Futurization of Swaps
... neither the CFTC nor the SEC have addressed. First, margins on futures contracts are calculated differently from and are lower than those for swaps. This is a strong reason by itself for the migration from swaps to futures. But as this migration continues and volumes of transactions cleared on futur ...
... neither the CFTC nor the SEC have addressed. First, margins on futures contracts are calculated differently from and are lower than those for swaps. This is a strong reason by itself for the migration from swaps to futures. But as this migration continues and volumes of transactions cleared on futur ...
Answers to Questions
... enterprise’s assets. (2) a statutory merger can also be produced by the acquisition of a company’s capital stock. This transaction is labeled a statutory merger if the acquired company transfers its assets and liabilities to the buyer and then legally dissolves as a corporation. (3) A statutory cons ...
... enterprise’s assets. (2) a statutory merger can also be produced by the acquisition of a company’s capital stock. This transaction is labeled a statutory merger if the acquired company transfers its assets and liabilities to the buyer and then legally dissolves as a corporation. (3) A statutory cons ...
Predatory or Sunshine Trading? Evidence from Crude Oil ETF Rolls
... Our analysis reveals that, when the market is reasonably resilient, the profit maximizing strategy for the predator is to sell before (and, for some parameters after) the period where the liquidator trades, while purchasing during the period that the liquidator trades. In other words, the predator ...
... Our analysis reveals that, when the market is reasonably resilient, the profit maximizing strategy for the predator is to sell before (and, for some parameters after) the period where the liquidator trades, while purchasing during the period that the liquidator trades. In other words, the predator ...
Primary Market
... • So firms will finance these needs with longterm debt or equity. • The cost of these long term financing means is known for the life of the asset • Less refinancing problems • Long terms rates are higher ...
... • So firms will finance these needs with longterm debt or equity. • The cost of these long term financing means is known for the life of the asset • Less refinancing problems • Long terms rates are higher ...
Speculative Investors and Tobin`s Tax
... are sought later by homebuyers as well as by investors 4 (The Appendix provides additional details of the residential market background in Singapore). The presale market is more attractive to short-term speculators than the spot market for completed properties because a presale contract has a lower ...
... are sought later by homebuyers as well as by investors 4 (The Appendix provides additional details of the residential market background in Singapore). The presale market is more attractive to short-term speculators than the spot market for completed properties because a presale contract has a lower ...
The impact of dark trading and visible fragmentation on market quality
... Instruments Directive (MiFID) in Europe. An important question is how market quality is affected by the many and different types of competing venues. In this paper, we study the impact of market fragmentation on liquidity, which is an important aspect of market quality. We investigate the impact of ...
... Instruments Directive (MiFID) in Europe. An important question is how market quality is affected by the many and different types of competing venues. In this paper, we study the impact of market fragmentation on liquidity, which is an important aspect of market quality. We investigate the impact of ...
Eighths, sixteenths, and market depth: changes in tick
... As Lee et al. (1993) note, any study of liquidity provision must examine the changes in both prices and depths. Moreover, Harris (1994) notes that to address properly whether or not liquidity has been enhanced or hampered requires an investigation into how the depth throughout the limit order book h ...
... As Lee et al. (1993) note, any study of liquidity provision must examine the changes in both prices and depths. Moreover, Harris (1994) notes that to address properly whether or not liquidity has been enhanced or hampered requires an investigation into how the depth throughout the limit order book h ...
Evidence about Bubble Mechanisms: Precipitating Event
... We are far from the first to consider positive feedback trading; there is a long literature on it, both theoretical and empirical, with notable contributions including Shiller (1984), De Long, Shleifer, Summers, and Waldmann (1990), Cutler, Poterba, and Summers (1990), Lakonishok, Shleifer, and Vish ...
... We are far from the first to consider positive feedback trading; there is a long literature on it, both theoretical and empirical, with notable contributions including Shiller (1984), De Long, Shleifer, Summers, and Waldmann (1990), Cutler, Poterba, and Summers (1990), Lakonishok, Shleifer, and Vish ...
PDF
... main traditional occupation of the people and smallholder farming characterized by growing of both cash and food crops is predominant. These states have tropical climate with high temperature all year round, heavy rainfall during the rainy season (April to October) and dry wind during the dry season ...
... main traditional occupation of the people and smallholder farming characterized by growing of both cash and food crops is predominant. These states have tropical climate with high temperature all year round, heavy rainfall during the rainy season (April to October) and dry wind during the dry season ...
Guidance on Substantive Merger Control
... Merger control can make a substantial contribution to preventing the restriction of competition brought about by concentration. Notwithstanding the importance of merger control, it should also be noted that most mergers2 do not raise any competition concerns and, by contrast, many actually enhance c ...
... Merger control can make a substantial contribution to preventing the restriction of competition brought about by concentration. Notwithstanding the importance of merger control, it should also be noted that most mergers2 do not raise any competition concerns and, by contrast, many actually enhance c ...
Chapter 25 International Diversification
... • Clearly, U.S. stocks do not comprise a fully diversified equity portfolio. • International investing provides greater diversification opportunities. • It also carries some special risks. ...
... • Clearly, U.S. stocks do not comprise a fully diversified equity portfolio. • International investing provides greater diversification opportunities. • It also carries some special risks. ...
Equity Quantitative Study - International Swaps and Derivatives
... the period June 1 to August 31, 2010. This data consists of trades reported to MarkitServ in OTC equity options and variance swaps. Table 1 provides an overview of the transactions that were analyzed in the study in terms of sample size. For simplicity, we restricted ourselves to the three major cur ...
... the period June 1 to August 31, 2010. This data consists of trades reported to MarkitServ in OTC equity options and variance swaps. Table 1 provides an overview of the transactions that were analyzed in the study in terms of sample size. For simplicity, we restricted ourselves to the three major cur ...
Does Supply Curve Inelasticity Explain Abnormal Long
... greater permanent price impact for repurchase trades. This result is consistent with removal of supply in a market with an inelastic supply curve. In contrast, we do not find that purchases by other insiders create a significant excess permanent price impact. Another potential source for the abnorma ...
... greater permanent price impact for repurchase trades. This result is consistent with removal of supply in a market with an inelastic supply curve. In contrast, we do not find that purchases by other insiders create a significant excess permanent price impact. Another potential source for the abnorma ...
Heat Waves, Meteor Showers, and Trading Volume: An Analysis of
... volatility models and the extent to which this addition impacts our basic findings. Although the impact of news on financial time series is generally examined by modeling the conditional volatility of the series, alternative indicators are available and have been used to examine information flows in ...
... volatility models and the extent to which this addition impacts our basic findings. Although the impact of news on financial time series is generally examined by modeling the conditional volatility of the series, alternative indicators are available and have been used to examine information flows in ...
How volatile are East Asian stocks during high volatility periods?*
... The results show that Indonesia has the highest volatility level relative to normal at 15.4 times. A look at the diagram for Indonesia in Figure 1 however reveals that this estimate may be due to a single event in 1988 when the Indonesian stock market was given a boost by new regulations that stimul ...
... The results show that Indonesia has the highest volatility level relative to normal at 15.4 times. A look at the diagram for Indonesia in Figure 1 however reveals that this estimate may be due to a single event in 1988 when the Indonesian stock market was given a boost by new regulations that stimul ...
Mastering The Markets
... a multi-dimensional approach to analysing the market, and looks at the relationship between price, spread, and volume. For the correct analysis of volume, one needs to realise that the recorded volume information contains only half of the meaning required to arrive at a correct analysis. The other h ...
... a multi-dimensional approach to analysing the market, and looks at the relationship between price, spread, and volume. For the correct analysis of volume, one needs to realise that the recorded volume information contains only half of the meaning required to arrive at a correct analysis. The other h ...
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... sponsored by the World Bank and IMF featured almost two dozen papers including theoretical models of ...
... sponsored by the World Bank and IMF featured almost two dozen papers including theoretical models of ...
Components of Target Capital for Life Companies
... health insurers participated •Some companies have also include their branches into their calculations •The field test included all large and most mid-sized Swiss insurers as well as a number of smaller companies •The following statistics are based on data from approx 2/3 of field test participants • ...
... health insurers participated •Some companies have also include their branches into their calculations •The field test included all large and most mid-sized Swiss insurers as well as a number of smaller companies •The following statistics are based on data from approx 2/3 of field test participants • ...
April 18
... Put-Call Parity for Futures Options Consider the following two portfolios: 1. European call plus Xe-rT of cash 2. European put plus long futures plus cash equal to Fe-rT They must be worth the same at time T so that c+Xe-rT=p+Fe-rT Introduction to Futures and Options Markets, 3rd Edition ...
... Put-Call Parity for Futures Options Consider the following two portfolios: 1. European call plus Xe-rT of cash 2. European put plus long futures plus cash equal to Fe-rT They must be worth the same at time T so that c+Xe-rT=p+Fe-rT Introduction to Futures and Options Markets, 3rd Edition ...
Decimals and Liquidity: A study of the NYSE
... the specialist (for an analysis of quotes from the limit order book and specialist see Chung, Van Ness, and Van Ness 1999). Such competition can also come from the regional stock exchanges posting quotes simultaneously in those stocks. In short, BBOs are generated by the specialist and public limit ...
... the specialist (for an analysis of quotes from the limit order book and specialist see Chung, Van Ness, and Van Ness 1999). Such competition can also come from the regional stock exchanges posting quotes simultaneously in those stocks. In short, BBOs are generated by the specialist and public limit ...
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 ...
SME Exchanges in Emerging Market Economies
... B. The Current State of SME Exchanges As we have noted, building an SME exchange is difficult to do successfully, even in advanced economies and particularly in EMCs where the SMEs are significantly smaller in size (see Table 2). The United Kingdom’s Alternative Investment Market (AIM), the London ...
... B. The Current State of SME Exchanges As we have noted, building an SME exchange is difficult to do successfully, even in advanced economies and particularly in EMCs where the SMEs are significantly smaller in size (see Table 2). The United Kingdom’s Alternative Investment Market (AIM), the London ...
Intermediary Asset Pricing
... are forced to liquidate their asset holdings (as in Shleifer and Vishny, 1997). In both cases, the key dynamic of the model is that low specialist wealth states lead households to withdraw funds from intermediaries and indirectly reduce their participation in the risky asset market. This dynamic th ...
... are forced to liquidate their asset holdings (as in Shleifer and Vishny, 1997). In both cases, the key dynamic of the model is that low specialist wealth states lead households to withdraw funds from intermediaries and indirectly reduce their participation in the risky asset market. This dynamic th ...
Mutual Fund Flows and Fluctuations in Credit and Business Cycles
... forecasting power of HYNEIO for future growth in financial sectors’ balance sheets: a one-standard-deviation increase in HYNEIO translates into a 0.75%-1.00% growth in intermediary balance sheets. In addition, HYNEIO positively predicts the next quarter’s total net bond issuance. These results are ...
... forecasting power of HYNEIO for future growth in financial sectors’ balance sheets: a one-standard-deviation increase in HYNEIO translates into a 0.75%-1.00% growth in intermediary balance sheets. In addition, HYNEIO positively predicts the next quarter’s total net bond issuance. These results are ...