Do retail traders suffer from high frequency traders?
... best conditions that are reflected by standard measures. Thus, the observed increase in the spread may affect only those who trade at the best conditions, i.e., the HFTs. Moreover, as HFTs retract, it is also possible that non-HFTs now have more opportunities to trade with limit orders as opposed to ...
... best conditions that are reflected by standard measures. Thus, the observed increase in the spread may affect only those who trade at the best conditions, i.e., the HFTs. Moreover, as HFTs retract, it is also possible that non-HFTs now have more opportunities to trade with limit orders as opposed to ...
NBER WORKING PAPER SERIES MEAN REVERSION IN STOCK PRICES: EVIDENCE AND IMPLICATIONS
... Matthew Shapiro, and Ian Tonks for data assistance. This research was supported by the National Science Foundation and was conducted while the first author was a Batterymarch Fellow. The research reported here is part of the NBERs research program in Financial Markets and Monetary Economics. Any opi ...
... Matthew Shapiro, and Ian Tonks for data assistance. This research was supported by the National Science Foundation and was conducted while the first author was a Batterymarch Fellow. The research reported here is part of the NBERs research program in Financial Markets and Monetary Economics. Any opi ...
No. 548 Modeling and predicting the CBOE market volatility index
... The Chicago Board Options Exchange (CBOE) computes since 1993 the volatility index VIX to measure market expectations of the near-term volatility implied by stock index option prices. Actually, as from September 2003, the CBOE reports two market volatility indices. The VXO represents the implied vol ...
... The Chicago Board Options Exchange (CBOE) computes since 1993 the volatility index VIX to measure market expectations of the near-term volatility implied by stock index option prices. Actually, as from September 2003, the CBOE reports two market volatility indices. The VXO represents the implied vol ...
Examining Volatility Transmission in Major Agricultural Futures
... we model the cross-market dynamics in the conditional volatilities of the corresponding markets (Gallagher and Twomey 1998). In addition, with a multivariate model we can capture the feedback interrelationships among the volatilities across markets; this is important since it is widely accepted that ...
... we model the cross-market dynamics in the conditional volatilities of the corresponding markets (Gallagher and Twomey 1998). In addition, with a multivariate model we can capture the feedback interrelationships among the volatilities across markets; this is important since it is widely accepted that ...
Locals, foreigners, and multi-market trading of equities: Intraday
... interest in Thailand's stock market and in emerging markets generally began to pick up in the middle 1980s, the fraction of shares owned by foreigners began to hit these limits for many listed companies. In September 1987, the stock exchange organized a formal market, the Alien Board, where foreigne ...
... interest in Thailand's stock market and in emerging markets generally began to pick up in the middle 1980s, the fraction of shares owned by foreigners began to hit these limits for many listed companies. In September 1987, the stock exchange organized a formal market, the Alien Board, where foreigne ...
21 CANDLESTICKS EVERY TRADER SHOULD KNOW
... up too far too fast. Most of the buyers are in and the sellers are eager to nail down profits. An oversold market, on the other hand, is one in which the sellers have been in control for several days or weeks. Prices have gone down too far too fast. Most of the traders who want to sell have done so ...
... up too far too fast. Most of the buyers are in and the sellers are eager to nail down profits. An oversold market, on the other hand, is one in which the sellers have been in control for several days or weeks. Prices have gone down too far too fast. Most of the traders who want to sell have done so ...
Is There Price Discovery in Equity Options?
... were no disagreement. The disagreement events are typically precipitated by stock price movements, and display signed option volume in the direction that tends to eliminate the disagreements. These results show that option price quotes do not contain economically significant information about future ...
... were no disagreement. The disagreement events are typically precipitated by stock price movements, and display signed option volume in the direction that tends to eliminate the disagreements. These results show that option price quotes do not contain economically significant information about future ...
Good news-Bad news: Information revelation
... conjecture that markets under-react to information about the short-term prospects of firms but overreact to information about their long-term prospects.1 In an attempt to summarize the literature, Shefrin (2000) points out that over-reaction tends to occur at very short horizons, while under-reactio ...
... conjecture that markets under-react to information about the short-term prospects of firms but overreact to information about their long-term prospects.1 In an attempt to summarize the literature, Shefrin (2000) points out that over-reaction tends to occur at very short horizons, while under-reactio ...
DETERMINANTS OF IMPLIED VOLATILITY FUNCTION ON THE
... volatility smile can occur if the volatility of an underlying stock or market index is expected to be a function of both time and the level of future stock price, although empirical tests by Dumas, Flaming, and Whaley (1998) cast doubt on this explanation. Hull and White (1987), and Heston (1993) su ...
... volatility smile can occur if the volatility of an underlying stock or market index is expected to be a function of both time and the level of future stock price, although empirical tests by Dumas, Flaming, and Whaley (1998) cast doubt on this explanation. Hull and White (1987), and Heston (1993) su ...
0224 - European Financial Management Association
... The payoff of equities is linear and additive so that the payoff of a portfolio of equities is also linear but the same cannot be said of the payoff on an option contract. Indeed, above its exercise price, the payoff of a call option is linear but below it is horizontal therefore these properties mu ...
... The payoff of equities is linear and additive so that the payoff of a portfolio of equities is also linear but the same cannot be said of the payoff on an option contract. Indeed, above its exercise price, the payoff of a call option is linear but below it is horizontal therefore these properties mu ...
How volatile are East Asian stocks during high volatility periods?*
... The volatility state is assumed to be the outcome of an unobserved first-order K-state Markov ...
... The volatility state is assumed to be the outcome of an unobserved first-order K-state Markov ...
stock market overreaction and trading volume
... should be present for stocks with high trading volume. On the other hand, studies such as that of Iihara, Kato and Tokunaga (2004) have reported an inverse relationship between volume and overreaction. These authors have postulated that low volume stocks tend to be neglected and investors are theref ...
... should be present for stocks with high trading volume. On the other hand, studies such as that of Iihara, Kato and Tokunaga (2004) have reported an inverse relationship between volume and overreaction. These authors have postulated that low volume stocks tend to be neglected and investors are theref ...
Heat Waves, Meteor Showers, and Trading Volume: An Analysis of
... (where one point equals one percent of par), our analysis is conducted in terms of yields, which are calculated from the transacted point price and included in the GovPX dataset.10 Daily closing New York transaction yields of the five-year note over the sample period are plotted in Figure 2. We con ...
... (where one point equals one percent of par), our analysis is conducted in terms of yields, which are calculated from the transacted point price and included in the GovPX dataset.10 Daily closing New York transaction yields of the five-year note over the sample period are plotted in Figure 2. We con ...
Equilibrium Pricing and Trading Volume under Preference
... Unconstrained efficiency would require that low-valuation traders sell to high-valuation traders. However, such asset reallocation is delayed by preference uncertainty. Some traders hold more shares than they would if they knew the exact current status of their firm, while others hold less shares. T ...
... Unconstrained efficiency would require that low-valuation traders sell to high-valuation traders. However, such asset reallocation is delayed by preference uncertainty. Some traders hold more shares than they would if they knew the exact current status of their firm, while others hold less shares. T ...
Speculative Investors and Tobin`s Tax
... discouraging informed traders from acquiring information. Clearly, transaction tax is a doubleedged sword – it can deter both informed and uninformed speculation. Nevertheless, transaction tax has been utilized multiple times in recent years in order to “cool” the housing market, particularly in As ...
... discouraging informed traders from acquiring information. Clearly, transaction tax is a doubleedged sword – it can deter both informed and uninformed speculation. Nevertheless, transaction tax has been utilized multiple times in recent years in order to “cool” the housing market, particularly in As ...
Table of Contents (1)
... 3GPP2 is characterized by the following attributes: • Minimum production time for Technical Specifications from conception to approval • Fast, electronic based approval process • Maximum use of modern (electronic) working methods • Minimum number of hierarchical levels with decision making taking pl ...
... 3GPP2 is characterized by the following attributes: • Minimum production time for Technical Specifications from conception to approval • Fast, electronic based approval process • Maximum use of modern (electronic) working methods • Minimum number of hierarchical levels with decision making taking pl ...
Xetra Market Model Continuous Auction
... dynamic stop limit. From the time of the entry of the order into the order book, the trading system continually checks the dynamic stop limit against the reference. Analogous to stop orders, the reference for trailing stop orders in Continuous Auction is the Specialist/Market Maker quote. If the ref ...
... dynamic stop limit. From the time of the entry of the order into the order book, the trading system continually checks the dynamic stop limit against the reference. Analogous to stop orders, the reference for trailing stop orders in Continuous Auction is the Specialist/Market Maker quote. If the ref ...
An Empirical Analysis of the Limit Order Book and the Order
... state of the book, and influences the subsequent evolution of the order book and trading activity in the market. The Paris Bourse offers a particularly appropriate testing ground for examining these issues because 1) it relies solely upon order placement, 2) time and price priority is strictly enfor ...
... state of the book, and influences the subsequent evolution of the order book and trading activity in the market. The Paris Bourse offers a particularly appropriate testing ground for examining these issues because 1) it relies solely upon order placement, 2) time and price priority is strictly enfor ...
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 ...
Market Design with Blockchain Technology
... interact with the intermediary; thus the latter’s risk aversion does not impose a cost on end-investors. Notably, this setting displays fragmented trading in the sense that large and small investors do not interact. Such outcomes can occur in other settings. For instance, Pagano (1989) describes how ...
... interact with the intermediary; thus the latter’s risk aversion does not impose a cost on end-investors. Notably, this setting displays fragmented trading in the sense that large and small investors do not interact. Such outcomes can occur in other settings. For instance, Pagano (1989) describes how ...
Electronic Market-Makers: Empirical Comparison
... potential impact of widespread market-maker usage on market dynamics. Also, we investigate different algorithms and strategies for automated market-making in financial markets, with the goal of testing the existing strategies against each other to examine their strengths and weaknesses in a simulate ...
... potential impact of widespread market-maker usage on market dynamics. Also, we investigate different algorithms and strategies for automated market-making in financial markets, with the goal of testing the existing strategies against each other to examine their strengths and weaknesses in a simulate ...
Financial Liberalization and Emerging Stock Market Volatility
... causes of changes in stock market volatility. One should first ask whether it is the conditional volatility that changes - in the way implied by ARCH-type models, or by the volatility in levels framework in Lamoreux and Lastrapes (1990) , that is, the volatility given a specific realization of past ...
... causes of changes in stock market volatility. One should first ask whether it is the conditional volatility that changes - in the way implied by ARCH-type models, or by the volatility in levels framework in Lamoreux and Lastrapes (1990) , that is, the volatility given a specific realization of past ...
Support for Resistance: Technical Analysis and Intraday
... support and resistance levels provided by individual firms tend to be fairly stable from day to day. Their range varies very little over time. Firms do not agree extensively with each other on the relevant signals. The specific conclusion that exchange rates tend to stop trending at support and resi ...
... support and resistance levels provided by individual firms tend to be fairly stable from day to day. Their range varies very little over time. Firms do not agree extensively with each other on the relevant signals. The specific conclusion that exchange rates tend to stop trending at support and resi ...
The synchronized and long-lasting structural change on
... and the S&P 500, has grown steadily since 2004. Tang and Xiong (2011) find similar results by looking at 1-day rolling correlations over 1-year between crude oil and selected soft and hard commodities. These two studies mostly attribute the structural change to the financialization of commodity mark ...
... and the S&P 500, has grown steadily since 2004. Tang and Xiong (2011) find similar results by looking at 1-day rolling correlations over 1-year between crude oil and selected soft and hard commodities. These two studies mostly attribute the structural change to the financialization of commodity mark ...
PDF
... seasonality. Chen et al. (2010) found that exchange rates are very useful in forecasting future commodity prices but not vice versa. They also found positive relationship between exchange rate and international commodity prices. More recent studies consider a time period when China had already devel ...
... seasonality. Chen et al. (2010) found that exchange rates are very useful in forecasting future commodity prices but not vice versa. They also found positive relationship between exchange rate and international commodity prices. More recent studies consider a time period when China had already devel ...