english,
... and RTS (for Russia). Days with no trading in any of the observed market were left out. Returns (and all other variables, i.e. covariates) were calculated as two-day rollingaverage logarithmic returns (or changes) in order to control for the fact of the different open hours of the markets on which t ...
... and RTS (for Russia). Days with no trading in any of the observed market were left out. Returns (and all other variables, i.e. covariates) were calculated as two-day rollingaverage logarithmic returns (or changes) in order to control for the fact of the different open hours of the markets on which t ...
High frequency trading: assessing the impact on market
... market making firms to quantitative hedge funds and their practices include a range of activities such as pseudo market-making and statistical arbitrage (“stat-arb”) trading. Though many of these trading approaches derive from strategies that have always existed in markets, the speed with which they ...
... market making firms to quantitative hedge funds and their practices include a range of activities such as pseudo market-making and statistical arbitrage (“stat-arb”) trading. Though many of these trading approaches derive from strategies that have always existed in markets, the speed with which they ...
Investigating Stock Market Indices of India - Empirical Analysis
... Average in 1896. Since then, all stock exchanges across the globe have built their own indexes. While they are widely used by the investors to know overall daily market performance, fund ...
... Average in 1896. Since then, all stock exchanges across the globe have built their own indexes. While they are widely used by the investors to know overall daily market performance, fund ...
The Future of Futures: The Time of Money in Financing and Society
... both their difficulty and their fascinating appeal. Because of this ambiguity, the book and its title can be read in many different ways. Why the future of futures? Futures stand here for derivatives as a whole, as options, swaps, forwards and others, all of which are financial instruments. These in ...
... both their difficulty and their fascinating appeal. Because of this ambiguity, the book and its title can be read in many different ways. Why the future of futures? Futures stand here for derivatives as a whole, as options, swaps, forwards and others, all of which are financial instruments. These in ...
ISE T7 Release 5.0 Market Model.
... technical session through which it had been entered. A session can only have one buy quote and one sell quote per security. Sessions belonging to the same business unit may have different quotes in the same security, but only one quote per session. If a quote is entered through a session that alread ...
... technical session through which it had been entered. A session can only have one buy quote and one sell quote per security. Sessions belonging to the same business unit may have different quotes in the same security, but only one quote per session. If a quote is entered through a session that alread ...
MARKET SEGMENTATION AND THE COST OF CAPITAL IN
... See Stulz(1997) for a detailed discussion of the various issues and the available empirical evidence. Historically, ADRs have played an important role in global finance. Since the 1970’s, firms from developed markets (DMs) have used this vehicle to escape the small home market with its limited risk ...
... See Stulz(1997) for a detailed discussion of the various issues and the available empirical evidence. Historically, ADRs have played an important role in global finance. Since the 1970’s, firms from developed markets (DMs) have used this vehicle to escape the small home market with its limited risk ...
Issues in assessing trade execution costs
... benchmark quotes potentially captures the effect of systematic price movements ahead of trades. Researchers who have adopted the five second (or other fixed time) lag recommended by Lee and Ready generally use the adjustment both when inferring whether trades are buyer or seller-initiated and for sele ...
... benchmark quotes potentially captures the effect of systematic price movements ahead of trades. Researchers who have adopted the five second (or other fixed time) lag recommended by Lee and Ready generally use the adjustment both when inferring whether trades are buyer or seller-initiated and for sele ...
Forecasting stock market returns: The sum of the parts is more than
... components and obtains out-of-sample R-squares (compared with the historical mean) of more than 1.3% with monthly data and 13.4% with yearly data. This compares with typically negative R-squares obtained in a similar experiment with predictive regressions. The performance of the SOP method comes mai ...
... components and obtains out-of-sample R-squares (compared with the historical mean) of more than 1.3% with monthly data and 13.4% with yearly data. This compares with typically negative R-squares obtained in a similar experiment with predictive regressions. The performance of the SOP method comes mai ...
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
... Existing economic conditions include prices and costs at which economic producibility from a reservoir is to be determined. The price shall be the average price during the 12-month period before the ending date of the period covered by the report, determined as an unweighted arithmetic average of th ...
... Existing economic conditions include prices and costs at which economic producibility from a reservoir is to be determined. The price shall be the average price during the 12-month period before the ending date of the period covered by the report, determined as an unweighted arithmetic average of th ...
When Does Information Asymmetry Affect the Cost of
... In this paper we explore further this possibility by introducing a proxy for the level of competition in a firm’s shares. While financial market competition is a well accepted economic concept, it has no natural proxy in market data. This problem notwithstanding, we use the number of investors in a ...
... In this paper we explore further this possibility by introducing a proxy for the level of competition in a firm’s shares. While financial market competition is a well accepted economic concept, it has no natural proxy in market data. This problem notwithstanding, we use the number of investors in a ...
Presentation GMO Low Volatility Fundamentals
... Real Risk Is Losing Your Money! Three routes to the permanent impairment of capital: ...
... Real Risk Is Losing Your Money! Three routes to the permanent impairment of capital: ...
Good news-Bad news: Information revelation
... stressed the presence of significant ambiguity aversion (Yates and Zukowski (1976), Curley and Yates (1985), Cohen, Tallon and Vergnaud (2009)). Meanwhile, others have argued that ambiguity aversion can be dampened, or even eliminated, if ambiguous and unambiguous lotteries are evaluated separately ...
... stressed the presence of significant ambiguity aversion (Yates and Zukowski (1976), Curley and Yates (1985), Cohen, Tallon and Vergnaud (2009)). Meanwhile, others have argued that ambiguity aversion can be dampened, or even eliminated, if ambiguous and unambiguous lotteries are evaluated separately ...
Electronic Bulls and Bears: U.S. Securities Markets and Information
... information flow can mean large profits or losses in securities markets. The obvious advantages of better technology have always in the past eventually overcome inertia, tradition, and cost to bring information technology into markets. Eager traders sooner or later seek the benefits of advanced tech ...
... information flow can mean large profits or losses in securities markets. The obvious advantages of better technology have always in the past eventually overcome inertia, tradition, and cost to bring information technology into markets. Eager traders sooner or later seek the benefits of advanced tech ...
strukture for the decree on minimum capital requirements for market
... (e) a "central counterparty" is an entity that legally interposes itself between counterparties to transactions (contracts) traded on one or more financial markets, becoming the buyer to every seller and the seller to every buyer; (f) "counterparty credit risk" (hereinafter: CCR) is the risk that th ...
... (e) a "central counterparty" is an entity that legally interposes itself between counterparties to transactions (contracts) traded on one or more financial markets, becoming the buyer to every seller and the seller to every buyer; (f) "counterparty credit risk" (hereinafter: CCR) is the risk that th ...
Future price limits ― Form of control and regulated
... broad set of criteria which relate to Ofwat’s objectives for the regulatory regime. Given the price control tools are typically designed with a certain level of contestability or market power in mind they share many of the same strengths and weaknesses. We have sought to identify both the common the ...
... broad set of criteria which relate to Ofwat’s objectives for the regulatory regime. Given the price control tools are typically designed with a certain level of contestability or market power in mind they share many of the same strengths and weaknesses. We have sought to identify both the common the ...
ACI Dealing Certificate syllabus
... It is the responsibility of a central bank to regulate the most commonly seen bubble, i.e. inflation. This is part of their monetary policy. Monetary policy is the targeted use of financial instruments and measures to influence the economy. Apart from aiming at a stable price level, the monetary pol ...
... It is the responsibility of a central bank to regulate the most commonly seen bubble, i.e. inflation. This is part of their monetary policy. Monetary policy is the targeted use of financial instruments and measures to influence the economy. Apart from aiming at a stable price level, the monetary pol ...
Equity Quantitative Study - International Swaps and Derivatives
... size. For simplicity, we restricted ourselves to the three major currencies where OTC equity derivatives are traded: JPY, EUR and USD. As the reader can see, we analyzed approximately 15,000 trades. Table 2 shows the different entries that were provided by Markit for each transaction. Aside from the ...
... size. For simplicity, we restricted ourselves to the three major currencies where OTC equity derivatives are traded: JPY, EUR and USD. As the reader can see, we analyzed approximately 15,000 trades. Table 2 shows the different entries that were provided by Markit for each transaction. Aside from the ...
Autocallable Market-Linked Step Up Notes Linked - corporate
... notes, including any repayment of principal, will be subject to the credit risk of BAC. The notes will be automatically called at the Call Amount if the Observation Level of the Market Measure, which is the PHLX Housing Sector SM Index (the “Index”), is equal to or greater than the Call Level on the ...
... notes, including any repayment of principal, will be subject to the credit risk of BAC. The notes will be automatically called at the Call Amount if the Observation Level of the Market Measure, which is the PHLX Housing Sector SM Index (the “Index”), is equal to or greater than the Call Level on the ...
The Effects of Capital Structure Change on Security Prices
... diminishes but does not eliminate the net corporate tax benefit of debt. 4 Moreover, a unique optimal capital structure will often exist in this tax environment, where at the margin, the corporate tax advantage of debt exactly offsets the personal tax disadvantage of holding debt. Given the conflict ...
... diminishes but does not eliminate the net corporate tax benefit of debt. 4 Moreover, a unique optimal capital structure will often exist in this tax environment, where at the margin, the corporate tax advantage of debt exactly offsets the personal tax disadvantage of holding debt. Given the conflict ...