Measuring and Modeling Execution Cost and Risk
... Robert Engle is the Michael Armelino professor of Finance in the Stern School of Business at New York University in New York City [email protected] Robert Ferstenberg is a consultant residing in Concord, Massachusetts ...
... Robert Engle is the Michael Armelino professor of Finance in the Stern School of Business at New York University in New York City [email protected] Robert Ferstenberg is a consultant residing in Concord, Massachusetts ...
World Financial Markets, 1900-1925
... continued growing during the 1920s as European and Latin American bonds were floated in New York for the first time. London also grew quickly during the war due to the issue of domestic war bonds. However, part of the big increase in listings in 1916 and 1917 is due to two factors. First, I switch t ...
... continued growing during the 1920s as European and Latin American bonds were floated in New York for the first time. London also grew quickly during the war due to the issue of domestic war bonds. However, part of the big increase in listings in 1916 and 1917 is due to two factors. First, I switch t ...
Longshots, Overconfidence and Efficiency on the Iowa Electronic Market
... with no uncertainty about their value at that time and the market repeats itself under essentially identical conditions monthly. Finally, the structure of the market and the contracts traded imply that the price of a particular contract at any point in time should equal the market consensus probabi ...
... with no uncertainty about their value at that time and the market repeats itself under essentially identical conditions monthly. Finally, the structure of the market and the contracts traded imply that the price of a particular contract at any point in time should equal the market consensus probabi ...
Liquidation in the Face of Adversity: Stealth Versus Sunshine Trading
... A variety of circumstances such as a margin call or a stop-loss strategy in combination with a large price drop can force a market participant to liquidate a large asset position urgently. Such a swift liquidation may result in a significant impact on the asset price. Hence, intuitively it seems to ...
... A variety of circumstances such as a margin call or a stop-loss strategy in combination with a large price drop can force a market participant to liquidate a large asset position urgently. Such a swift liquidation may result in a significant impact on the asset price. Hence, intuitively it seems to ...
Anatomy of a Bond Futures Contract Delivery Squeeze
... acknowledged, there has been no investigation of strategic trading behavior of market manipulators during delivery squeezes.7 Our joint examination of price distortions and inventory positions of market participants is based on a rich dataset consisting of the cash and futures trades reported by in ...
... acknowledged, there has been no investigation of strategic trading behavior of market manipulators during delivery squeezes.7 Our joint examination of price distortions and inventory positions of market participants is based on a rich dataset consisting of the cash and futures trades reported by in ...
Final notice: JPMorgan Chase Bank NA
... seek to manipulate the fix rate to its benefit and to the potential detriment of certain of its clients. For example, there is a risk that a firm with net client orders to buy a particular currency at the fix rate might deliberately trade in a manner designed to manipulate the fix rate higher. This ...
... seek to manipulate the fix rate to its benefit and to the potential detriment of certain of its clients. For example, there is a risk that a firm with net client orders to buy a particular currency at the fix rate might deliberately trade in a manner designed to manipulate the fix rate higher. This ...
bid, ask and` transaction prices in a specialist
... come together and trade at a common price, the price at which supply equals demand. Securities exchanges are often singled out as excellent examples of markets that operate this way. In fact, however, trading on exchanges takes place over time, and some institutional arrangements are necessary to he ...
... come together and trade at a common price, the price at which supply equals demand. Securities exchanges are often singled out as excellent examples of markets that operate this way. In fact, however, trading on exchanges takes place over time, and some institutional arrangements are necessary to he ...
Chapter 2 Securities Markets and Transactions
... • The primary markets also provide a forum for the sale of additional stock called seasoned equity issues, by already public companies • Before offering the securities to the public for sale, the issuer must register them with and obtain approval from the securities and exchange commission (SEC). Th ...
... • The primary markets also provide a forum for the sale of additional stock called seasoned equity issues, by already public companies • Before offering the securities to the public for sale, the issuer must register them with and obtain approval from the securities and exchange commission (SEC). Th ...
Insider Trading and CEO Pay - Chicago Unbound
... with limits on when they can be sold. 12 Insiders may need to sell shares to fund consumption, especially if a large share of their wealth is tied to firm stock. There is some evidence that consumption-driven sales often arise on short notice, meaning trading restrictions can be quite costly. 13 Ins ...
... with limits on when they can be sold. 12 Insiders may need to sell shares to fund consumption, especially if a large share of their wealth is tied to firm stock. There is some evidence that consumption-driven sales often arise on short notice, meaning trading restrictions can be quite costly. 13 Ins ...
Price Impact and the Recovery of the Limit Order Book
... for liquidity takers and providers. Liquidity takers are able to plan their order splitting strategies better by considering the evolution of the entire immediate price impact function instead of the evolution of the future prices (market impacts of the trade). Liquidity providers can track on the t ...
... for liquidity takers and providers. Liquidity takers are able to plan their order splitting strategies better by considering the evolution of the entire immediate price impact function instead of the evolution of the future prices (market impacts of the trade). Liquidity providers can track on the t ...
Best-Fit Estimation Of Damaged Volume in Shareholder Class
... and the size and structure of settlements are all influenced by defendants’ perceptions of their exposure and plaintiffs’ perceptions of their potential gain, both of which turn on aggregate damages. Damage per share and number of damaged shares—also known as damaged volume— together determine this ...
... and the size and structure of settlements are all influenced by defendants’ perceptions of their exposure and plaintiffs’ perceptions of their potential gain, both of which turn on aggregate damages. Damage per share and number of damaged shares—also known as damaged volume— together determine this ...
The Information Content of Options Trading
... Our theoretical framework adopts the equilibrium model of Easley et al. (1998) which allows the participation of informed traders in the options market to be decided endogenously within an equilibrium framework. The Easley et al. model determines that, in equilibrium, informed traders will use optio ...
... Our theoretical framework adopts the equilibrium model of Easley et al. (1998) which allows the participation of informed traders in the options market to be decided endogenously within an equilibrium framework. The Easley et al. model determines that, in equilibrium, informed traders will use optio ...
Trading Authority — Workplace Investing Retirement Plans
... This agreement and its enforcement are governed by the laws of the Commonwealth of Massachusetts, except with respect to its conflicts-of-law provisions. This agreement is in addition to any other agreements between the parties and Fidelity and does not restrict any rights that may be created, eithe ...
... This agreement and its enforcement are governed by the laws of the Commonwealth of Massachusetts, except with respect to its conflicts-of-law provisions. This agreement is in addition to any other agreements between the parties and Fidelity and does not restrict any rights that may be created, eithe ...
Liquidity article - Zebra Capital Management
... for which the investors should be compensated, resulting in lower valuation for a lowvolume stock. However, in another study, Lee and Swaminathan (1998) show that the liquidity hypothesis is not totally consistent with their evidence. They study the joint interaction between past stock price momentu ...
... for which the investors should be compensated, resulting in lower valuation for a lowvolume stock. However, in another study, Lee and Swaminathan (1998) show that the liquidity hypothesis is not totally consistent with their evidence. They study the joint interaction between past stock price momentu ...
Electronic Market-Makers: Empirical Comparison
... market. Westerhoff [16] also explores the impact of inventory restrictions in a setup with an implied market-maker. The market-maker price adjustment reactions differ depending on the current inventory position along with current excess demands. The market-maker is assumed to make greater price adju ...
... market. Westerhoff [16] also explores the impact of inventory restrictions in a setup with an implied market-maker. The market-maker price adjustment reactions differ depending on the current inventory position along with current excess demands. The market-maker is assumed to make greater price adju ...
Catching falling knives: speculating on market overreaction
... is more likely to be driven by uninformed sales, but when this is actually not the case they make a loss. The model is deliberately abstract so as to apply to different types of agents. Supplyinformed traders can be seen as liquidity-taking high-frequency traders who use data on the order flow and b ...
... is more likely to be driven by uninformed sales, but when this is actually not the case they make a loss. The model is deliberately abstract so as to apply to different types of agents. Supplyinformed traders can be seen as liquidity-taking high-frequency traders who use data on the order flow and b ...
Introduction_to_Volatility
... underlying prices are lognormal distributed. For more information, see Price and Return's distribution. Thus, in a return's distribution, Volatility is the deviation of returns from their mean. If we assume the mean of returnsto be zero, then 10% yearly Volatility represents that in one year return ...
... underlying prices are lognormal distributed. For more information, see Price and Return's distribution. Thus, in a return's distribution, Volatility is the deviation of returns from their mean. If we assume the mean of returnsto be zero, then 10% yearly Volatility represents that in one year return ...
Introduction to Volatility
... underlying prices are lognormal distributed. For more information, see Price and Return's distribution. Thus, in a return's distribution, Volatility is the deviation of returns from their mean. If we assume the mean of returnsto be zero, then 10% yearly Volatility represents that in one year return ...
... underlying prices are lognormal distributed. For more information, see Price and Return's distribution. Thus, in a return's distribution, Volatility is the deviation of returns from their mean. If we assume the mean of returnsto be zero, then 10% yearly Volatility represents that in one year return ...
Prospect Theory and market quality - University of Michigan`s Ross
... of the equity premium, excess stock return volatility, momentum and the disposition effect, the value premium, or stock return predictability and its implications for portfolio selection.2 The past two decades have also been characterized by an increasing interest in the study of the process of pric ...
... of the equity premium, excess stock return volatility, momentum and the disposition effect, the value premium, or stock return predictability and its implications for portfolio selection.2 The past two decades have also been characterized by an increasing interest in the study of the process of pric ...
FREE Sample Here
... the price per gram of plutonium changes to (a) $4,750 (b) $4,900 (c) $5,100 (d) $5,250 Answer d. 8. A “stack-and-roll” strategy makes profits from the “roll” part when (a) The market is in backwardation. (b) The market is in contango. (c) There is a sharp fall in commodity prices. (d) The correlatio ...
... the price per gram of plutonium changes to (a) $4,750 (b) $4,900 (c) $5,100 (d) $5,250 Answer d. 8. A “stack-and-roll” strategy makes profits from the “roll” part when (a) The market is in backwardation. (b) The market is in contango. (c) There is a sharp fall in commodity prices. (d) The correlatio ...
Derivatives Trading and Its Impact on the Volatility of NSE, India
... some pre-existing risk by taking positions in derivatives markets that offset potential losses in the underlying or spot market. In India, most derivatives users describe themselves as hedgers and Indian laws generally require that derivatives be used for hedging purposes only. Another motive for de ...
... some pre-existing risk by taking positions in derivatives markets that offset potential losses in the underlying or spot market. In India, most derivatives users describe themselves as hedgers and Indian laws generally require that derivatives be used for hedging purposes only. Another motive for de ...
Does high-frequency trading improve market quality?
... millisecond and distribute the updated order book information to the public in 2.5 milliseconds. In response to the introduction of this sophisticated trading platform, market participants attempt to obtain milliseconds speed advantages by investing in computer technologies, and take extraordinarily ...
... millisecond and distribute the updated order book information to the public in 2.5 milliseconds. In response to the introduction of this sophisticated trading platform, market participants attempt to obtain milliseconds speed advantages by investing in computer technologies, and take extraordinarily ...
Order Exposure and Liquidity Coordination
... (i.e., overbidding). Our key results are therefore driven by the interaction of both mechanisms, liquidity competition in the primary exchange and order flow attraction from latent investors. A central finding of our study is that due to mis-coordination (large) hidden orders can significantly harm ...
... (i.e., overbidding). Our key results are therefore driven by the interaction of both mechanisms, liquidity competition in the primary exchange and order flow attraction from latent investors. A central finding of our study is that due to mis-coordination (large) hidden orders can significantly harm ...
The Anatomy of a Stock Market Winner
... This article analyzes characteristics of past stock market winners to see whether they may yield some insights into successful investment strategies. Earlierresearch has isolated a particular attribute (such as P/E or size) and then investigated its associated return behavior; we take the opposite t ...
... This article analyzes characteristics of past stock market winners to see whether they may yield some insights into successful investment strategies. Earlierresearch has isolated a particular attribute (such as P/E or size) and then investigated its associated return behavior; we take the opposite t ...
Stock Basics Tutorial
... sent back to the brokerage firm, who then notifies the investor who placed the order. Although there is human contact in this process, don't think that the NYSE is still in the stone age: computers play a huge role in the process. The Nasdaq The second type of exchange is the virtual sort called an ...
... sent back to the brokerage firm, who then notifies the investor who placed the order. Although there is human contact in this process, don't think that the NYSE is still in the stone age: computers play a huge role in the process. The Nasdaq The second type of exchange is the virtual sort called an ...