Estimating a Structural Model of Herd Behavior in Financial Markets
... the possibility that informed traders may receive noisy signals, and that they may …nd it optimal to ignore them and engage in herd behavior. In this circumstance, the sequence by which trades arrive in the market does matter: in contrast to Easley et al. (1997), we cannot estimate our model using o ...
... the possibility that informed traders may receive noisy signals, and that they may …nd it optimal to ignore them and engage in herd behavior. In this circumstance, the sequence by which trades arrive in the market does matter: in contrast to Easley et al. (1997), we cannot estimate our model using o ...
FASB Accounting Rules and Implications for Natural Gas Purchase
... Under current accounting guidance,7 a derivative instrument is a financial instrument or other contract with all of the following characteristics: a. There is an underlying asset and a notional payment provision. b. The investment to obtain the derivative is zero or smaller than the initial investme ...
... Under current accounting guidance,7 a derivative instrument is a financial instrument or other contract with all of the following characteristics: a. There is an underlying asset and a notional payment provision. b. The investment to obtain the derivative is zero or smaller than the initial investme ...
Factors Determining the Price of Butter
... Butter trades on the Exchanges are primarily between the primary receivers and a small number of large central market wholesalers. These firms handle a large proportion of the nation's butter supply, and are usually in good position to know the current supply and demand situation. (They sometimes ma ...
... Butter trades on the Exchanges are primarily between the primary receivers and a small number of large central market wholesalers. These firms handle a large proportion of the nation's butter supply, and are usually in good position to know the current supply and demand situation. (They sometimes ma ...
partition-dependent framing effects in lab and field prediction markets
... sales, timing of event occurrences, and values of macroeconomic variables, must be necessarily partitioned into numerical intervals by the market designers. Unlike categorical markets such as the winner of the Academy Award for Best Picture or the winner of the Super Bowl, there is typically no natu ...
... sales, timing of event occurrences, and values of macroeconomic variables, must be necessarily partitioned into numerical intervals by the market designers. Unlike categorical markets such as the winner of the Academy Award for Best Picture or the winner of the Super Bowl, there is typically no natu ...
Latency Arbitrage, Market Fragmentation, and Efficiency: A Two
... Our model of latency arbitrage consists of one security traded on two markets, each employing a continuous double auction (CDA) mechanism. The CDA is a simple and standard two-sided market that forms the basis for most financial and commodities markets [Friedman 1993]. Agents submit bids, or limit or ...
... Our model of latency arbitrage consists of one security traded on two markets, each employing a continuous double auction (CDA) mechanism. The CDA is a simple and standard two-sided market that forms the basis for most financial and commodities markets [Friedman 1993]. Agents submit bids, or limit or ...
Chapter 20
... – Exchange traded long dated contracts issued by a financial institution to holders who can then trade them (called ‘warrants’ in Australia) – Over-the-counter options on company shares (called ‘company options’ in Australia, but ‘warrants’ on international markets) – Convertible notes issued by com ...
... – Exchange traded long dated contracts issued by a financial institution to holders who can then trade them (called ‘warrants’ in Australia) – Over-the-counter options on company shares (called ‘company options’ in Australia, but ‘warrants’ on international markets) – Convertible notes issued by com ...
Abstract Edward Chamberlin, who initiated classroom
... He reports that “no statistical computations for the entire sample of forty-six experi- ...
... He reports that “no statistical computations for the entire sample of forty-six experi- ...
Automated Trading Desk and Price Prediction in High
... studies of finance’, the application to financial markets not of economics but of wider social-science disciplines such as anthropology, politics, geography, sociology and science and technology studies (STS). STS-inflected work has been particularly prominent within social studies of finance, and m ...
... studies of finance’, the application to financial markets not of economics but of wider social-science disciplines such as anthropology, politics, geography, sociology and science and technology studies (STS). STS-inflected work has been particularly prominent within social studies of finance, and m ...
Day 1: Foundations of Energy Trading & Risk Management
... Derivatives A derivative is a financial instrument whose value is based upon the underlying physical product/commodity ...
... Derivatives A derivative is a financial instrument whose value is based upon the underlying physical product/commodity ...
interest rate swaps - McGraw Hill Higher Education
... specified time in the future at prices specified today. – It’s not an option: both parties are expected to hold up their end of the deal. – If you have ever ordered a textbook that was not in stock, you have entered into a forward contract. ...
... specified time in the future at prices specified today. – It’s not an option: both parties are expected to hold up their end of the deal. – If you have ever ordered a textbook that was not in stock, you have entered into a forward contract. ...
Regulation 2016 - Federal Register of Legislation
... financial markets to be derivatives, but which could otherwise be excluded from the Corporations Act definition of ‘derivative’ due to the tangible property exception in paragraph 761D(3)(a) of the Corporations Act. The note to the definition is a reminder that, while the term ‘derivative’ covers a ...
... financial markets to be derivatives, but which could otherwise be excluded from the Corporations Act definition of ‘derivative’ due to the tangible property exception in paragraph 761D(3)(a) of the Corporations Act. The note to the definition is a reminder that, while the term ‘derivative’ covers a ...
La Cassa Controparte Centrale dei Mercati Cash Azionari US
... have been bought (sold) is below (above) the reference price. Conversely the mentioned amount is taken with a negative sign when it represents a theoretical loss, that is, in case the price at which the securities have been bought (sold) is above (below) the reference price. ...
... have been bought (sold) is below (above) the reference price. Conversely the mentioned amount is taken with a negative sign when it represents a theoretical loss, that is, in case the price at which the securities have been bought (sold) is above (below) the reference price. ...
Modeling Asset Prices in Continuous Time
... the value is $414,500, so the FI has lost $174,500 on the option. • The FI has also borrowed $1,442,700 in cash. • But the shares have gone from $2,557,800 to $4,171,100 during the nine weeks. • The net effect is a loss of $3,900 • When you rebalance infinitely often, the loss will be zero. ...
... the value is $414,500, so the FI has lost $174,500 on the option. • The FI has also borrowed $1,442,700 in cash. • But the shares have gone from $2,557,800 to $4,171,100 during the nine weeks. • The net effect is a loss of $3,900 • When you rebalance infinitely often, the loss will be zero. ...
Bade_Parkin_Macro_Lecture_CH20
... • Spent $18,000 buying goods and services to consume. • Bought a house, which cost her $60,000. Joanne’s total expenditure was $78,000. Her expenditure is analogous to a country’s imports. Her current account balance was $26,000 – $78,000, a deficit of $52,000. ...
... • Spent $18,000 buying goods and services to consume. • Bought a house, which cost her $60,000. Joanne’s total expenditure was $78,000. Her expenditure is analogous to a country’s imports. Her current account balance was $26,000 – $78,000, a deficit of $52,000. ...
Day Trading Skill 110523
... We are grateful to the Taiwan Stock Exchange for providing the data used in this study. Barber appreciates the National Science Council of Taiwan for underwriting a visit to Taipei, where Timothy Lin (Yuanta Core Pacific Securities) and Keh Hsiao Lin (Taiwan Securities) organized excellent overviews ...
... We are grateful to the Taiwan Stock Exchange for providing the data used in this study. Barber appreciates the National Science Council of Taiwan for underwriting a visit to Taipei, where Timothy Lin (Yuanta Core Pacific Securities) and Keh Hsiao Lin (Taiwan Securities) organized excellent overviews ...
Disputation, August 4th, 2009, Ryan Riordan
... social uselessness) than high-frequency trading. The stock market is supposed to allocate capital to its most productive uses, for example by helping companies with good ideas raise money. But it's hard to see how traders who place their orders one-thirtieth of a second faster than anyone else do an ...
... social uselessness) than high-frequency trading. The stock market is supposed to allocate capital to its most productive uses, for example by helping companies with good ideas raise money. But it's hard to see how traders who place their orders one-thirtieth of a second faster than anyone else do an ...
Price Discovery and Trading After Hours
... number of companies are dually listed on foreign exchanges, such as Tokyo or London, and also trade when these foreign exchanges are open. Thus much of the previous work on after-hours trading (i.e., trading outside of U.S. exchange trading hours) focused on the trading of U.S. stocks on foreign exc ...
... number of companies are dually listed on foreign exchanges, such as Tokyo or London, and also trade when these foreign exchanges are open. Thus much of the previous work on after-hours trading (i.e., trading outside of U.S. exchange trading hours) focused on the trading of U.S. stocks on foreign exc ...
Varian-Chapter 31
... Trade in Competitive Markets given p1 and p2, consumer A’s net demands for commodities 1 and 2 are ...
... Trade in Competitive Markets given p1 and p2, consumer A’s net demands for commodities 1 and 2 are ...
Multimarket Trading and Market Liquidity Author(s): Bhagwan
... trading prices for the same security at different locations. The presence of profit-maximizing informed traders and cost-minimizing liquidity traders does, however, impose certain equilibrium restrictions on the prices and on the liquidity characteristics across markets. Following Kyle (1985) and Ad ...
... trading prices for the same security at different locations. The presence of profit-maximizing informed traders and cost-minimizing liquidity traders does, however, impose certain equilibrium restrictions on the prices and on the liquidity characteristics across markets. Following Kyle (1985) and Ad ...
Spot Market Competition and Long-Term
... ‘covered’ by contracts for differences with regional electricity companies. All of these contracts had expired by 31st March 1993, and most, if not all, have been replaced with new contracts. The situation of PowerGen is similar. Of a total capacity in January 1991 of 18,800 MW, PowerGen had contrac ...
... ‘covered’ by contracts for differences with regional electricity companies. All of these contracts had expired by 31st March 1993, and most, if not all, have been replaced with new contracts. The situation of PowerGen is similar. Of a total capacity in January 1991 of 18,800 MW, PowerGen had contrac ...
Liquidity risk and arbitrage pricing theory
... The first fundamental theorem of asset pricing appropriately generalized, holds in our new setting, while the second fundamental theorem fails. Herein, a martingale measure (appropriately defined) can be unique, and markets still be incomplete. However, a weakening of the second fundamental theorem ho ...
... The first fundamental theorem of asset pricing appropriately generalized, holds in our new setting, while the second fundamental theorem fails. Herein, a martingale measure (appropriately defined) can be unique, and markets still be incomplete. However, a weakening of the second fundamental theorem ho ...
Examining Volatility Transmission in Major Agricultural Futures
... (CBOT), Kansas (KCBT), Dalian-China (DCE), France (MATIF), United Kingdom (LIFFE), Japan (TGE), and Zhengzhou-China (ZCE). The United States, EU, and China are major players in global agricultural markets and trade while Japan is a major importer, and the exchanges considered are basically the leadi ...
... (CBOT), Kansas (KCBT), Dalian-China (DCE), France (MATIF), United Kingdom (LIFFE), Japan (TGE), and Zhengzhou-China (ZCE). The United States, EU, and China are major players in global agricultural markets and trade while Japan is a major importer, and the exchanges considered are basically the leadi ...
OPTIONS, GREEKS, AND RISK MANAGEMENT Jelena Paunović *
... Options are financial derivatives representing a contract which gives the right to the holder, but not the obligation, to buy or sell an underlying asset at a pre-defined strike price during a certain period of time. These derivative contracts can derive their value from almost any underlying asset ...
... Options are financial derivatives representing a contract which gives the right to the holder, but not the obligation, to buy or sell an underlying asset at a pre-defined strike price during a certain period of time. These derivative contracts can derive their value from almost any underlying asset ...
Market Segmentation, Information Asymmetry
... markets were segmented into local and foreign investors, respectively.2 These studies have consistently shown that when the markets were segmented the B-shares traded at a significant discount to the A shares.3 The differences in pricing in the A- and B- markets have been explained by a range of fac ...
... markets were segmented into local and foreign investors, respectively.2 These studies have consistently shown that when the markets were segmented the B-shares traded at a significant discount to the A shares.3 The differences in pricing in the A- and B- markets have been explained by a range of fac ...
Electricity derivatives and risk management
... Electricity forward contracts are the primary instruments used in electricity price risk management. LSEs (e.g. local distribution companies) typically combine several months of forward/futures contracts to form a close match to the long-term load shape of their customers. Other power marketers usua ...
... Electricity forward contracts are the primary instruments used in electricity price risk management. LSEs (e.g. local distribution companies) typically combine several months of forward/futures contracts to form a close match to the long-term load shape of their customers. Other power marketers usua ...