Adverse Selection and Competitive Market Making
... restrictions on quotes and depths in the limit order book implied by the theoretical model. I nd strong evidence of insucient depth in the limit order books relative to the model predictions. For most stocks, an extended version of the model with a state dependent market order distribution predict ...
... restrictions on quotes and depths in the limit order book implied by the theoretical model. I nd strong evidence of insucient depth in the limit order books relative to the model predictions. For most stocks, an extended version of the model with a state dependent market order distribution predict ...
The Quote- Option and Stock
... • For short call spreads- roll once if the loss gets to 50% of the credit – This means the short idea is wrong for now and 1 roll is keeping the position manageable – Once at 50% of the credit twice exit and reevaluate (at this point 1.5 STDs in one direction) The exception is to take the short but ...
... • For short call spreads- roll once if the loss gets to 50% of the credit – This means the short idea is wrong for now and 1 roll is keeping the position manageable – Once at 50% of the credit twice exit and reevaluate (at this point 1.5 STDs in one direction) The exception is to take the short but ...
to Official Notice - The Stock Exchange of Mauritius
... (ii) the listing of up to 425,342,317 ordinary shares of BLL on the Official Market of the Stock Exchange of Mauritius Ltd following the above amalgamation, which will involve the migration of BLL from the DEM to the Official Market and consequently, the withdrawal of BLL from the DEM. 2. Suspension ...
... (ii) the listing of up to 425,342,317 ordinary shares of BLL on the Official Market of the Stock Exchange of Mauritius Ltd following the above amalgamation, which will involve the migration of BLL from the DEM to the Official Market and consequently, the withdrawal of BLL from the DEM. 2. Suspension ...
Correlated Trading and Returns
... which retail investors can gradually build or reduce positions in individual stocks and mutual funds at predetermined dates (similar to ShareBuilder in the US); such plan trades are likely driven by savings or dissavings motives and are thus classified as non-speculative. Trading in assets other tha ...
... which retail investors can gradually build or reduce positions in individual stocks and mutual funds at predetermined dates (similar to ShareBuilder in the US); such plan trades are likely driven by savings or dissavings motives and are thus classified as non-speculative. Trading in assets other tha ...
NYSE AMEX OPTIONS FEE SCHEDULE* *NYSE Amex
... Floor Market Maker during the temporary absence of a Floor Market Maker. A Reserve Floor Market Maker ATP is empowered to act as a qualified MMAT and Floor Market Maker in lieu of the absent Floor Market Maker. When a Floor Market Maker is or will be absent, an ATP Holder that maintains a Reserve Fl ...
... Floor Market Maker during the temporary absence of a Floor Market Maker. A Reserve Floor Market Maker ATP is empowered to act as a qualified MMAT and Floor Market Maker in lieu of the absent Floor Market Maker. When a Floor Market Maker is or will be absent, an ATP Holder that maintains a Reserve Fl ...
Stock prices volatility and trading volume
... In future research it can be paid more attention also to Central and Eastern Europe (CEE) stock markets and comparison its selected companies within the same problematic of price volatility and trading volume as well. Kavkler and Festić (2011) argue that capital markets in CEE countries are not very ...
... In future research it can be paid more attention also to Central and Eastern Europe (CEE) stock markets and comparison its selected companies within the same problematic of price volatility and trading volume as well. Kavkler and Festić (2011) argue that capital markets in CEE countries are not very ...
Maker-Taker Pricing Effects on Market Quotations
... holding constant the quoted spread, the access fees render taking liquidity less attractive, and the liquidity rebates render making markets more attractive. Following the adoption of makertaker pricing, quoted bid-ask spreads thus had to decrease to restore the equilibrium between taking and making ...
... holding constant the quoted spread, the access fees render taking liquidity less attractive, and the liquidity rebates render making markets more attractive. Following the adoption of makertaker pricing, quoted bid-ask spreads thus had to decrease to restore the equilibrium between taking and making ...
Liquidation in the Face of Adversity: Stealth Versus Sunshine Trading
... patterns may emerge as optimal for the same set of agents when they are trading in markets of different liquidity types. Since our model market allows for anonymous trading possibilities and will turn out as being semi-strong efficient, our results are applicable to a wide variety of real-world mark ...
... patterns may emerge as optimal for the same set of agents when they are trading in markets of different liquidity types. Since our model market allows for anonymous trading possibilities and will turn out as being semi-strong efficient, our results are applicable to a wide variety of real-world mark ...
The Impact of Collateralization on Swap Rates
... haircuts or initial margins that would have limited their ability to leverage.4 In a review of collateral management during the market stress of 1997 and 1998, ISDA (1999) finds that “many institutions avoided or greatly reduced credit losses” through collateralization (p. 13). Moreover, the causes ...
... haircuts or initial margins that would have limited their ability to leverage.4 In a review of collateral management during the market stress of 1997 and 1998, ISDA (1999) finds that “many institutions avoided or greatly reduced credit losses” through collateralization (p. 13). Moreover, the causes ...
Market Design with Blockchain Technology
... In the second setting, investors see each others’ holdings so that large investors are identifiable as large. For this setting we show that large investors only trade among each other. Even though front-running is in principle possible, it does not occur in equilibrium because of the repeated intera ...
... In the second setting, investors see each others’ holdings so that large investors are identifiable as large. For this setting we show that large investors only trade among each other. Even though front-running is in principle possible, it does not occur in equilibrium because of the repeated intera ...
Interest Rate Derivatives – Fixed Income Trading Strategies
... Futures Spread Margin and Additional Margin Question 44 Describe the concept of time spread positions with futures. Question 45 Which open futures positions are subject to margin requirements? Question 46 Which is usually the higher margin rate for instruments within the same margin class, the Futur ...
... Futures Spread Margin and Additional Margin Question 44 Describe the concept of time spread positions with futures. Question 45 Which open futures positions are subject to margin requirements? Question 46 Which is usually the higher margin rate for instruments within the same margin class, the Futur ...
High frequency trading: assessing the impact on market
... integrity suggests that HFT may not be the bogey man that many buy-side institutions have made it out to be. Our results show that efficiency has improved as has the integrity of the market in the wake of increases in HFT. The findings in this report should be viewed cautiously given the experimenta ...
... integrity suggests that HFT may not be the bogey man that many buy-side institutions have made it out to be. Our results show that efficiency has improved as has the integrity of the market in the wake of increases in HFT. The findings in this report should be viewed cautiously given the experimenta ...
Preview - American Economic Association
... the asset, there is little benefit for him to stay in the market since the chance of finding someone with an even higher valuation is low. Similarly, if an investor has a low valuation of the asset, once he sells the asset, there is little benefit for him to stay in the market. In contrast to the above ...
... the asset, there is little benefit for him to stay in the market since the chance of finding someone with an even higher valuation is low. Similarly, if an investor has a low valuation of the asset, once he sells the asset, there is little benefit for him to stay in the market. In contrast to the above ...
AMP Capital Derivatives Risk Statement
... implementing the investment processes of AMP Capital and is readily accessible to all staff and clients as required. ...
... implementing the investment processes of AMP Capital and is readily accessible to all staff and clients as required. ...
Seminar 3 - Wednesday 12-10-2016 with answers File
... This assumes two steps: 1. Exchange an amount of $USD at current spot rate and invest in interest bearing account denominated in MXN for 90-day period 2. The amount required today to meet the payable obligation of MXN 100,000,000 in 90-days time then needs to be carried forward (in time value for mo ...
... This assumes two steps: 1. Exchange an amount of $USD at current spot rate and invest in interest bearing account denominated in MXN for 90-day period 2. The amount required today to meet the payable obligation of MXN 100,000,000 in 90-days time then needs to be carried forward (in time value for mo ...
1. ISIN code of Lithuanian securities (CD code of securities)
... LT000030000X – LT000039999X – Corporate bonds with maturity up to 1 year LT000040000X – LT000049999X – Corporate bonds with maturity over 1 year LT000050000X – LT000059999X – Government securities (T-bills) with maturity up to 1 year LT000060000X – LT000069999X – Government securities (bonds) with m ...
... LT000030000X – LT000039999X – Corporate bonds with maturity up to 1 year LT000040000X – LT000049999X – Corporate bonds with maturity over 1 year LT000050000X – LT000059999X – Government securities (T-bills) with maturity up to 1 year LT000060000X – LT000069999X – Government securities (bonds) with m ...
Volatility - U.S. Options
... commissions and other transaction fees, tax considerations, or margin requirements, which are factors that may significantly affect the economic consequences of a given strategy. An investor should review transaction costs, margin requirements and tax considerations with a broker and tax advisor bef ...
... commissions and other transaction fees, tax considerations, or margin requirements, which are factors that may significantly affect the economic consequences of a given strategy. An investor should review transaction costs, margin requirements and tax considerations with a broker and tax advisor bef ...
Having Your Options and Eating Them Too
... the ESOP options will cancel out the loss on the covered call options, leaving the executive, again, with the amount of the premium received on writing the covered call options. Buying protective options A major disadvantage with the above strategy is that the executive has, in exchange for immediat ...
... the ESOP options will cancel out the loss on the covered call options, leaving the executive, again, with the amount of the premium received on writing the covered call options. Buying protective options A major disadvantage with the above strategy is that the executive has, in exchange for immediat ...
Introduction - Drake University
... “We view them as time bombs, both for the parties that deal in them and the economic system.” “Derivatives are financial weapons of mass destruction, carrying dangers that while now latent, are potentially lethal.” Alan Greenspan“Although the benefits and costs of derivatives remain the subject of g ...
... “We view them as time bombs, both for the parties that deal in them and the economic system.” “Derivatives are financial weapons of mass destruction, carrying dangers that while now latent, are potentially lethal.” Alan Greenspan“Although the benefits and costs of derivatives remain the subject of g ...
Option Trading: Information or Differences of
... Schwartz and Subrahmanyam, 2008). However, equally convincing evidence was also presented by other authors who showed that 1) informed trading doesn’t exist in options (Vijh, 1990), 2) the option volume does not lead stock prices (Chan, Chung and Johnson, 1993; and Chan, Chung and Fong, 2002), and ...
... Schwartz and Subrahmanyam, 2008). However, equally convincing evidence was also presented by other authors who showed that 1) informed trading doesn’t exist in options (Vijh, 1990), 2) the option volume does not lead stock prices (Chan, Chung and Johnson, 1993; and Chan, Chung and Fong, 2002), and ...
SME Exchanges in Emerging Market Economies
... The average market capitalization of AIM companies is $80 million, although the median is $20–25 million. Experience with SME exchanges in EMCs is on the whole more recent. Although it is still early to measure success for many, several exchanges at the workshop felt that their growth did not match ...
... The average market capitalization of AIM companies is $80 million, although the median is $20–25 million. Experience with SME exchanges in EMCs is on the whole more recent. Although it is still early to measure success for many, several exchanges at the workshop felt that their growth did not match ...
Option Spread and Combination Trading
... clearing member initiating the trade, (3) the trade type, e.g., naked call, straddle, vertical spread, etc., (4) a buy/sell indicator, (5) the strike price and expiration month of each leg of the trade, and (6) the number of contracts for each leg. If a futures trade is part of the order, he also re ...
... clearing member initiating the trade, (3) the trade type, e.g., naked call, straddle, vertical spread, etc., (4) a buy/sell indicator, (5) the strike price and expiration month of each leg of the trade, and (6) the number of contracts for each leg. If a futures trade is part of the order, he also re ...
The IOSCO Transparency Principle and Modelling the Bid
... (JSE) and investors. There is concern that a lack of market transparency may induce inefficiency and constrain liquidity. Consequently, the South African Government’s National Treasury and the JSE have begun to investigate the formation of a new market regime. This report investigates the current ma ...
... (JSE) and investors. There is concern that a lack of market transparency may induce inefficiency and constrain liquidity. Consequently, the South African Government’s National Treasury and the JSE have begun to investigate the formation of a new market regime. This report investigates the current ma ...
NBER WORKING PAPER SERIES RESOLVING MACROECONOMIC UNCERTAINTY IN STOCK AND BOND MARKETS
... the sample period of the economic derivatives data. These options are American-style and Datastream thus computes their implied volatilities using a binomial model. We also obtain prices of options on the 5-year Treasury note futures directly from the CBOT, where they are traded, and compute implied ...
... the sample period of the economic derivatives data. These options are American-style and Datastream thus computes their implied volatilities using a binomial model. We also obtain prices of options on the 5-year Treasury note futures directly from the CBOT, where they are traded, and compute implied ...