Latency Arbitrage, Market Fragmentation, and Efficiency: A Two
... decline (approximately 1,000 points). During a five-minute period, some companies traded for as low as a penny and as high as nearly $100,000. The rout continued until an automatic stabilizer on the exchange paused trading for five seconds, after which the markets recovered [Bowley 2010]. Some have ar ...
... decline (approximately 1,000 points). During a five-minute period, some companies traded for as low as a penny and as high as nearly $100,000. The rout continued until an automatic stabilizer on the exchange paused trading for five seconds, after which the markets recovered [Bowley 2010]. Some have ar ...
How are stock prices a!ected by the location of trade?
... underlying cash #ows. Closed-end shares, on the other hand, are claims not only to a portfolio of foreign stocks, but also to the dynamic trading strategy followed by fund managers. The di!erences between fund share prices and net asset values might be explained by the perceived value of this strate ...
... underlying cash #ows. Closed-end shares, on the other hand, are claims not only to a portfolio of foreign stocks, but also to the dynamic trading strategy followed by fund managers. The di!erences between fund share prices and net asset values might be explained by the perceived value of this strate ...
Full text - Toulouse School of Economics
... determine whether the new prudential regulation in Europe should recognize the long maturity of life insurance liabilities and the insurers’ role as intermediaries promoting intergenerational risk sharing (see Gollier [2008]), two aspects of insurance activities that are irrelevant in the banking se ...
... determine whether the new prudential regulation in Europe should recognize the long maturity of life insurance liabilities and the insurers’ role as intermediaries promoting intergenerational risk sharing (see Gollier [2008]), two aspects of insurance activities that are irrelevant in the banking se ...
Power law in market capitalization during Dot
... After B. Mandelbrot identified the fractal structure of price fluctuations in asset markets in 1963 [1], statistical physicists have studied the economic mechanism that produces a fractal structure. Power law is an important characteristic in the fractal structure. Some research found that the size di ...
... After B. Mandelbrot identified the fractal structure of price fluctuations in asset markets in 1963 [1], statistical physicists have studied the economic mechanism that produces a fractal structure. Power law is an important characteristic in the fractal structure. Some research found that the size di ...
Utility Change
... vary over time. That is, international diversification benefits change over time. ...
... vary over time. That is, international diversification benefits change over time. ...
Negotiable/Transferable Instruments Conventions
... A good business day is defined as any day on which banks in the state of New South Wales (NSW) are generally open for business, or a day other than one on which banks in NSW are obliged or permitted to close, excluding Saturday and Sunday. Essentially, NSW business days are weekdays (Monday to Frida ...
... A good business day is defined as any day on which banks in the state of New South Wales (NSW) are generally open for business, or a day other than one on which banks in NSW are obliged or permitted to close, excluding Saturday and Sunday. Essentially, NSW business days are weekdays (Monday to Frida ...
answers to problems - U of L Class Index
... For example, Odier and Solnik show that the average correlation of the U.S. equity market with 16 other equity markets was only slightly higher than the correlation of U.S. stocks with U.S. bonds. Yet research on past data shows the potential for achieving higher returns is much larger with 16 forei ...
... For example, Odier and Solnik show that the average correlation of the U.S. equity market with 16 other equity markets was only slightly higher than the correlation of U.S. stocks with U.S. bonds. Yet research on past data shows the potential for achieving higher returns is much larger with 16 forei ...
The information content of an open limit-order book
... traders into their models, assuming that they favor and actively submit market orders. This suggests that the order book beyond the best bid and offer contains little, if any, information. On the other hand, several recent studies suggest that the order book is informative. Using an experimental des ...
... traders into their models, assuming that they favor and actively submit market orders. This suggests that the order book beyond the best bid and offer contains little, if any, information. On the other hand, several recent studies suggest that the order book is informative. Using an experimental des ...
Consumer Surplus
... to pay, and it measures how much that buyer values the good. Each buyer would be eager to buy the album at a price less than his willingness to pay, and he would refuse to buy the album at a price greater than his willingness to pay. At a price equal to his willingness to pay, the buyer would be ...
... to pay, and it measures how much that buyer values the good. Each buyer would be eager to buy the album at a price less than his willingness to pay, and he would refuse to buy the album at a price greater than his willingness to pay. At a price equal to his willingness to pay, the buyer would be ...
Advances in Environmental Biology
... utilize it. Fundamental analysis, due to its requirement to a large size of information and also the required time, needs to access all fundamental factors which mostly is time consuming and costly for micro investors. On the other hand, the micro investors' lack of access to the secret information ...
... utilize it. Fundamental analysis, due to its requirement to a large size of information and also the required time, needs to access all fundamental factors which mostly is time consuming and costly for micro investors. On the other hand, the micro investors' lack of access to the secret information ...
Application - BSP SouthPool
... BSP Regional Energy Exchange LL C and its affiliated companies (hereinafter jointly and/or individually referred to as “BSP SouthPool”) jointly operate an energy exchange and respective trading, clearing and settlement systems (hereinafter referred to as “Exchange”) in accordance with the rules of t ...
... BSP Regional Energy Exchange LL C and its affiliated companies (hereinafter jointly and/or individually referred to as “BSP SouthPool”) jointly operate an energy exchange and respective trading, clearing and settlement systems (hereinafter referred to as “Exchange”) in accordance with the rules of t ...
Primary Privatization Goal in Economies in Transition
... wealth is also similar for most of other models used so far.4 In the first stage of this model, which is called by the author a "miracle" model, most of national wealth in the form of shares of equity of state companies is distributed among citizens. In the second, so called "consolidation of owners ...
... wealth is also similar for most of other models used so far.4 In the first stage of this model, which is called by the author a "miracle" model, most of national wealth in the form of shares of equity of state companies is distributed among citizens. In the second, so called "consolidation of owners ...
Algorithms for VWAP and Limit Order Trading
... • Option 2: Sell it to a brokerage – What should be the price – The future VWAP over the next month [minus some commission cost] • Brokerage: Needs to sell the shares at the VWAP (more or less) – brokerage takes on risk ...
... • Option 2: Sell it to a brokerage – What should be the price – The future VWAP over the next month [minus some commission cost] • Brokerage: Needs to sell the shares at the VWAP (more or less) – brokerage takes on risk ...
The Impact of Serial Correlation on Option Prices in a Non
... water. These modifications stand by the seminal Black-Scholes conception of an arbitrage based optionpricing model in which a perfect hedge can be formed between the option and the underlying asset. The inconsistency that has received the most attention is the so-called volatility smile. The volatil ...
... water. These modifications stand by the seminal Black-Scholes conception of an arbitrage based optionpricing model in which a perfect hedge can be formed between the option and the underlying asset. The inconsistency that has received the most attention is the so-called volatility smile. The volatil ...
lecture 6 - ComLabGames
... In a competitive equilibrium with price p the objective of player i is to pick the quantity of stock traded, denoted qi, to maximize the value of his or her portfolio subject to constraints that prevent short sales (selling more stock than the the seller holds) or bankruptcy (not having enough liqui ...
... In a competitive equilibrium with price p the objective of player i is to pick the quantity of stock traded, denoted qi, to maximize the value of his or her portfolio subject to constraints that prevent short sales (selling more stock than the the seller holds) or bankruptcy (not having enough liqui ...
Meeting Minutes
... Association members have been sued for agreeing not to do business with certain customers or suppliers and for attempting to block a competitor from access to a market. Unfair or biased standards-setting activities have been challenged as group boycotts. Data Dissemination Antitrust law allows an as ...
... Association members have been sued for agreeing not to do business with certain customers or suppliers and for attempting to block a competitor from access to a market. Unfair or biased standards-setting activities have been challenged as group boycotts. Data Dissemination Antitrust law allows an as ...
Questions and Answers About the Iraq Securities Law
... businesses to establish a permanent capital base and to raise money for new equipment and projects. By selling shares that represent partial ownership, a company can quickly and efficiently raise a large sum of money from a wide group of investors. Faster and more efficient access to capital will ma ...
... businesses to establish a permanent capital base and to raise money for new equipment and projects. By selling shares that represent partial ownership, a company can quickly and efficiently raise a large sum of money from a wide group of investors. Faster and more efficient access to capital will ma ...
Hedging with Interest Rate Futures
... The material and information set out in this presentation is not intended to be an offer to buy or sell any derivatives. Any expression of opinion is based on sources believed to be reasonably reliable but is not guaranteed as to accuracy or completeness. The material and information herein is gener ...
... The material and information set out in this presentation is not intended to be an offer to buy or sell any derivatives. Any expression of opinion is based on sources believed to be reasonably reliable but is not guaranteed as to accuracy or completeness. The material and information herein is gener ...
multi-market trading and market liquidity: the post-mifid picture
... No evidence that order flow fragmentation between trading platforms harms liquidity ● Spreads have decreased between Oct. 2007 and Sep. 2009 in proportion with the level of market competition o More significant after June 2009 o More significant for FTSE 100 stocks/ Less or no significant for SBF ...
... No evidence that order flow fragmentation between trading platforms harms liquidity ● Spreads have decreased between Oct. 2007 and Sep. 2009 in proportion with the level of market competition o More significant after June 2009 o More significant for FTSE 100 stocks/ Less or no significant for SBF ...
Crude Oil Price Uncertainty and Stock Markets in Gulf Corporation
... oil prices and economic activity. Essentially, these studies have established that shocks in oil prices have significant effects on macroeconomic variables in most developed and emerging countries [Cunado and Perez Garcia de (2005), Balaz and Londarev (2006), Gronwald (2008), Cologni and Manera (200 ...
... oil prices and economic activity. Essentially, these studies have established that shocks in oil prices have significant effects on macroeconomic variables in most developed and emerging countries [Cunado and Perez Garcia de (2005), Balaz and Londarev (2006), Gronwald (2008), Cologni and Manera (200 ...
CMC-Q1-2016-New Complaints Management Framework
... require more time to enable firms respond to allegations. Complaints that include criminal elements which are referred to the Exchange, these complaints are not likely to be concluded within 20 working days. Appeals against directives/decisions on a complaint may be escalated through the appeal proc ...
... require more time to enable firms respond to allegations. Complaints that include criminal elements which are referred to the Exchange, these complaints are not likely to be concluded within 20 working days. Appeals against directives/decisions on a complaint may be escalated through the appeal proc ...
Government Intervention in Markets
... Analyse methods of government intervention Evaluate methods of government intervention ...
... Analyse methods of government intervention Evaluate methods of government intervention ...
the oilseed industry - Australian Oilseeds Federation
... bonus for mono over poly sunflower to encourage growers to grow the crop and to compensate for the difference in yield between mono’s and poly’s, although this difference is now less than it was due to improved varieties. Mono sunflower offers good potential for growth to the Australian sunflower gr ...
... bonus for mono over poly sunflower to encourage growers to grow the crop and to compensate for the difference in yield between mono’s and poly’s, although this difference is now less than it was due to improved varieties. Mono sunflower offers good potential for growth to the Australian sunflower gr ...