Decimals and Liquidity: A study of the NYSE
... stocks were trading in decimals). Including the last period enables us to study the long-term effects of decimalization on the stocks in our sample. We find that both bid and ask quote increments of 5 cents or less appear to be used actively by the market, and that quoted spreads, effective spreads, ...
... stocks were trading in decimals). Including the last period enables us to study the long-term effects of decimalization on the stocks in our sample. We find that both bid and ask quote increments of 5 cents or less appear to be used actively by the market, and that quoted spreads, effective spreads, ...
Common Option Strategies - NYU Stern School of Business
... In this example, the trader wants to be “long vol” to profit from a rise in option premium occasioned by an upward shift in the implied volatility term structure toward that predicted. To be “long vol” while simultaneously immunizing against changes in the stock price, the trader wants to assume a p ...
... In this example, the trader wants to be “long vol” to profit from a rise in option premium occasioned by an upward shift in the implied volatility term structure toward that predicted. To be “long vol” while simultaneously immunizing against changes in the stock price, the trader wants to assume a p ...
Good news-Bad news: Information revelation
... another to roll a die. The result of the coin toss was announced to everyone by the subject and this determined whether the Light Blue marbles in Bag 1 represented the high {100, 200, 300}, or the low set of dividends {50, 100, 150}. The result of the die roll was also announced. This determined wha ...
... another to roll a die. The result of the coin toss was announced to everyone by the subject and this determined whether the Light Blue marbles in Bag 1 represented the high {100, 200, 300}, or the low set of dividends {50, 100, 150}. The result of the die roll was also announced. This determined wha ...
Automated Trading Desk and Price Prediction in High
... STS-inflected social studies of finance could, however, usefully engage more deeply with what one might call the ‘political economy’ of the financial system.2 The term is polysemic. It can connote approaches as different as Marxism and the analysis of political decision-making using rational choice ...
... STS-inflected social studies of finance could, however, usefully engage more deeply with what one might call the ‘political economy’ of the financial system.2 The term is polysemic. It can connote approaches as different as Marxism and the analysis of political decision-making using rational choice ...
Commodity Market Capital Flow and Asset Return Predictability ∗ Harrison Hong
... interpretation of these findings is that capital flows into commodity markets in response to news, which get impounded into commodity prices with delay. In the 1970s, for example, there were news about supply shocks to oil. In the most recent period, there were news about strong demand for commoditie ...
... interpretation of these findings is that capital flows into commodity markets in response to news, which get impounded into commodity prices with delay. In the 1970s, for example, there were news about supply shocks to oil. In the most recent period, there were news about strong demand for commoditie ...
Mastering The Markets
... It seems a place for gamblers, or for those people that work in the City, or on Wall St – who must surely know exactly what is going on! This is a fallacy. If you can take a little time to understand the contents of this book, the heavy burden of confusion will be removed from you forever. The stock ...
... It seems a place for gamblers, or for those people that work in the City, or on Wall St – who must surely know exactly what is going on! This is a fallacy. If you can take a little time to understand the contents of this book, the heavy burden of confusion will be removed from you forever. The stock ...
Market sentiment
Market sentiment is the general prevailing attitude of investors as to anticipated price development in a market. This attitude is the accumulation of a variety of fundamental and technical factors, including price history, economic reports, seasonal factors, and national and world events.For example, if investors expect upward price movement in the stock market, the sentiment is said to be bullish. On the contrary, if the market sentiment is bearish, most investors expect downward price movement. Market sentiment is usually considered as a contrarian indicator: what most people expect is a good thing to bet against. Market sentiment is used because it is believed to be a good predictor of market moves, especially when it is more extreme. Very bearish sentiment is usually followed by the market going up more than normal, and vice versa.Mutual fund flows are very useful.Market sentiment is monitored with a variety of technical and statistical methods such as the number of advancing versus declining stocks and new highs versus new lows comparisons. A large share of overall movement of an individual stock has been attributed to market sentiment The stock market's demonstration of the situation is often described as all boats float or sink with the tide, in the popular Wall Street phrase ""the trend is your friend"".Market sentiment, as such, might be acquired from more than one sentiment analytical tool. For example there could be just simple extraction of movement on stock exchange and validly called market sentiment. Another tool is to extract the news and media information based on their polarity. Yet another sub-subject might be community sentiment about the market movements (blogs, forums).In the last decade, investors are also known to measure market sentiment through the use of news analytics, which include sentiment analysis on textual stories about companies and sectors.The Acertus Market Sentiment Indicator (AMSI) is one indicator of market sentiment. AMSI incorporates five variables. In descending order of weight in the indicator they are Price/Earnings Ratio, a measure of stock market valuations; price momentum, a measure of market psychology; Realized Volatility, a measure of recent historical risk; High Yield Bond Returns, a measure of credit risk; and the TED Spread, a measure of systemic financial risk. Each of these factors provides a measure of market sentiment through a unique lens, and together they may offer a more robust indicator of market sentiment.Additional indicators exist to measure the sentiment specifically of retail Forex market investors. Though the Forex market is decentralized (not traded on a central exchange), various retail Forex brokerage firms publish positioning ratios (similar to the Put/Call ratio) and other data regarding their own clients' trading behavior. Since most retail currency traders are unsuccessful, measures of Forex market sentiment are typically used as contrarian indicators.