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Intra-day Seasonality in Activities of the Foreign Exchange Markets:
Intra-day Seasonality in Activities of the Foreign Exchange Markets:

... transactions counts (counts of seconds that had at least one transaction) and trade volume shares (a daily percentage share of trading volumes in one minute) are available in the EBS data set. The contribution of this paper to the literature is three-fold. First, the paper presents a careful descrip ...
Trading and Electronic Markets
Trading and Electronic Markets

... that stood when the trades were first ordered. The VWAP (volume-weighted average price) method, which managers commonly use, has many problems. Keeping track of the opportunity costs associated with trades ordered but not executed is very important because this information can help traders know when ...
An Impact of Macroeconomic Variables on the functioning of Indian
An Impact of Macroeconomic Variables on the functioning of Indian

... currency will depreciate immediately increase its import value and decrease its exports value or vice versa. If the domestic currency is stronger, it adversely affects the export oriented companies and benefit to import oriented companies. The stock market will get benefit when the domestic currency ...
Evidence from the stock market response to
Evidence from the stock market response to

... split). Specifically, 170 (180) and 212 (191) observations from the pre-FD period and the postFD period, respectively, have a split factor of 0.5 (1). The rest of the sample has split factors in the 0.25 to 4 range. The split factor variable is not statistically different between periods. The mean ( ...
partition-dependent framing effects in lab and field prediction markets
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 ...
Introduction to Volatility
Introduction to Volatility

... Day-to-day market movements reflect the buying and selling decisions of millions of investors. Market prices change from one moment to the next. Volatility is defined as the variation of an asset's returns, and indicates the range of a return's movement. Large Volatility values mean that returns flu ...
option
option

... Marked improvement in communication facilities (E-mail, Fax etc) and sharp decline in their cost (Mobile call charges Rs.16/- to Rs.1/-). Development of more sophisticated risk management tools and wider choice of risk management strategies. Innovations in derivative market, which optimally, combine ...
Introduction_to_Volatility
Introduction_to_Volatility

... Day-to-day market movements reflect the buying and selling decisions of millions of investors. Market prices change from one moment to the next. Volatility is defined as the variation of an asset's returns, and indicates the range of a return's movement. Large Volatility values mean that returns flu ...
Disputation, August 4th, 2009, Ryan Riordan
Disputation, August 4th, 2009, Ryan Riordan

... Technology has been good for markets ...
Dynamic predictor selection and order splitting in a limit order
Dynamic predictor selection and order splitting in a limit order

... standard market institutions used in actual stock exchanges. Our agents first choose the total order size by maximizing the expected utility. We then allow our agents to follow an ordersplitting or switching strategy. When investors follow an order-splitting strategy, they observe the order-book con ...
Stock Market Statistics.qxd
Stock Market Statistics.qxd

... CFTC Commitment of Traders Report: Provides a breakdown of each Tuesday’s open interest for commodity markets in which 20 or more traders hold positions equal to or above the reporting levels established by the CFTC. Commodities: Daily coverage of U.S., Canadian, European, and Pacific Rim markets tr ...
The Impact of Serial Correlation on Option Prices in a Non
The Impact of Serial Correlation on Option Prices in a Non

... to consider the vega risk and jump risk in replicating options, but transaction costs as well. While by no means minimizing vega and jump risk, we focus on the transaction costs involved in performing dynamic replication. For comparison purposes, we will apply bounds established by Boyle and Vorst ( ...
IF140818CADE Customer Technical Support Group Contact Details
IF140818CADE Customer Technical Support Group Contact Details

... the EUA environments on either order entry or market data. They should now be the first point of contact for any functional queries, help on specifications, performance analysis, technical or trading-related ...
The Impact of Macroeconomic Fundamentals on Stock Prices
The Impact of Macroeconomic Fundamentals on Stock Prices

... the New Zealand’s stock index was not a leading indicator for changes in macroeconomic variables. However, in general, their results indicated that New Zealand stock market was consistently determined by the interest rate, money supply and real GDP. Robert (2008) examined the effect of two macroecon ...
Weekly FX Insight - Citibank Hong Kong
Weekly FX Insight - Citibank Hong Kong

... The GBP may be undermined as the BoE may delay its rate hikes until Q1 2015 Weekly recap: The GBP was pressured as the ECB implemented a QE programme, dragging the EUR down, although U.K. retail sales grew 4.3% YoY in Dec, much better than expectations of 3.0%. Outlook analysis: CPI growth may turn ...
Latency Arbitrage, Market Fragmentation, and Efficiency: A Two
Latency Arbitrage, Market Fragmentation, and Efficiency: A Two

... blame for such abrupt and severe price changes [Madhavan 2011; Golub et al. 2012]. These events and the controversy surrounding HFT underscore the necessity of gaining a greater understanding of how high-frequency trading and current market structure affects markets and their participants. Many HFT s ...
- Computational Finance
- Computational Finance

... 2. Risk management 3. Performance measures No arbitrage provides a framework for pricing derivative contracts. Risk management identifies and assesses uncertainty related to financial positions Performance measures allows for the attractiveness of different investments to be compare Research problem ...
Adverse Selection and Competitive Market Making
Adverse Selection and Competitive Market Making

... (the price impact function). Therefore the break-even conditions allow us to identify the model parameters from a series of observations of limit order books and market orders. An additional set of restrictions is obtained by considering how the price impact function relates to the price dynamics. B ...
Screen Information, Trader Activity, and Bid-Ask
Screen Information, Trader Activity, and Bid-Ask

... The third step consists of an examination of changes in the spread distribution as market circumstances change, as exhibited by book information and the flow of trader activity. The goal is to determine what changes in information most affect the shape of the distribution, thereby influencing averag ...
The concept of financial analysis
The concept of financial analysis

... Entitled: "Is futures and options trading increases the volatility of stock prices?" This study answer the following question: Is the conclusion of futures contracts and financial options in secondary markets Organization (stock exchanges) will exacerbate the instability of the stock index in the st ...
WP SES
WP SES

... and can be classified into two broad categories: charting and technical trading systems. The first group attempts to identify patterns in charts of past prices. Such patterns are assumed to be recurrent, and the occurrence of a specific figure is supposed to give an indication regarding the future e ...
CH 2 2014
CH 2 2014

... in terms of groups or segments that have common needs and will respond similarly to a marketing action. ...
chapter one - McGraw Hill Higher Education
chapter one - McGraw Hill Higher Education

... recommendations (discussed above). In inefficient bubble markets, prices are not guided by fundamentals. If they can deviate for fundamental value, they can deviate even more. Take the 1998 - 2000 bubble market, for example. Many fundamental investors judged stocks to be overpriced in 1997, so got o ...
documento de trabajo 99-05
documento de trabajo 99-05

Intraday Returns and the Day-end Effect: Evidence from
Intraday Returns and the Day-end Effect: Evidence from

... Güray Küçükkocaoğlu∗ Abstract In this paper, we examine the behavior of the intra-daily stock returns and close-end stock price manipulation in the Istanbul Stock Exchange (ISE). Understanding the price behavior in a given trading day could help investors when they are making their buy and sell deci ...
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Technical analysis

In finance, technical analysis is a security analysis methodology for forecasting the direction of prices through the study of past market data, primarily price and volume. Behavioral economics and quantitative analysis use many of the same tools of technical analysis, which, being an aspect of active management, stands in contradiction to much of modern portfolio theory. The efficacy of both technical and fundamental analysis is disputed by the efficient-market hypothesis which states that stock market prices are essentially unpredictable.
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