strategies are discussed. ...
... review the profitability of stop-loss strategies in varied financial markets. We conclude by suggesting further research. Extensions to alternative money management techniques and take-profit strategies are discussed. ...
Margin Requirements, Volatility, and Market Integrity
... that margin requirements can be systematically altered to manage the volatility in stock markets. The empirical evidence shows that, while high Reg T margin requirements may reduce the volume of securities credit lending and high futures margins do appear to reduce the open interest in futures mark ...
... that margin requirements can be systematically altered to manage the volatility in stock markets. The empirical evidence shows that, while high Reg T margin requirements may reduce the volume of securities credit lending and high futures margins do appear to reduce the open interest in futures mark ...
Does Liquidity Affect Securities Market Efficiency?
... reasons, tests of efficiency using TradeSports data nicely complement the evidence from wagering markets, experimental markets, and conventional financial markets. To measure the liquidity of securities markets on the TradeSports exchange, I rely on two indicators designed to capture O’Hara’s (1995 ...
... reasons, tests of efficiency using TradeSports data nicely complement the evidence from wagering markets, experimental markets, and conventional financial markets. To measure the liquidity of securities markets on the TradeSports exchange, I rely on two indicators designed to capture O’Hara’s (1995 ...
Dynamic Portfolio Execution - Jacobs Levy Center
... synchronized trading across assets. Second, how to manage cross-asset liquidity? To the extent that liquidity can be connected across assets, properly coordinating trades can help improve execution. Controlling price impact is a challenging problem because it requires modeling how markets will react ...
... synchronized trading across assets. Second, how to manage cross-asset liquidity? To the extent that liquidity can be connected across assets, properly coordinating trades can help improve execution. Controlling price impact is a challenging problem because it requires modeling how markets will react ...
Security Futures
... The importance of margin The term “margin” has an entirely different meaning in the futures industry than it does when purchasing stocks. When purchasing stocks, margin refers to a partial payment for the stock being bought (with the balance being financed). In the futures industry, margin is solely ...
... The importance of margin The term “margin” has an entirely different meaning in the futures industry than it does when purchasing stocks. When purchasing stocks, margin refers to a partial payment for the stock being bought (with the balance being financed). In the futures industry, margin is solely ...
Market efficiency in emerging stock markets: A case study of the
... Abrosimova et al. (2002), in their study, tested weak-form in the Russian stock market. In order to test RWH, they used unit root, auto-correlation, variance ratio tests, and model comparison approach (ARIMA and GARCH). Results showed evidence for the existence of weak-form efficiency in the Russian ...
... Abrosimova et al. (2002), in their study, tested weak-form in the Russian stock market. In order to test RWH, they used unit root, auto-correlation, variance ratio tests, and model comparison approach (ARIMA and GARCH). Results showed evidence for the existence of weak-form efficiency in the Russian ...
Limit Order Strategic Placement with Adverse Selection
... of the signs of trades (i.e. there is more chance the next transaction is initiated by a buyer or a seller if the previous ones have been too) and the negative autocorrelation of the returns (once the price moved up –respectively down– the probability it goes down –resp. up– is larger than if the pr ...
... of the signs of trades (i.e. there is more chance the next transaction is initiated by a buyer or a seller if the previous ones have been too) and the negative autocorrelation of the returns (once the price moved up –respectively down– the probability it goes down –resp. up– is larger than if the pr ...
THE MIRAGE OF TRIANGULAR ARBITRAGE IN THE SPOT
... a trade can be executed; at a given time one may be able to trade at exactly this price or, as is often the case, the real price at which one executes the trade, the executable price, differs from the indicative price by a few basis pointse . The main purpose of an indicative price is to supply clie ...
... a trade can be executed; at a given time one may be able to trade at exactly this price or, as is often the case, the real price at which one executes the trade, the executable price, differs from the indicative price by a few basis pointse . The main purpose of an indicative price is to supply clie ...
Liquidity and the Law of One Price: The Case of the Futures/Cash
... Intraday data are purged for one of the following reasons: trades out of sequence, trades recorded before the open or after the closing time, and trades with special settlement conditions (because they might be subject to distinct liquidity considerations). A preliminary investigation reveals that a ...
... Intraday data are purged for one of the following reasons: trades out of sequence, trades recorded before the open or after the closing time, and trades with special settlement conditions (because they might be subject to distinct liquidity considerations). A preliminary investigation reveals that a ...
... Investor sentiment will impact investment products and trading volume. This will especially impact product selection and therefore the investment portfolio. ETF can meet the investor requirement of reduced risk, and expected return. From the above discussion it is clear from previous literature that ...
Eighths, sixteenths, and market depth: changes in tick
... market, and cumulative depth, we use order data provided by the NYSE to reconstruct the limit order book before and after the change in tick size. Similar to previous studies, we "nd that quoted spreads have declined by an average of $0.03 or 14.3% and quoted depth declined by an average of 48%. How ...
... market, and cumulative depth, we use order data provided by the NYSE to reconstruct the limit order book before and after the change in tick size. Similar to previous studies, we "nd that quoted spreads have declined by an average of $0.03 or 14.3% and quoted depth declined by an average of 48%. How ...
The Mirage of Triangular Arbitrage in the Spot Foreign Exchange
... executable prices is likely to be less important if one is performing a low frequency study, arguably down to time scales of 10–15 minutes [6]. If, however, one is considering very high-frequency data, this difference becomes highly significant. For example, in [4] Goodhart and Figliuoli find a nega ...
... executable prices is likely to be less important if one is performing a low frequency study, arguably down to time scales of 10–15 minutes [6]. If, however, one is considering very high-frequency data, this difference becomes highly significant. For example, in [4] Goodhart and Figliuoli find a nega ...
ISE T7 Release 5.0 Market Model.
... improving the price quality of supported securities. Only traders using the M account can enter quotes. Quotes are entered as pairs of buy and sell limit orders, also referred to as Double-Sided Quotes1. A quote in T7 belongs to the technical session through which it had been entered. A session can ...
... improving the price quality of supported securities. Only traders using the M account can enter quotes. Quotes are entered as pairs of buy and sell limit orders, also referred to as Double-Sided Quotes1. A quote in T7 belongs to the technical session through which it had been entered. A session can ...
"garden of the forking paths"? - Houston Business and Tax Law
... contracts 12 to fix the terms of sale before delivering the goods. 3 Before entering into a contract for the future delivery of goods, the producers (sellers) and buyers would agree to a price based on factors such as experience and their own subjective price expectations at the time of delivery. 14 ...
... contracts 12 to fix the terms of sale before delivering the goods. 3 Before entering into a contract for the future delivery of goods, the producers (sellers) and buyers would agree to a price based on factors such as experience and their own subjective price expectations at the time of delivery. 14 ...
The information content of market liquidity: An empirical analysis of
... cost of trading equities changes, as there are potentially fewer liquidity suppliers left. To support their conjecture Næs et al. show, using ownership data for Norway, that market liquidity is correlated with the number of investors moving in and out of the market. In practice, there are several dy ...
... cost of trading equities changes, as there are potentially fewer liquidity suppliers left. To support their conjecture Næs et al. show, using ownership data for Norway, that market liquidity is correlated with the number of investors moving in and out of the market. In practice, there are several dy ...
ETF Trading and Execution in the European MarketsPDF
... the AP would reference a list of the exact securities and their weightings within the fund using the PCF list from the ETF fund provider. The AP would gather those same securities in their appropriate weightings into a creation unit. Next, the AP would transfer the creation unit in-kind or in cash t ...
... the AP would reference a list of the exact securities and their weightings within the fund using the PCF list from the ETF fund provider. The AP would gather those same securities in their appropriate weightings into a creation unit. Next, the AP would transfer the creation unit in-kind or in cash t ...
Are Directors Dealings Informative?
... In the past decade, the use of directors’ dealings reports in stock analysis has become common practice among financial professionals. The rationale behind it is that substantial information asymmetries exist between company insiders and outside investors.1 Since insiders are involved in the day-to ...
... In the past decade, the use of directors’ dealings reports in stock analysis has become common practice among financial professionals. The rationale behind it is that substantial information asymmetries exist between company insiders and outside investors.1 Since insiders are involved in the day-to ...
PDF
... and wheat futures, and concludes that the seasonal components for all three commodities peak about two to three months before the beginning of harvest. For the literature on how fundamentals affect volatility, it has been established that volatility is time-varying (Koekebakker and Lien 2004), high ...
... and wheat futures, and concludes that the seasonal components for all three commodities peak about two to three months before the beginning of harvest. For the literature on how fundamentals affect volatility, it has been established that volatility is time-varying (Koekebakker and Lien 2004), high ...
Should Dark Pools Improve Upon Visible Quotes
... In recent years, concern has arisen over the impact of dark trading on equity markets. While dark markets are not new, this concern comes as they begin to match the electronic organization of visible markets, and gain a significant share of global trading activity. The CFA Institute estimates that ...
... In recent years, concern has arisen over the impact of dark trading on equity markets. While dark markets are not new, this concern comes as they begin to match the electronic organization of visible markets, and gain a significant share of global trading activity. The CFA Institute estimates that ...
The Causal Effects of Short-Selling Bans
... discontinuities in short-selling activity are up to 20% (40%) of the mean (median) shortselling activity for all short-eligible firms in Hong Kong. Despite this, we find that these short-selling bans have no effect on stock prices or market quality. Stock returns, volatility, bid-ask spreads, and c ...
... discontinuities in short-selling activity are up to 20% (40%) of the mean (median) shortselling activity for all short-eligible firms in Hong Kong. Despite this, we find that these short-selling bans have no effect on stock prices or market quality. Stock returns, volatility, bid-ask spreads, and c ...
Stock Splits, Liquidity and Limit Orders
... We find that daily share volume decreases by about 9% following a stock split. This result is consistent with Copeland (1979), Lamoureux and Poon (1987) though it differs from Desai, Nimalendran and Venkataraman (1998), who find no significant change. We find no evidence, however, of a change in to ...
... We find that daily share volume decreases by about 9% following a stock split. This result is consistent with Copeland (1979), Lamoureux and Poon (1987) though it differs from Desai, Nimalendran and Venkataraman (1998), who find no significant change. We find no evidence, however, of a change in to ...
Intraday Periodicity Adjustments of Transaction Duration and Their
... of the prices weighted by trade volume. ...
... of the prices weighted by trade volume. ...
ch15 - U of L Class Index
... Constant Mix Strategy (cont’d) Example (cont’d) Solution: a 60%/40% asset allocation for a $2.5 million portfolio means the portfolio should contain $1.5 million in stock and $1 million in bonds. Thus, the manager should buy $100,000 worth of stock and sell $100,000 worth of bonds. ...
... Constant Mix Strategy (cont’d) Example (cont’d) Solution: a 60%/40% asset allocation for a $2.5 million portfolio means the portfolio should contain $1.5 million in stock and $1 million in bonds. Thus, the manager should buy $100,000 worth of stock and sell $100,000 worth of bonds. ...
Trading Rules and Practices
... viewed dividends and capital gains to be perfect substitutes and that differential tax rates on dividends and capital gains have caused investors to discount the value of taxable cash distributions relative to capital gains. Poterba (1986) re-examines the ex-day price drop for two classes of Citize ...
... viewed dividends and capital gains to be perfect substitutes and that differential tax rates on dividends and capital gains have caused investors to discount the value of taxable cash distributions relative to capital gains. Poterba (1986) re-examines the ex-day price drop for two classes of Citize ...