Heat Waves, Meteor Showers, and Trading Volume: An Analysis of
... by a volatile day in Tokyo. Using a GARCH model to test for the spillover of volatility across intraday trading segments, they find evidence in favor of the meteor shower hypothesis such that yen/dollar volatility spills over from one trading center to another as the global trading progresses. The ...
... by a volatile day in Tokyo. Using a GARCH model to test for the spillover of volatility across intraday trading segments, they find evidence in favor of the meteor shower hypothesis such that yen/dollar volatility spills over from one trading center to another as the global trading progresses. The ...
Table 1: Granger Causality Testing between Prices and Volumes
... informed traders due to the risk premium associated with trading against private information. In a similar vein, Moosa and Korczak (1999) suggest that expectation differences of traders cause asymmetry in the price-volume relationship, particularly where expectations differ between bull and bear mar ...
... informed traders due to the risk premium associated with trading against private information. In a similar vein, Moosa and Korczak (1999) suggest that expectation differences of traders cause asymmetry in the price-volume relationship, particularly where expectations differ between bull and bear mar ...
Emergence of Networks and Market Institutions in a Large Virtual Economy ∗
... that we deal with (a) large, non-uniform, changing networks rather than static networks that are uniform (e.g., cellular automata) or small, (b) two distinct networks (for goods and for traders) defined endogenously by actual transactions data, rather than a single exogenous network or a single end ...
... that we deal with (a) large, non-uniform, changing networks rather than static networks that are uniform (e.g., cellular automata) or small, (b) two distinct networks (for goods and for traders) defined endogenously by actual transactions data, rather than a single exogenous network or a single end ...
Technical Analysis - SelectedWorks
... winners too soon and hold onto losers too long (Shrefrin and Statman, 1995). The disposition effect has also been found to occur among professional traders (Garvey and Murphy, 2004). Despite the disposition effect among professional traders, it was found (Garvey and Murphy, 2004) that they were stil ...
... winners too soon and hold onto losers too long (Shrefrin and Statman, 1995). The disposition effect has also been found to occur among professional traders (Garvey and Murphy, 2004). Despite the disposition effect among professional traders, it was found (Garvey and Murphy, 2004) that they were stil ...
Circular 2018/2 Duty to report securities transactions Duty to
... both when executed via a trading venue and when definitively allocated to clients. A direct placement to the client without booking to the nostro account requires only one report. The report on interal client allocations must be submitted before the close of trading on the following trading day at t ...
... both when executed via a trading venue and when definitively allocated to clients. A direct placement to the client without booking to the nostro account requires only one report. The report on interal client allocations must be submitted before the close of trading on the following trading day at t ...
the endowment effect: evidence of losses valued more than gains
... of money to give it up (Knetsch and Sinden, 1984). When real good and actual cash payments motivate the valuations, the subjects having a lottery ticket demanded four times more to give it up than the others were willing to pay to obtain one. The large disparity between buy and sell valuations has r ...
... of money to give it up (Knetsch and Sinden, 1984). When real good and actual cash payments motivate the valuations, the subjects having a lottery ticket demanded four times more to give it up than the others were willing to pay to obtain one. The large disparity between buy and sell valuations has r ...
Efficient market hypothesis: is the Croatian stock market as (in
... statisticians as well as some economists on one hand, and investors on the other, do not perceive market (in)efficiency in the same way. For a market practitioner inefficiency is the existence of a winning trading system that consistently generates profits above the benchmark, which represents the mark ...
... statisticians as well as some economists on one hand, and investors on the other, do not perceive market (in)efficiency in the same way. For a market practitioner inefficiency is the existence of a winning trading system that consistently generates profits above the benchmark, which represents the mark ...
Multi-Market Equilibrium, Trade, and the Law of One Price
... six units available for sale in the first market, and only two units available in the second.1 Buyers submit sealed bids for a single unit in their own market, with the purchase price determined by the highest rejected bid. Thus if the three highest bids were $9.50, $8.00, and $7.00 in the thin (lo ...
... six units available for sale in the first market, and only two units available in the second.1 Buyers submit sealed bids for a single unit in their own market, with the purchase price determined by the highest rejected bid. Thus if the three highest bids were $9.50, $8.00, and $7.00 in the thin (lo ...
Securities Trading of Concepts (STOC)
... 1992, Calder 1977, Fern 1982). However, concept markets may be a useful alternative to these methods for several reasons: 1. Accuracy: In order to win the game, participants have the incentive to trade according to the best, most up-to-date knowledge because of their financial stake in the market. S ...
... 1992, Calder 1977, Fern 1982). However, concept markets may be a useful alternative to these methods for several reasons: 1. Accuracy: In order to win the game, participants have the incentive to trade according to the best, most up-to-date knowledge because of their financial stake in the market. S ...
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 ...
Financialization and a New Paradigm for Financial Markets
... ensue in which bank funding sources, particularly deposits and short-term lending by other banks, are withdrawn. To secure integrity of the system, the U.S. government provides FDIC deposit insurance to the customers to discourage panicked withdrawals, and the Federal Reserve allows banks to borrow ...
... ensue in which bank funding sources, particularly deposits and short-term lending by other banks, are withdrawn. To secure integrity of the system, the U.S. government provides FDIC deposit insurance to the customers to discourage panicked withdrawals, and the Federal Reserve allows banks to borrow ...
2 Introduction to Option Management
... dividends. The option sells for 5 USD one year before expiration. Describe an arbitrage opportunity, assuming the annual interest rate is 10%. Short a share of the stock and use the 45 USD you receive to buy the option for 5 USD and place the remaining 40 USD in a savings account. The initial cash f ...
... dividends. The option sells for 5 USD one year before expiration. Describe an arbitrage opportunity, assuming the annual interest rate is 10%. Short a share of the stock and use the 45 USD you receive to buy the option for 5 USD and place the remaining 40 USD in a savings account. The initial cash f ...
option
... Period over which a contract trades Derivatives contracts have one, two and three months expiry cycles Contracts expire on last Thursday New contracts are fired on Friday ...
... Period over which a contract trades Derivatives contracts have one, two and three months expiry cycles Contracts expire on last Thursday New contracts are fired on Friday ...
Hedging With Futures Contract
... been criticized for not taking into account the expected return which is inconsistent with the mean-variance framework. Since the selection of a hedge ratio is dependent on the hedgers’ objective in the hedging position, this will be different for various participants in the carbon market. For exam ...
... been criticized for not taking into account the expected return which is inconsistent with the mean-variance framework. Since the selection of a hedge ratio is dependent on the hedgers’ objective in the hedging position, this will be different for various participants in the carbon market. For exam ...
Longshots, Overconfidence and Efficiency on the Iowa Electronic Market
... over-weighting of low probability events that is consistent with a longshot bias and one reflecting overweighting of high probability events that is consistent with an overconfidence bias. Whether longshot or overconfidence biases affect prices is very difficult to answer using naturally occurring f ...
... over-weighting of low probability events that is consistent with a longshot bias and one reflecting overweighting of high probability events that is consistent with an overconfidence bias. Whether longshot or overconfidence biases affect prices is very difficult to answer using naturally occurring f ...
Exchange-Traded Barrier Option and VPIN: Evidence from Hong Kong
... issuance exceeds that of the exchange-traded derivative warrants (DWs). The market turnover of CBBCs as a percentage of the total market turnover in 2009 reached 10.86%, surpassing the DW turnover of 10.72%. CBBC and DW trading constituted about 25% of the total market turnover throughout the 2006-2 ...
... issuance exceeds that of the exchange-traded derivative warrants (DWs). The market turnover of CBBCs as a percentage of the total market turnover in 2009 reached 10.86%, surpassing the DW turnover of 10.72%. CBBC and DW trading constituted about 25% of the total market turnover throughout the 2006-2 ...
High-Frequency Trading in the US Treasury Market
... views expressed here are solely our own and do not necessarily reflect those of the Bank for International Settlements. ...
... views expressed here are solely our own and do not necessarily reflect those of the Bank for International Settlements. ...
FINAL NOTICE: Michael Coscia
... sell order. Market participants were induced to place orders in the same direction i.e. buy orders/bids on the basis that the large buy orders represented a legitimate indication of buying interest. As a consequence of the large buy orders potential buyers were willing to buy at 115.88 rather than 1 ...
... sell order. Market participants were induced to place orders in the same direction i.e. buy orders/bids on the basis that the large buy orders represented a legitimate indication of buying interest. As a consequence of the large buy orders potential buyers were willing to buy at 115.88 rather than 1 ...
2015-51 - National Association of Insurance Commissioners
... 86, unrealized gains and losses, foreign currency premiums, etc.) With regards to futures, although the term “notional” is a reported element in Schedule DB-Part B, it has been communicated to staff that it is not a standard industry term for these types of contracts. In reviewing contract specifica ...
... 86, unrealized gains and losses, foreign currency premiums, etc.) With regards to futures, although the term “notional” is a reported element in Schedule DB-Part B, it has been communicated to staff that it is not a standard industry term for these types of contracts. In reviewing contract specifica ...
Speculation, Risk Aversion, and Risk Premiums in the Crude Oil
... My …ndings on risk premiums are similar to those of Hamilton and Wu (2011), who use a very di¤erent modeling approach. My results are consistent with their interpretation that index-fund buyers who demand commodity futures for portfolio diversi…cation are willing to accept much lower risk compensati ...
... My …ndings on risk premiums are similar to those of Hamilton and Wu (2011), who use a very di¤erent modeling approach. My results are consistent with their interpretation that index-fund buyers who demand commodity futures for portfolio diversi…cation are willing to accept much lower risk compensati ...
full text
... neutral density function. Manaster and Rendleman (1982) are the first to take this approach though their study does not directly focus on the test of the martingale restriction. Using the S&P 100 index option prices from 1973 to 1976, they find that 63% of the price differences between the options-i ...
... neutral density function. Manaster and Rendleman (1982) are the first to take this approach though their study does not directly focus on the test of the martingale restriction. Using the S&P 100 index option prices from 1973 to 1976, they find that 63% of the price differences between the options-i ...
STOCCER – A Forecasting Market for the FIFA World
... First of all, many market participants were not experienced in trading stocks (“unprofessional traders”). Sometimes they were also not familiar with the specific rules and therefore traded irrationally. Due to the occasionally large number of stocks traded, markets were rather complex. Besides, the ...
... First of all, many market participants were not experienced in trading stocks (“unprofessional traders”). Sometimes they were also not familiar with the specific rules and therefore traded irrationally. Due to the occasionally large number of stocks traded, markets were rather complex. Besides, the ...
Prestigious Stock Exchanges - Federal Reserve Bank of New York
... studies have shown that the Eurobond market has become the world’s largest bond market in recent years (Peristiani 2007; Peristiani and Santos 2008). As for equity markets, the more competitive European and emerging-market stock exchanges have in fact become better able to retain their home base, wh ...
... studies have shown that the Eurobond market has become the world’s largest bond market in recent years (Peristiani 2007; Peristiani and Santos 2008). As for equity markets, the more competitive European and emerging-market stock exchanges have in fact become better able to retain their home base, wh ...
Longshots, Overconfidence and Efficiency on the Iowa Electronic Market
... probabilities. This makes testing for efficiency simple. If adding past price information or outside information to IEM price information increases the explanatory power of logit models in predicting payoffs, then the markets are not efficient. While these features make using the IEM well suited for ...
... probabilities. This makes testing for efficiency simple. If adding past price information or outside information to IEM price information increases the explanatory power of logit models in predicting payoffs, then the markets are not efficient. While these features make using the IEM well suited for ...
Guidance Note on the Calculation of Capital Requirement for Market
... exchange risk and commodity risk throughout the bank for estimating capital requirement for market risk. The capital requirement, takes into account both on- and off‐balance sheet positions that are subject to market risk. Banks that are not able to properly measure and manage the risks associated w ...
... exchange risk and commodity risk throughout the bank for estimating capital requirement for market risk. The capital requirement, takes into account both on- and off‐balance sheet positions that are subject to market risk. Banks that are not able to properly measure and manage the risks associated w ...