learning and evolution of trading strategies in limit order markets
... strategically. Yet, if it is profitable for informed traders to time their trades, then it must be profitable for uninformed traders to do so as well.” She further highlights the importance of learning, “Another open question is what traders can learn from other pieces of market data, such as prices ...
... strategically. Yet, if it is profitable for informed traders to time their trades, then it must be profitable for uninformed traders to do so as well.” She further highlights the importance of learning, “Another open question is what traders can learn from other pieces of market data, such as prices ...
Option-Implied Volatility Measures and Stock
... volatility measures in the literature capture fundamentally different information in predicting stock returns. In the presence of other volatility measures, some of these volatility measures may be redundant in predicting stock returns. Building on aforementioned studies, this paper compares the abi ...
... volatility measures in the literature capture fundamentally different information in predicting stock returns. In the presence of other volatility measures, some of these volatility measures may be redundant in predicting stock returns. Building on aforementioned studies, this paper compares the abi ...
Catching falling knives: speculating on market overreaction
... trading by high spreads, but with a small probability a sudden crash appears and they try to “catch a falling knife”. On average they make a profit because they know when the crash is more likely to be driven by uninformed sales, but when this is actually not the case they make a loss. The model is ...
... trading by high spreads, but with a small probability a sudden crash appears and they try to “catch a falling knife”. On average they make a profit because they know when the crash is more likely to be driven by uninformed sales, but when this is actually not the case they make a loss. The model is ...
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 ...
The 2008 Short Sale Ban`s Impact on Equity Option Markets
... affected less by the ban than other stocks. However, the SEC ban, as amended shortly after 12:00am on the morning of September 22nd , only allowed market makers to sell short if they knew the customer or counterparty was not increasing a net economic short position.2 We find the ratio of option-to- ...
... affected less by the ban than other stocks. However, the SEC ban, as amended shortly after 12:00am on the morning of September 22nd , only allowed market makers to sell short if they knew the customer or counterparty was not increasing a net economic short position.2 We find the ratio of option-to- ...
New Evidence on the Financialization of Commodity Markets*
... increase in the issue sizes, and there is no evidence that the returns are reversed within 20 trading days. We find similar price impacts in a subsample of high-commission products, which are unlikely to be due to information-based trading. We also find the price impacts were greater during the fina ...
... increase in the issue sizes, and there is no evidence that the returns are reversed within 20 trading days. We find similar price impacts in a subsample of high-commission products, which are unlikely to be due to information-based trading. We also find the price impacts were greater during the fina ...
Eighths, sixteenths, and market depth: changes in tick
... and e!ects of changes in tick size remain open to debate. Some, such as Hart (1993), Peake (1995), O'Connell (1997), and Ricker (1998), argue that smaller tick sizes bene"t liquidity demanders as competition between liquidity providers is likely to force a reduction in the bid}ask spread. Others, su ...
... and e!ects of changes in tick size remain open to debate. Some, such as Hart (1993), Peake (1995), O'Connell (1997), and Ricker (1998), argue that smaller tick sizes bene"t liquidity demanders as competition between liquidity providers is likely to force a reduction in the bid}ask spread. Others, su ...
Evidence about Bubble Mechanisms: Precipitating Event
... including the returns on the investors’ own previous warrant purchases and the warrant returns of other geographically proximate investors with whom the investors might have had social contact. Using empirical models estimated using the trading records, we construct estimates of the trading volume ...
... including the returns on the investors’ own previous warrant purchases and the warrant returns of other geographically proximate investors with whom the investors might have had social contact. Using empirical models estimated using the trading records, we construct estimates of the trading volume ...
4 P : F ,
... Rationing isn’t the only job that price performs. Price also transmits information. That may sound odd. Consider the following story. On Saturday, Noelle walks into a local grocery store and purchases a half gallon of orange juice for $2.50. On Sunday, unknown to her, a cold spell hits Florida and w ...
... Rationing isn’t the only job that price performs. Price also transmits information. That may sound odd. Consider the following story. On Saturday, Noelle walks into a local grocery store and purchases a half gallon of orange juice for $2.50. On Sunday, unknown to her, a cold spell hits Florida and w ...
Download paper (PDF)
... This simple intuition suggests that we will see breaks not only in returns but maybe even more clearly in variables such as dividend yields and ratios of market capitalization to GDP that reflect permanent price changes. Of course, the underlying models ignore many interesting dynamic effects. As a r ...
... This simple intuition suggests that we will see breaks not only in returns but maybe even more clearly in variables such as dividend yields and ratios of market capitalization to GDP that reflect permanent price changes. Of course, the underlying models ignore many interesting dynamic effects. As a r ...
Using Candlestick Charts to Trade Forex copy
... Candlestick patterns of more than one candlestick offer the trader a unique method of analyzing the market, with many well defined multiple Candlestick patterns having been identified and studied over hundreds of years. These trading signals can be especially useful to forex traders trading the Japa ...
... Candlestick patterns of more than one candlestick offer the trader a unique method of analyzing the market, with many well defined multiple Candlestick patterns having been identified and studied over hundreds of years. These trading signals can be especially useful to forex traders trading the Japa ...
Does high-frequency trading improve market quality?
... orders, and thus encourages their market order placements. It increases the execution opportunity of a limit order for non-HF traders, and thus contributes to their placements of limit orders with higher frequency. However, it also increases the chances for non-HF traders to be picked off by HF trad ...
... orders, and thus encourages their market order placements. It increases the execution opportunity of a limit order for non-HF traders, and thus contributes to their placements of limit orders with higher frequency. However, it also increases the chances for non-HF traders to be picked off by HF trad ...
Stock Splits, Liquidity and Limit Orders
... competition for order flow from regional exchanges and the Nasdaq. The NYSE is, of course, the dominant market for NYSE-listed firms. ...
... competition for order flow from regional exchanges and the Nasdaq. The NYSE is, of course, the dominant market for NYSE-listed firms. ...
Towards a Theory of Volatility Trading
... new positions for profiting from a correct view on volatility. The subsequent section shows how dynamic trading in the underlying can alternatively be used to create or hedge a volatility exposure. The fourth section looks at over-the-counter volatility contracts as a further alternative for trading ...
... new positions for profiting from a correct view on volatility. The subsequent section shows how dynamic trading in the underlying can alternatively be used to create or hedge a volatility exposure. The fourth section looks at over-the-counter volatility contracts as a further alternative for trading ...
Mastering The Markets
... fact that the average trader doesn’t understand what drives the markets either! Many traders are quite happy to blindly follow mechanical systems, based on mathematical formulas that have been back-tested over 25 years of data to ‘prove’ the system’s predictive capacity. However, most of these trade ...
... fact that the average trader doesn’t understand what drives the markets either! Many traders are quite happy to blindly follow mechanical systems, based on mathematical formulas that have been back-tested over 25 years of data to ‘prove’ the system’s predictive capacity. However, most of these trade ...
Volume and Liquidity After Cross
... This cross-sectional diversity motivates the second step in our analysis: understanding which company and market characteristics are associated with the different patterns in long-run distribution of trading and in adjustment towards equilibrium. To guide the analysis, we review the possible reasons ...
... This cross-sectional diversity motivates the second step in our analysis: understanding which company and market characteristics are associated with the different patterns in long-run distribution of trading and in adjustment towards equilibrium. To guide the analysis, we review the possible reasons ...
Measuring Swedish Investor Sentiment Stock Market Response to
... believed that these irrational investors could safely be ignored from financial theories such as asset pricing models. However, DeLong et. al. found that because these noise traders’ sentiment was difficult to predict and in part due to high enough transaction costs, the rational investors were ...
... believed that these irrational investors could safely be ignored from financial theories such as asset pricing models. However, DeLong et. al. found that because these noise traders’ sentiment was difficult to predict and in part due to high enough transaction costs, the rational investors were ...
Investor Sentiment and the Mean-Variance Relation
... Putting these three assumptions together leads to two intermediate implications: The first implication is that because sentiment traders misestimate variance, the mean-variance relation is weaker when sentiment traders purchase more stocks and have stronger influence on stock prices. The second implic ...
... Putting these three assumptions together leads to two intermediate implications: The first implication is that because sentiment traders misestimate variance, the mean-variance relation is weaker when sentiment traders purchase more stocks and have stronger influence on stock prices. The second implic ...
Interacting Limit Order Demand and Supply Curves
... product markets, demand elasticity depends on factors such as consumer preferences; while supply elasticity depends on factors such as production technologies and market power. In contrast, at least in the short-run, stock markets resemble a pure exchange economy: buyers become sellers and vice-vers ...
... product markets, demand elasticity depends on factors such as consumer preferences; while supply elasticity depends on factors such as production technologies and market power. In contrast, at least in the short-run, stock markets resemble a pure exchange economy: buyers become sellers and vice-vers ...
Order Characteristics, Uncertainty and Price Formation in the
... order aggressiveness. GPR (2009) suggests that informed traders optimally choose a combination of market orders and limit orders at different price levels. Berber and Caglio (2005) and Foucault, Moinas and Theissen (2007) find that the volume of orders at different price levels in the limit order bo ...
... order aggressiveness. GPR (2009) suggests that informed traders optimally choose a combination of market orders and limit orders at different price levels. Berber and Caglio (2005) and Foucault, Moinas and Theissen (2007) find that the volume of orders at different price levels in the limit order bo ...
IPO Underpricing in a Simultaneous Equations Model of Supply and
... the insider management from trading non-offered shares for 180 days similar to the U.S. ...
... the insider management from trading non-offered shares for 180 days similar to the U.S. ...
Chapter 21 Option Valuation
... D. positive, positive E. zero, zero Call option hedge ratios must be positive and less than 1.0, and put option ratios must be negative, with a smaller absolute value than 1.0. 29. A hedge ratio for a call is always A. equal to one. B. greater than one. C. between zero and one. D. between minus one ...
... D. positive, positive E. zero, zero Call option hedge ratios must be positive and less than 1.0, and put option ratios must be negative, with a smaller absolute value than 1.0. 29. A hedge ratio for a call is always A. equal to one. B. greater than one. C. between zero and one. D. between minus one ...
Does Supply Curve Inelasticity Explain Abnormal Long
... market repurchases permanently remove supply from the market. The idea that repurchases remove supply and thereby raise equilibrium prices has been used to explain price changes around Dutch auctions (Bagwell (1992)). This is the first paper to explore whether open market repurchases have the same e ...
... market repurchases permanently remove supply from the market. The idea that repurchases remove supply and thereby raise equilibrium prices has been used to explain price changes around Dutch auctions (Bagwell (1992)). This is the first paper to explore whether open market repurchases have the same e ...
The Information Content of the NCREIF Index
... largely driven by cash flows or rents from fixed rent and relatively long-term leases (e.g. five years or longer). Intuition suggests that the same fundamental factors in the market influence both of these sectors. The two markets, however, are also strikingly different. One key difference between t ...
... largely driven by cash flows or rents from fixed rent and relatively long-term leases (e.g. five years or longer). Intuition suggests that the same fundamental factors in the market influence both of these sectors. The two markets, however, are also strikingly different. One key difference between t ...