Supply, Demand and Market Equilibrium
... at the IEM • Read the prospectus to make sure you understand how the contracts work • Using various news sources, try to determine what events will affect prices in the IEM for two-weeks • Using your understanding of supply and demand, predict how prices should change • Determine if your predictions ...
... at the IEM • Read the prospectus to make sure you understand how the contracts work • Using various news sources, try to determine what events will affect prices in the IEM for two-weeks • Using your understanding of supply and demand, predict how prices should change • Determine if your predictions ...
Spot Market Competition and Long-Term
... of contracts, and demonstrated that generators will have a strong incentive to bid above short-run generation costs. Green and Newbery (1992) have taken a different analytical approach but reached similar conclusions. In ...
... of contracts, and demonstrated that generators will have a strong incentive to bid above short-run generation costs. Green and Newbery (1992) have taken a different analytical approach but reached similar conclusions. In ...
Demand-Based Option Pricing
... using a unique dataset, and show that demand-pressure effects can play a role in resolving the main option-pricing puzzles. The starting point of our analysis is that options are traded because they are useful and, therefore, options cannot be redundant for all investors (Hakansson 1979). We denote ...
... using a unique dataset, and show that demand-pressure effects can play a role in resolving the main option-pricing puzzles. The starting point of our analysis is that options are traded because they are useful and, therefore, options cannot be redundant for all investors (Hakansson 1979). We denote ...
Automated Trading Desk and Price Prediction in High
... is only gradually becoming a focus).1 For example, Muniesa has examined the pathways via which markets have moved from face-to-face interaction to the algorithmic matching of supply and demand (Muniesa, 2005 and 2011), and Knorr Cetina and Preda have taught us how to conceptualize interaction in ele ...
... is only gradually becoming a focus).1 For example, Muniesa has examined the pathways via which markets have moved from face-to-face interaction to the algorithmic matching of supply and demand (Muniesa, 2005 and 2011), and Knorr Cetina and Preda have taught us how to conceptualize interaction in ele ...
Mergers and Acquisitions
... If a takeover bid has the the support of the directors of the company to be taken over (the "target" or "offeree") it is called an agreed takeover bid. If they oppose it is called a hostile takeover bid. Takeover bids are most commonly made by: other companies in the same industry private equity com ...
... If a takeover bid has the the support of the directors of the company to be taken over (the "target" or "offeree") it is called an agreed takeover bid. If they oppose it is called a hostile takeover bid. Takeover bids are most commonly made by: other companies in the same industry private equity com ...
NBER WORKING PAPER SERIES DEMAND-BASED OPTION PRICING Nicolae Garleanu Lasse Heje Pedersen
... main option-pricing puzzles. The starting point of our analysis is that options are traded because they are useful and, therefore, options cannot be redundant for all investors (Hakansson (1979)). We denote the agents who have a fundamental need for option exposure as “end users.” Intermediaries suc ...
... main option-pricing puzzles. The starting point of our analysis is that options are traded because they are useful and, therefore, options cannot be redundant for all investors (Hakansson (1979)). We denote the agents who have a fundamental need for option exposure as “end users.” Intermediaries suc ...
Time-Varying Arrival Rates of Informed and Uninformed Trades
... before and after earnings announcement have this property. They find that their PIN estimates do not have the expected property. Our belief is that this occurs because the variation in trade based on private information occurs in short periods before and after announcements and using long periods to ...
... before and after earnings announcement have this property. They find that their PIN estimates do not have the expected property. Our belief is that this occurs because the variation in trade based on private information occurs in short periods before and after announcements and using long periods to ...
Stop-loss orders and price cascades in currency markets
... If stop-loss trading in currency markets contributes to price cascades, then it also contributes to the high frequency of large moves relative to that predicted by the normal distribution, a property known familiarly as "fat tails." Fat tails, in turn, contribute to "excess kurtosis," or kurtosis hi ...
... If stop-loss trading in currency markets contributes to price cascades, then it also contributes to the high frequency of large moves relative to that predicted by the normal distribution, a property known familiarly as "fat tails." Fat tails, in turn, contribute to "excess kurtosis," or kurtosis hi ...
stop-loss orders and price cascades in currency markets
... If stop-loss trading in currency markets contributes to price cascades, then it also contributes to the high frequency of large moves relative to that predicted by the normal distribution, a property known familiarly as "fat tails." Fat tails, in turn, contribute to "excess kurtosis," or kurtosis hi ...
... If stop-loss trading in currency markets contributes to price cascades, then it also contributes to the high frequency of large moves relative to that predicted by the normal distribution, a property known familiarly as "fat tails." Fat tails, in turn, contribute to "excess kurtosis," or kurtosis hi ...
strategic asset allocation
... • Many practitioners will qualitatively evaluate an investor’s risk tolerance as below average, average, or above average, based on the investor’s willingness and ability to take risk. • To apply a quantitative approach to asset allocation, however, we must quantify an investor’s attitude to risk. • ...
... • Many practitioners will qualitatively evaluate an investor’s risk tolerance as below average, average, or above average, based on the investor’s willingness and ability to take risk. • To apply a quantitative approach to asset allocation, however, we must quantify an investor’s attitude to risk. • ...
Liquidity and the Law of One Price: The Case of the Futures/Cash
... 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 auto-quotes (passive quotes by secondary market dealers) have been eliminated in the ISSM d ...
... 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 auto-quotes (passive quotes by secondary market dealers) have been eliminated in the ISSM d ...
The pricing of volatility risk across asset classes
... innovations, although substantially less noisy and yields the best pricing performance of the volatility measures considered. An additional advantage of the non-parametric principal component analysis is that it allows us to entertain the possibility of more than one priced component of stock market ...
... innovations, although substantially less noisy and yields the best pricing performance of the volatility measures considered. An additional advantage of the non-parametric principal component analysis is that it allows us to entertain the possibility of more than one priced component of stock market ...
The Impact of the French Securities Transaction Tax on Market
... “And then there’s the proposal for a Financial Transactions Tax... Even to be considering this at a time when we are struggling to get our economies growing is quite simply madness”. David Cameron, British Prime Minister ...
... “And then there’s the proposal for a Financial Transactions Tax... Even to be considering this at a time when we are struggling to get our economies growing is quite simply madness”. David Cameron, British Prime Minister ...
Paper
... leverage, and some banks levered into Mortgage-Backed Securities that would only pay off if house prices continued to rise. When house prices decreased, Lehman Brothers filed for bankruptcy, and other major banks and insurance companies would have gone bankrupt without government intervention. Why d ...
... leverage, and some banks levered into Mortgage-Backed Securities that would only pay off if house prices continued to rise. When house prices decreased, Lehman Brothers filed for bankruptcy, and other major banks and insurance companies would have gone bankrupt without government intervention. Why d ...
Volume and Liquidity After Cross
... that shelter less active trading venues from the gravitational pull of the larger one. Whether such frictions exist, so that an active foreign market can be sustained after a cross-listing, is an empirical question, and is precisely the question that motivates this study. Our first contribution is t ...
... that shelter less active trading venues from the gravitational pull of the larger one. Whether such frictions exist, so that an active foreign market can be sustained after a cross-listing, is an empirical question, and is precisely the question that motivates this study. Our first contribution is t ...
Why were there fire sales of mortgage
... discussed later, the riskiest securities could require more than fifty times the amount of capital required by AAA-rated securities.3 Even though low risk assets tend to be more liquid, selling such assets may have little impact on a financial institution’s ability to meet capital requirements in co ...
... discussed later, the riskiest securities could require more than fifty times the amount of capital required by AAA-rated securities.3 Even though low risk assets tend to be more liquid, selling such assets may have little impact on a financial institution’s ability to meet capital requirements in co ...
Did Stop Signs Stop Investor Trading?
... individual investor attention to (away from) those firms that provide more (less) public disclosures. This adds to our understanding of how an information intermediary can improve the liquidity of markets with both minimal disclosure requirements and individual investors. The setting provides an exa ...
... individual investor attention to (away from) those firms that provide more (less) public disclosures. This adds to our understanding of how an information intermediary can improve the liquidity of markets with both minimal disclosure requirements and individual investors. The setting provides an exa ...
IPO Underpricing in a Simultaneous Equations Model of Supply and
... public demand, which usually favors individuals over institutions. Most IPOs have been offered solely to individuals (retailers), whereas a few have been offered to both individuals and institutional investors. If institutional investors are involved in the subscription, they receive preferential tr ...
... public demand, which usually favors individuals over institutions. Most IPOs have been offered solely to individuals (retailers), whereas a few have been offered to both individuals and institutional investors. If institutional investors are involved in the subscription, they receive preferential tr ...
Momentum and Investor Sentiment
... To the best of our understanding, the first and thus far the only study specifically on sentiment and momentum was conducted by Antoniou et al. (2012) for the US market. Needless to say, the literature is very sparse. International evidence in support or against the existing results would provide mu ...
... To the best of our understanding, the first and thus far the only study specifically on sentiment and momentum was conducted by Antoniou et al. (2012) for the US market. Needless to say, the literature is very sparse. International evidence in support or against the existing results would provide mu ...
Detail Disagreement - American Economic Association
... into exploration booms. Firms not only make small improvements on existing technologies, but instead seek to create innovations that are greatly different from existing products. To better understand what exactly about detail disagreement favors the emergence of these episodes, we investigate the ro ...
... into exploration booms. Firms not only make small improvements on existing technologies, but instead seek to create innovations that are greatly different from existing products. To better understand what exactly about detail disagreement favors the emergence of these episodes, we investigate the ro ...
Intermediate Accounting
... If a company discovers an error in the same accounting period that the error was made, it reverses the erroneous entry and records a correct entry. However, if a company discovers a material error after it has closed the books, it treats the correction as a prior ...
... If a company discovers an error in the same accounting period that the error was made, it reverses the erroneous entry and records a correct entry. However, if a company discovers a material error after it has closed the books, it treats the correction as a prior ...
Limit Order Strategic Placement with Adverse Selection
... investors). For obvious reasons, the focus of papers about optimal trading strategies has been risk control. In practice market participants combine short term anticipations of price dynamics inside these risk control framework ([Almgren and Lorenz, 2006] for the inclusion of a Bayesian estimator of ...
... investors). For obvious reasons, the focus of papers about optimal trading strategies has been risk control. In practice market participants combine short term anticipations of price dynamics inside these risk control framework ([Almgren and Lorenz, 2006] for the inclusion of a Bayesian estimator of ...
Price Discovery and Trading After Hours
... The second dataset is the Nastraq database compiled by the NASD. For the same time period (March through December 2000), Nastraq data ...
... The second dataset is the Nastraq database compiled by the NASD. For the same time period (March through December 2000), Nastraq data ...
The Link between Real Options and finance
... skills and a good information system. The implementation of a real options approach could be very valuable but at the same time is a challenging task. However it is very much in the spirit of real options to finish with a sobering quote from before the Enron debacle: “Enron President and Chief Opera ...
... skills and a good information system. The implementation of a real options approach could be very valuable but at the same time is a challenging task. However it is very much in the spirit of real options to finish with a sobering quote from before the Enron debacle: “Enron President and Chief Opera ...