# Classification of trade direction for an equity market with price limit and order match: evidence from the Taiwan stock market

Save this PDF as:

Size: px
Start display at page:

Download "Classification of trade direction for an equity market with price limit and order match: evidence from the Taiwan stock market"

## Transcription

10 Table 7 (cont.). Summary of trade classifications compared with trade size decile and price movements Reverse tick rule Quote rule At the quotes rule Revised quote rule LR algorithm Trade size decile Small 20% 30% 40% 50% 60% 70% 80% 90% Large S midpoint B S inside B S at the quotes B S outside B S midpoint B inside B S at the quotes B S outside B midpoint B inside B at the quotes B S outside B midpoint B Inside B S at the quotes B S outside B midpoint B S Inside B S at the quotes B S outside B

11 Table 7 (cont.). Summary of trade classifications compared with trade size decile and price movements EMO algorithm RLR algorithm Trade size decile Small 20% 30% 40% 50% 60% 70% 80% 90% Large midpoint B S inside B S at the quotes B S outside B midpoint B S inside B S at the quotes B S outside B S This table presents the percentages of er/seller-initiated trades for space consideration. The ratio is calculated by the subtotal er/seller-initiated trades in each category over the number of total trades during the study period. The trade numbers in each category are available from the authors upon request. The trade direction of B (S) represents the er- (seller-) initiated trade. Table 8. Rate of accuracy of trade rules compared with the RLR algorithm Tick rule Reverse tick rule Quote rule At the quotes rule Revised quote rule True True sell Number Percent (%) Number Percent (%) 5,997, ,193, sell 2,049, ,814, unclassified 122, , ,671, ,051, sell 2,286, ,920, unclassified 211, , ,883, , sell ,135, unclassified 285, , ,447, , sell 233, ,560, unclassified 488, , ,881, sell ,852, unclassified 287, , Rate of accuracy (%)

### Financial Markets and Institutions Abridged 10 th Edition

Financial Markets and Institutions Abridged 10 th Edition by Jeff Madura 1 12 Market Microstructure and Strategies Chapter Objectives describe the common types of stock transactions explain how stock transactions

### How Effective Are Effective Spreads? An Evaluation of Trade Side Classification Algorithms

How Effective Are Effective Spreads? An Evaluation of Trade Side Classification Algorithms Ananth Madhavan Kewei Ming Vesna Straser Yingchuan Wang* Current Version: November 20, 2002 Abstract The validity

### Are Market Center Trading Cost Measures Reliable? *

JEL Classification: G19 Keywords: equities, trading costs, liquidity Are Market Center Trading Cost Measures Reliable? * Ryan GARVEY Duquesne University, Pittsburgh (Garvey@duq.edu) Fei WU International

### The Sensitivity of Effective Spread Estimates to Trade Quote Matching Algorithms

SPECIAL SECTION: FINANCIAL MARKET ENGINEERING The Sensitivity of Effective Spread Estimates to Trade Quote Matching Algorithms MICHAEL S. PIWOWAR AND LI WEI INTRODUCTION The rapid growth of electronic

### Execution Costs of Exchange Traded Funds (ETFs)

MARKET INSIGHTS Execution Costs of Exchange Traded Funds (ETFs) By Jagjeev Dosanjh, Daniel Joseph and Vito Mollica August 2012 Edition 37 in association with THE COMPANY ASX is a multi-asset class, vertically

### CFDs and Liquidity Provision

2011 International Conference on Financial Management and Economics IPEDR vol.11 (2011) (2011) IACSIT Press, Singapore CFDs and Liquidity Provision Andrew Lepone and Jin Young Yang Discipline of Finance,

### Decimalization and market liquidity

Decimalization and market liquidity Craig H. Furfine On January 29, 21, the New York Stock Exchange (NYSE) implemented decimalization. Beginning on that Monday, stocks began to be priced in dollars and

Trade Size and the Adverse Selection Component of the Spread: Which Trades Are "Big"? Frank Heflin Krannert Graduate School of Management Purdue University West Lafayette, IN 47907-1310 USA 765-494-3297

### A stock is a share in the ownership of a company. Stock represents a claim on the company s assets and earnings.

Stock Market Basics What are stocks? A stock is a share in the ownership of a company. Stock represents a claim on the company s assets and earnings. As an owner (shareholder), you are entitled to your

### When firms need to raise capital, they may issue securities to the public by investment bankers.

CHAPTER 3. HOW SECURITIES ARE TRADED When firms need to raise capital, they may issue securities to the public by investment bankers. Primary market is a market for new securities. Secondary market is

### Chapter 3. How Securities are Traded

Chapter 3 How Securities are Traded Primary vs. Secondary Security Sales Primary: When firms need to raise capital, they may choose to sell (or float) new securities. These new issues typically are marketed

### Outline. Securities Markets. Markets. Money and Capital Markets. Markets Orders Positions Information

Outline Securities Markets Economics 71a Spring 2007 Mayo, Chapter 3 Lecture notes 2.3 Markets Orders Positions Information Primary markets Markets New issues (IPO s, corporate and public debt) Secondary

### Participation Strategy of the NYSE Specialists to the Trades

Journal of Economic and Social Research 10(1) 2008, 73-113 Participation Strategy of the NYSE Bülent Köksal Abstract. Using 2001 NYSE system order data in the decimal pricing environment, we analyze how

### Closing stock prices are widely used

Investment Strategies The Hidden Cost of Trading at the Close DAVID CUSHING AND ANANTH MADHAVAN DAVID CUSHING is managing principal at Inference Group LLC, in Waltham, MA. ANANTH MADHAVAN is managing director,

### Financial Markets And Financial Instruments - Part II. How Securities are Traded? Spread. Brokerage Accounts. Commissions. Commissions: Online Brokers

Financial Markets And Financial Instruments - Part II How Securities are Traded? Brokerage Accounts You can choose from two types of accounts to open To open an account, you need to choose a broker Commissions

### Market Microstructure: An Interactive Exercise

Market Microstructure: An Interactive Exercise Jeff Donaldson, University of Tampa Donald Flagg, University of Tampa ABSTRACT Although a lecture on microstructure serves to initiate the inspiration of

### Stock Trading Systems: A Comparison of US and China. April 30, 2016 Session 5 Joel Hasbrouck www.stern.nyu.edu/~jhasbrou

Stock Trading Systems: A Comparison of US and China April 30, 2016 Session 5 Joel Hasbrouck www.stern.nyu.edu/~jhasbrou 1 1. Regulatory priorities for capital formation and growth. 2 The information environment

### Investment Analysis (FIN 383) Fall 2009. Homework 2

Investment Analysis (FIN 383) Fall 2009 Homework 2 Instructions: please read carefully You should show your work how to get the answer for each calculation question to get full credit The due date is Thu,

### High-frequency trading and execution costs

High-frequency trading and execution costs Amy Kwan Richard Philip* Current version: January 13 2015 Abstract We examine whether high-frequency traders (HFT) increase the transaction costs of slower institutional

### Short sales constraints and stock price behavior: evidence from the Taiwan Stock Exchange

Feng-Yu Lin (Taiwan), Cheng-Yi Chien (Taiwan), Day-Yang Liu (Taiwan), Yen-Sheng Huang (Taiwan) Short sales constraints and stock price behavior: evidence from the Taiwan Stock Exchange Abstract This paper

### Answers to Concepts in Review

Answers to Concepts in Review 1. (a) In the money market, short-term securities such as CDs, T-bills, and banker s acceptances are traded. Long-term securities such as stocks and bonds are traded in the

### NYSE order flow, spreads, and information \$

Journal of Financial Markets 6 (2003) 309 335 NYSE order flow, spreads, and information \$ Ingrid M. Werner* Fisher College of Business, The Ohio State University, 2100 Neil Avenue, Columbus, OH 43210,

### General Risk Disclosure

General Risk Disclosure Colmex Pro Ltd (hereinafter called the Company ) is an Investment Firm regulated by the Cyprus Securities and Exchange Commission (license number 123/10). This notice is provided

### THE STOCK MARKET GAME GLOSSARY

THE STOCK MARKET GAME GLOSSARY Accounting: A method of recording a company s financial activity and arranging the information in reports that make the information understandable. Accounts payable: The

### Commonality in Liquidity of UK Equity Markets: Evidence from the Recent Financial Crisis

Commonality in Liquidity of UK Equity Markets: Evidence from the Recent Financial Crisis Andros Gregoriou Bournemouth Business School University of Bournemouth BH12 5BB Christos Ioannidis * Economics Department

### Liquidity in U.S. Treasury spot and futures markets

Liquidity in U.S. Treasury spot and futures markets Michael Fleming and Asani Sarkar* Federal Reserve Bank of New York 33 Liberty Street New York, NY 10045 (212) 720-6372 (Fleming) (212) 720-8943 (Sarkar)

### Department of Economics and Related Studies Financial Market Microstructure. Topic 1 : Overview and Fixed Cost Models of Spreads

Session 2008-2009 Department of Economics and Related Studies Financial Market Microstructure Topic 1 : Overview and Fixed Cost Models of Spreads 1 Introduction 1.1 Some background Most of what is taught

### The intraday patterns of the spread and depth in a market without market makers: The Stock Exchange of Hong Kong

Ž. Pacific-Basin Finance Journal 7 1999 539 556 www.elsevier.comrlocatereconbase The intraday patterns of the spread and depth in a market without market makers: The Stock Exchange of Hong Kong Hee-Joon

Trading for News: an Examination of Intraday Trading Behaviour of Australian Treasury-Bond Futures Markets Liping Zou 1 and Ying Zhang Massey University at Albany, Private Bag 102904, Auckland, New Zealand

### Comparing Trade Flow Classification Algorithms in the Electronic Era: The Good, the Bad, and the Uninformative

Comparing Trade Flow Classification Algorithms in the Electronic Era: The Good, the Bad, and the Uninformative Marios Panayides University of Pittsburgh Jared Smith Clemson University Thomas Shohfi University

### Limit Order Book Transparency, Execution Risk and. Market Liquidity

Limit Order Book Transparency, Execution Risk and Market Liquidity LUKE BORTOLI, ALEX FRINO, ELVIS JARNECIC and DAVID JOHNSTONE* l.bortoli@econ.usyd.edu.au A.frino@econ.usyd.edu.au e.jarnecic@econ.usyd.edu.au

### Liquidity Determinants in an Order-Driven Market : Using High Frequency Data from the Saudi Market

2011 International Conference on Economics, Trade and Development IPEDR vol.7 (2011) (2011) IACSIT Press, Singapore Liquidity Determinants in an Order-Driven Market : Using High Frequency Data from the

### The (implicit) cost of equity trading at the Oslo Stock Exchange. What does the data tell us?

The (implicit) cost of equity trading at the Oslo Stock Exchange. What does the data tell us? Bernt Arne Ødegaard Sep 2008 Abstract We empirically investigate the costs of trading equity at the Oslo Stock

### CommSeC CFDS: IntroDuCtIon to FX

CommSec CFDs: Introduction to FX Important Information This brochure has been prepared without taking account of the objectives, financial and taxation situation or needs of any particular individual.

### High Frequency Equity Pairs Trading: Transaction Costs, Speed of Execution and Patterns in Returns

High Frequency Equity Pairs Trading: Transaction Costs, Speed of Execution and Patterns in Returns David Bowen a Centre for Investment Research, UCC Mark C. Hutchinson b Department of Accounting, Finance

### Do Bond Rating Changes Affect Information Risk of Stock Trading?

Do Bond Rating Changes Affect Information Risk of Stock Trading? Yan He a, Junbo Wang b, K.C. John Wei c a School of Business, Indiana University Southeast, New Albany, Indiana, U.S.A b Department of Economics

### Who trades IPOs? A close look at the first days of trading \$

Journal of Financial Economics 79 (2006) 339 363 www.elsevier.com/locate/jfec Who trades IPOs? A close look at the first days of trading \$ Katrina Ellis University of California at Davis, 1 Shields Avenue,

### Liquidity Supply and Volatility: Futures Market Evidence *

Liquidity Supply and Volatility: Futures Market Evidence * Peter R. Locke Commodity Futures Trading Commission George Washington University Asani Sarkar Federal Reserve Bank of New York 33 Liberty Street

### The Determinants of the Price Impact of Block Trades: Further Evidence

ABACUS, Vol. 43, No. 1, 2007 doi: 10.1111/j.1467-6281.2007.00219.x Blackwell Melbourne, Abacus 0001-3072 43 1ORIGINAL ABACUS EVIDENCE 2007 Accounting Publishing Australia OF ARTICLE DETERMINANTS Foundation,

### A Closer Look at the Stock Markets

We b E x t e n s i o n 1 C A Closer Look at the Stock Markets This Web Extension provides additional discussion of stock markets and trading, beginning with stock indexes. Stock Indexes Stock indexes try

### How Securities Are Traded. Chapter 3

How Securities Are Traded Chapter 3 Primary vs. Secondary Security Sales Primary new issue issuer receives the proceeds from the sale first-time issue: IPO = issuer sells stock for the first time seasoned

### Lecture Two Essentials of Trading. Andy Bower www.alchemetrics.org

AUTOMATED TRADING RULES FEBRUARY 2012 CONTENTS INTRODUCTION 3 ENTERING ORDERS 3 DIVISION OF MARKET 4 TRADING SESSIONS 4 1. TYPES OF TRANSACTIONS 5 1.1 Limit Orders 1.2 Market Orders 1.2.1 Touchline 1.2.2

### BEAR: A person who believes that the price of a particular security or the market as a whole will go lower.

Trading Terms ARBITRAGE: The simultaneous purchase and sale of identical or equivalent financial instruments in order to benefit from a discrepancy in their price relationship. More generally, it refers

### Liquidity Cost Determinants in the Saudi Market

Liquidity Cost Determinants in the Saudi Market Ahmed Alzahrani Abstract this paper examines liquidity as measured by both price impact and bid-ask spread. Liquidity determinants of large trades "block

### By Research & Planning Department

52 By Research & Planning Department Few if any stock exchanges operate a pure market-making mechanism; most are now order-driven and some have hybrid mechanisms. Some more established exchanges in North

### Investment Analysis (FIN 670) Fall 2009. Homework 2

Investment Analysis (FIN 670) Fall 2009 Homework 2 Instructions: please read carefully You should show your work how to get the answer for each calculation question to get full credit The due date is Tue,

### EXECUTIVE SUMMARY 1 CURRENT AUCTION TRADING MECHANISM DURING THE CLOSING AUCTION SESSION PART C: INTRODUCTION OF A PRICE CONTROL MECHANISM 5

CB(1)545/08-09(02) CONTENTS Page No. EXECUTIVE SUMMARY 1 PART A: BACKGROUND 2 PART B: CURRENT AUCTION TRADING MECHANISM DURING THE CLOSING AUCTION SESSION 3 PART C: INTRODUCTION OF A PRICE CONTROL MECHANISM

### Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong

THE JOURNAL OF FINANCE VOL. LVI, NO. 2 APRIL 2001 Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong HEE-JOON AHN, KEE-HONG BAE, and KALOK CHAN* ABSTRACT We investigate

How Securities Are Traded Chapter 3 Primary vs. Secondary Security Sales Primary new issue issuer receives the proceeds from the sale first-time issue: IPO = issuer sells stock for the first time seasoned

### Selection Biases and Cross-Market Trading Cost Comparisons*

Selection Biases and Cross-Market Trading Cost Comparisons* Hendrik Bessembinder Blaine Huntsman Chair in Finance David Eccles School of Business University of Utah e-mail: finhb@business.utah.edu May

### POLICY STATEMENT Q-22

POLICY STATEMENT Q-22 DISCLOSURE DOCUMENT FOR COMMODITY FUTURES CONTRACTS, FOR OPTIONS TRADED ON A RECOGNIZED MARKET AND FOR EXCHANGE-TRADED COMMODITY FUTURES OPTIONS 1. In the case of commodity futures

### Financial Markets And Financial Instruments - Part I

Financial Markets And Financial Instruments - Part I Financial Assets Real assets are things such as land, buildings, machinery, and knowledge that are used to produce goods and services. Financial assets

### Short Selling Australian Stocks

Short Selling Australian Stocks What is Short Selling? The best way to explain short selling is to show the difference between going long and going short. Going Long and Making a Profit To go long means

### Answers to Concepts in Review

Answers to Concepts in Review 1. Puts and calls are negotiable options issued in bearer form that allow the holder to sell (put) or buy (call) a stipulated amount of a specific security/financial asset,

POZNAŃ UNIVERSITY OF ECONOMICS REVIEW Volume 14 Number 1 2014 Barbara BĘDOWSKA-SÓJKA* Poznań University of Economics Intraday stealth trading. Evidence from the Warsaw Stock Exchange 1 Abstract: The intraday

### Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading near Ten Dollars 1

Journal of Financial Intermediation 9, 213 239 (2000) doi:10.1006/jfin.2000.0288, available online at http://www.idealibrary.com on Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading

TMX TRADING SIMULATOR QUICK GUIDE Reshaping Canada s Equities Trading Landscape OCTOBER 2014 Markets Hours All market data in the simulator is delayed by 15 minutes (except in special situations as the

### Asian Economic and Financial Review THE CAPITAL INVESTMENT INCREASES AND STOCK RETURNS

Asian Economic and Financial Review journal homepage: http://www.aessweb.com/journals/5002 THE CAPITAL INVESTMENT INCREASES AND STOCK RETURNS Jung Fang Liu 1 --- Nicholas Rueilin Lee 2 * --- Yih-Bey Lin

### Quarterly cash equity market data: Methodology and definitions

INFORMATION SHEET 177 Quarterly cash equity market data: Methodology and definitions This information sheet is designed to help with the interpretation of our quarterly cash equity market data. It provides

### Futures Price d,f \$ 0.65 = (1.05) (1.04)

24 e. Currency Futures In a currency futures contract, you enter into a contract to buy a foreign currency at a price fixed today. To see how spot and futures currency prices are related, note that holding

### Trading Activity and Price Behavior in Chinese Agricultural Futures Markets

Trading Activity and Price Behavior in Chinese Agricultural Markets Xiaolin Wang a, c, Qiang Ye a, Feng Zhao b a School of Management, Harbin Institute of Technology, China b Naveen Jindal School of Management,

### Strategic Research: Contracts For Difference

Strategic Research: Contracts For Difference Ian Littlewood Contracts For Difference April 2007 Strategic Research reports from Thomson Financial are designed to enable strategic decision-making for investor

### Investment Finance 421-002 Prototype Midterm I

Investment Finance 421-002 Prototype Midterm I The correct answer is highlighted by a *. Also, a concise reasoning is provided in Italics. 1. are an indirect way U. S. investor can invest in foreign companies.

### 1. Introduction 1.1 Research Objectives We probe one potential explanation of a repeated empirical finding in capital

1 An Intraday Analysis of the Probability of Trading on the ASX at the Asking Price by Michael Aitken Amaryllis Kua Philip Brown Terry Walter H.Y. Izan Abstract: We explain the probability of a trade at

Please note that the following are designed to simply answer general questions and are not to be considered as the Terms and Conditions of City Index Limited. Should there be any conflict between the following

Trading Costs and Taxes! Aswath Damodaran Aswath Damodaran! 1! The Components of Trading Costs! Brokerage Cost: This is the most explicit of the costs that any investor pays but it is usually the smallest

### Technical analysis is one of the most popular methods

Comparing Profitability of Day Trading Using ORB Strategies on Index Futures Markets in Taiwan, Hong-Kong, and USA Yi-Cheng Tsai, Mu-En Wu, Chin-Laung Lei, Chung-Shu Wu, and Jan-Ming Ho Abstract In literature,

### FINANCIAL MARKETS GROUP AN ESRC RESEARCH CENTRE

Daily Closing Inside Spreads and Trading Volumes Around Earning Announcements By Daniella Acker Matthew Stalker and Ian Tonks DISCUSSION PAPER 404 February 2002 FINANCIAL MARKETS GROUP AN ESRC RESEARCH

### Investor Performance in ASX shares; contrasting individual investors to foreign and domestic. institutions. 1

Investor Performance in ASX shares; contrasting individual investors to foreign and domestic institutions. 1 Reza Bradrania a*, Andrew Grant a, P. Joakim Westerholm a, Wei Wu a a The University of Sydney

### A Survey of the World s Top Stock Exchanges Trading Mechanisms And Suggestions to the Shanghai Stock Exchange. I. Introduction 1

A Survey of the World s Top Stock Exchanges Trading Mechanisms And Suggestions to the Shanghai Stock Exchange Contents I. Introduction 1 II. Trading Mechanisms 2 Types of orders 2 Order precedence rules..11

### General Forex Glossary

General Forex Glossary A ADR American Depository Receipt Arbitrage The simultaneous buying and selling of a security at two different prices in two different markets, with the aim of creating profits without

### 1%(5:25.,1*3\$3(56(5,(6 '2'20(67,&,19(67256+\$9(025(9\$/8\$%/(,1)250\$7,21\$%287,1',9,'8\$/672&.67+\$1)25(,*1,19(67256" +\XN&KRH %RQJ&KDQ.

1%(5:25.,1*3\$3(56(5,(6 '2'20(67,&,19(67256+\$9(025(9\$/8\$%/(,1)250\$7,21\$%287,1',9,'8\$/672&.67+\$1)25(,*1,19(67256" +\XN&KRH %RQJ&KDQ.KR 5HQp06WXO] :RUNLQJ3DSHU KWWSZZZQEHURUJSDSHUVZ 1\$7,21\$/%85(\$82)(&2120,&5(6(\$5&+

### Trading Manual. Zagreb, February 2015

Trading Manual Zagreb, February 2015 DISCLAIMER: Please note that this is a convenience translation of the Trading Manual which serves for information purposes only. The original Croatian text is binding

### ACTIVITY 4.1 READING A STOCK TABLE

ACTIVITY 4.1 READING A STOCK TABLE 1. Overview of Financial Reporting A wide variety of media outlets report on the world of stocks, mutual funds, and bonds. One excellent source is The Wall Street Journal,

### Futures. Leverage for sophisticated traders

Futures Leverage for sophisticated traders FSR TERMINOLOGY CHANGES ASX has changed its business framework for trading, clearing and settlement. As a result there have been changes to the terminology used

### Short Selling Tutorial

Short Selling Tutorial http://www.investopedia.com/university/shortselling/ Thanks very much for downloading the printable version of this tutorial. As always, we welcome any feedback or suggestions. http://www.investopedia.com/investopedia/contact.asp

### Bodie, Kane, Marcus, Perrakis and Ryan, Chapter 3

Bodie, Kane, Marcus, Perrakis and Ryan, Chapter 3 Answers to Selected Problems 1 FBN Inc has just sold 100,000 shares in an initial public offering The underwriter s explicit fees were \$70,000 The offering

### Why do foreign investors underperform domestic investors in trading activities? Evidence from Indonesia \$

Journal of Financial Markets ] (]]]]) ]]] ]]] www.elsevier.com/locate/finmar Why do foreign investors underperform domestic investors in trading activities? Evidence from Indonesia \$ Sumit Agarwal a,b,1,

### track, or replicate, the performance of an underlying index. Futures-based ETFs, on the other hand, invest in

Commodity Futures ETFs 1. Characteristics of Futures-based ETFs i. Definition Traditional ETFs represent baskets of securities that track, or replicate, the performance of an underlying index. Futures-based

### FE570 Financial Markets and Trading. Stevens Institute of Technology

FE570 Financial Markets and Trading Lecture 2 Modern Financial Markets and Trading Mechanism (Ref Larry Harris - Trading and Exchanges ) Steve Yang Stevens Institute of Technology 9/4/2012 Outline 1 Traders,

How Securities Are Traded What is this project about? You will learn how securities are traded on exchanges, particularly how to conduct margin trades, short sales, and submit limit orders. What case do

### Short Sales Are Almost Instantaneously Bad News: Evidence from the Australian Stock Exchange

THE JOURNAL OF FINANCE VOL. LIII, NO. 6 DECEMBER 1998 Short Sales Are Almost Instantaneously Bad News: Evidence from the Australian Stock Exchange MICHAEL J. AITKEN, ALEX FRINO, MICHAEL S. McCORRY, and

THE JOURNAL OF FINANCE VOL. LIX, NO. 2 APRIL 2004 Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours MICHAEL J. BARCLAY and TERRENCE HENDERSHOTT ABSTRACT This paper examines

### Liquidity and the Evolution of Price Discovery on Floor versus Screen- Based Trading Systems: An Analysis of the Foreign Exchange Futures Markets

Liquidity and the Evolution of Price Discovery on Floor versus Screen- Based Trading Systems: An Analysis of the Foreign Exchange Futures Markets By Aysegul Ates and George H. K. Wang This Version, May,

Chapter The Stock Market McGraw-Hill/Irwin Copyright 2008 by The McGraw-Hill Companies, Inc. All rights reserved. The Stock Market Our goal in this chapter is to provide a big picture overview of: Who

### Web. Chapter FINANCIAL INSTITUTIONS AND MARKETS

FINANCIAL INSTITUTIONS AND MARKETS T Chapter Summary Chapter Web he Web Chapter provides an overview of the various financial institutions and markets that serve managers of firms and investors who invest

### A Simple Cost Reduction Strategy for Small Liquidity Traders: Trade at the Opening

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS VOL, 32, NO, 4, DECEMBER 1997 A Simple Cost Reduction Strategy for Small Liquidity Traders: Trade at the Opening Raymond M. Brooks and Tie Su* Abstract We

### FIN 432 Investment Analysis and Management Review Notes for Midterm Exam

FIN 432 Investment Analysis and Management Review Notes for Midterm Exam Chapter 1 1. Investment vs. investments 2. Real assets vs. financial assets 3. Investment process Investment policy, asset allocation,

### Auctions (Opening and Close) in NYSE and NASDAQ

ITG Primer Auctions (Opening and Close) in NYSE and NASDAQ 2009 Investment Technology Group, Inc. All rights reserved. Not to be reproduced or retransmitted without permission. Broker-dealer products and

### Use this brochure to gain expertise about ETFs that you can communicate to your clients.

How ETFs work Your clients may have questions about exchange-traded funds (ETFs), such as how they differ from mutual funds, how they re traded and even how they re created. Use this brochure to gain expertise

### Introduction. Part IV: Option Fundamentals. Derivatives & Risk Management. The Nature of Derivatives. Definitions. Options. Main themes Options

Derivatives & Risk Management Main themes Options option pricing (microstructure & investments) hedging & real options (corporate) This & next weeks lectures Introduction Part IV: Option Fundamentals»

Journal of Financial s 12 (2009) 418 437 www.elsevier.com/locate/finmar Measures of implicit trading costs and buy sell asymmetry Gang Hu Babson College, 121 Tomasso Hall, Babson Park, MA 02457, USA Available

### Buyers Versus Sellers: Who Initiates Trades And When? Tarun Chordia, Amit Goyal, and Narasimhan Jegadeesh * September 2012. Abstract.

Buyers Versus Sellers: Who Initiates Trades And When? Tarun Chordia, Amit Goyal, and Narasimhan Jegadeesh * September 2012 Abstract We examine the relation between the flow of orders from buyers and sellers,

### Symposium on market microstructure: Focus on Nasdaq

Journal of Financial Economics 45 (1997) 3 8 Symposium on market microstructure: Focus on Nasdaq G. William Schwert William E. Simon Graduate School of Business Administration, University of Rochester,

### HFT and the Hidden Cost of Deep Liquidity

HFT and the Hidden Cost of Deep Liquidity In this essay we present evidence that high-frequency traders ( HFTs ) profits come at the expense of investors. In competing to earn spreads and exchange rebates

### Who Trades With Whom, and When?

Cornell University School of Hotel Administration The Scholarly Commons Working Papers School of Hotel Administration Collection 6-9-2006 Who Trades With Whom, and When? Pamela C. Moulton Cornell University,