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LULD Plan 12th Amendment Plan Text (FINAL with markings)
LULD Plan 12th Amendment Plan Text (FINAL with markings)

... Eligible Reported Transactions for the NMS Stock have occurred over the immediately preceding fiveminute period, the previous Reference Price shall remain in effect. The Price Bands for an NMS Stock shall be calculated by applying the Percentage Parameter for such NMS Stock to the Reference Price, ...
ESPP Prospectus 2016: 2nd offering period
ESPP Prospectus 2016: 2nd offering period

... supplements to the prospectus. No person has been authorised to give any information or make any representations other than those contained in the prospectus and, if nevertheless given or made, such information or representations must not be relied upon as having been authorised by Nasdaq. Presentat ...
High Idiosyncratic Volatility and Low Returns
High Idiosyncratic Volatility and Low Returns

... Abstract Stocks with high idiosyncratic volatility have low expected returns around the world. This effect is individually significant in each G7 country. Across 23 developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility is –1. ...
Generating South African Volatility Surface
Generating South African Volatility Surface

... Traders say volatilities are “skewed” when options of a given asset trade at increasing or decreasing levels of implied volatility as you move through the strikes. The volatility skew (smile) was first observed and mentioned by Black and Scholes in a paper that appeared in 1972 [BS 72]. It was then ...
Night Trading: Lower Risk But Higher Returns? by Marie
Night Trading: Lower Risk But Higher Returns? by Marie

... significant. To make a parallel with Jegadeesh and Titman’s (1993) momentum strategy, an “overnight momentum” strategy of picking stocks in the top decile of overnight returns in the United States for the past year and holding them overnight-only for the next year yields an annual return of 40.43%. ...
Bid-ask spread components on the foreign exchange market: The
Bid-ask spread components on the foreign exchange market: The

... Declaration of Confidentiality with Regard to the MICEX Data ....................................................... II Preface ....................................................................................................................................... III Table of contents .............. ...
Causes and Consequences of Margin Levels in Futures Markets
Causes and Consequences of Margin Levels in Futures Markets

... and position risk for all market participants. In explaining the average margin requirement over time for a futures contract, I find that the main determinant of margin levels is contract-specific price volatility. The average percentage margin is set as a multiple of the volatility of the particular ...
Chen_uta_2502D_12115
Chen_uta_2502D_12115

... shares in 2008. The main corresponding derivative market, the Chicago Board of Options Exchange (CBOE), also had about 1.2 billion in total number of contracts traded. It translates into an annual total trading value of over 969 billion dollars. The heavy trading activities in those markets makes us ...
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What Does Average Directional Index - ADX Mean

... Breakouts from a range occur when there is a disagreement between the buyers and sellers on price, which tips the balance of supply and demand. Whether it is more supply than demand, or more demand than supply, it is the difference that creates price momentum. Breakouts are not hard to spot, but the ...
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The performance of estimators of the bid-ask

... volatility of the mid-price (the noise). Spreads are much smaller for frequently traded assets than for less frequently traded ones. Since by definition the former dominate trading activity in the market, measuring their spreads accurately is of particular interest. Moreover the signal-to-noise prob ...
Dealing With High Volatility “Low Volatility Folios”
Dealing With High Volatility “Low Volatility Folios”

... Creating the Low Volatility Folio The Low Volatility ETF Folio generated an average return of 5.9% per year over the four years through 2007, as compared to a benchmark of an S&P500 fund and fixedincome funds, which averaged 5% per year in return over this same period, with slightly higher risk. It ...
Why do foreign firms leave US equity markets?
Why do foreign firms leave US equity markets?

... Karolyi thanks the Dice Center for Financial Economics for financial support. ...
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... ∂c/∂x > 0. Merton (1973) shows that all risk-averse utility maximizers will attempt to hedge against such shifts in the sense that if ∂c/∂x < 0 (∂c/∂x > 0), then, ceteris paribus, they will demand more of an asset, the more positively (negatively) correlated the asset’s return is with changes in x. ...
Asset Liquidity and Stock Liquidity
Asset Liquidity and Stock Liquidity

... Using this approach we come up with 4 alternative measures of asset liquidity that vary based on the liquidity scores assigned to the different assets. In our 1st set of tests we estimate the time-series and cross-sectional relation between asset liquidity and stock liquidity. These tests help us un ...
The Impact of Hidden Liquidity in Limit Order Books
The Impact of Hidden Liquidity in Limit Order Books

... We thank Uday Rajan, Mark Van Achter, Burton Hollifield, Gideon Saar, Rick Harris, Mike Pagano, and seminar participants at the NBER Market Microstructure Meetings, the Center for Financial Studies’ Conference on the Industrial Organization of Securities Markets, and the Society for Financial Econom ...
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Common market makers and commonality in liquidity

... interest rate shock could stimulate a shared desire to rebalance portfolios and thus stimulate a systematic increase in the demand for liquidity. Concurrently, however, an interest rate shock would also alter the cost (and risk) of supplying liquidity. In the normal course of events, liquidity co-va ...
Common market makers and commonality in liquidity
Common market makers and commonality in liquidity

... interest rate shock could stimulate a shared desire to rebalance portfolios and thus stimulate a systematic increase in the demand for liquidity. Concurrently, however, an interest rate shock would also alter the cost (and risk) of supplying liquidity. In the normal course of events, liquidity co-va ...
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Journal of Financial Economics Momentum crashes

... cation, we calculate up- and down-betas for the momentum portfolios and show that, in a bear market, a momentum portfolio’s up-market beta is more than double its down-market beta (−1.51 versus −0.70 with a t-statistic of the difference = 4.5). Outside of bear markets, there is no statistically reli ...
Volatility: Implications for Value and Glamour Stocks
Volatility: Implications for Value and Glamour Stocks

... IV. Volatility as Opportunity In theory, greater price fluctuations may result in greater chances for mispriced securities and sources of opportunity for value investors. As an exercise to quantify this effect, we combined this data with approaches from previous Brandes Institute research. We revisi ...
Hedge Funds and the Technology Bubble
Hedge Funds and the Technology Bubble

... Our finding that hedge funds were riding the bubble, and that they earned excess profits from doing so is consistent with their model. DeLong, Shleifer, Summers and Waldmann (DSSW) (1990a) show that noise trader risk also limits arbitrage. Risk-averse arbitrageurs with short-horizons are reluctant t ...
Do Retail Trades Move Markets? - Faculty Directory | Berkeley-Haas
Do Retail Trades Move Markets? - Faculty Directory | Berkeley-Haas

... the Trade and Quotes (TAQ) and Institute for the Study of Security Markets (ISSM) transaction data over the period 1983–2001. We document four results: (1) Order imbalance based on buyer- and seller-initiated small trades from the TAQ/ISSM data correlate well with the order imbalance based on trades ...
Option Spread and Combination Trading
Option Spread and Combination Trading

... options markets are the most heavily traded short-term interest rate futures and options markets respectively in the world. Like some other executing brokers, Bear Brokerage regularly stations an observer at the periphery of the Eurodollar option and futures pits with instructions to record all opt ...
View the presentation.
View the presentation.

... activity does not occur in the U.S.  Personnel in Non-U.S. manager’s U.S. office are responsible for stock selection on an autonomous basis subject to direction and high-level oversight by higher-level non-U.S. personnel  Because the fund is not owned by majority of U.S. persons, fund does not tri ...
Comomentum: Inferring Arbitrage Activity from Return
Comomentum: Inferring Arbitrage Activity from Return

... As in Hong and Stein (1999), Stein (2009) adds boundedly-rational arbitrageurs who are simple momentum traders. The key assumption in Stein’s model is that each individual arbitrageur cannot know in real time how much capital is deployed by other arbitrageurs in a certain strategy. The inability of ...
NBER WORKING PAPER SERIES DEMAND-BASED OPTION PRICING Nicolae Garleanu Lasse Heje Pedersen
NBER WORKING PAPER SERIES DEMAND-BASED OPTION PRICING Nicolae Garleanu Lasse Heje Pedersen

... a marginal change in the demand pressure in an option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option, where the variance is computed under a certain probability measure. Similarly, the demand pressure increases the price of any other opti ...
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High-frequency trading

High-frequency trading (HFT) is a type of algorithmic trading characterized by high speeds, high turnover rates, and high order-to-trade ratios that leverages high-frequency financial data[1] and electronic trading tools. While there is no single definition of HFT, among its key attributes are highly sophisticated algorithms, specialized order types, co-location, very short-term investment horizons, and high cancellation rates of orders. HFT can be viewed as a primary form of algorithmic trading in finance. Specifically, it is the use of sophisticated technological tools and computer algorithms to rapidly trade securities. HFT uses proprietary trading strategies carried out by computers to move in and out of positions in seconds or fractions of a second. It is estimated that as of 2009, HFT accounted for 60-73% of all US equity trading volume, with that number falling to approximately 50% in 2012.High-frequency traders move in and out of short-term positions at high volumes and high speeds aiming to capture sometimes a fraction of a cent in profit on every trade. HFT firms do not consume significant amounts of capital, accumulate positions or hold their portfolios overnight. As a result, HFT has a potential Sharpe ratio (a measure of reward to risk) tens of times higher than traditional buy-and-hold strategies. High-frequency traders typically compete against other HFTs, rather than long-term investors. HFT firms make up the low margins with incredibly high volumes of trades, frequently numbering in the millions.It has been argued that a core incentive in much of the technological development behind high-frequency trading is essentially front running, in which the varying delays in the propagation of orders is taken advantage of by those who have earlier access to information.A substantial body of research argues that HFT and electronic trading pose new types of challenges to the financial system. Algorithmic and high-frequency traders were both found to have contributed to volatility in the Flash Crash of May 6, 2010, when high-frequency liquidity providers rapidly withdrew from the market. Several European countries have proposed curtailing or banning HFT due to concerns about volatility. Other complaints against HFT include the argument that some HFT firms scrape profits from investors when index funds rebalance their portfolios.
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