Can Information Be Locked-Up? Informed Trading Ahead of Macro-News Announcements
|
|
|
- Frederick Page
- 8 years ago
- Views:
Transcription
1 Can Information Be Locked-Up? Informed Trading Ahead of Macro-News Announcements Gennaro Bernile, Jianfeng Hu, and Yuehua Tang Singapore Management University Presented by Jianfeng Hu 2015 Asian Bureau of Finance and Economic Research Annual Conference
2 Day before unemployment number comes out I know where the market goes tomorrow but I cannot tell you. But are you the only one knowing this? Jianfeng Hu Informed trading news lockup 2
3 Overview We find robust evidence of informed trading before FOMC announcements but not other macroeconomic announcements (nonfarm payroll, CPI, PPI, GDP). The informed trading is exclusively concentrated in a media lockup period, the last twenty minutes before the announcement. The findings raise questions on how the macroeconomic information should be released. Jianfeng Hu -- Informed trading news lockup 3
4 How is macro news released in the US? Jianfeng Hu -- Informed trading news lockup 4
5 Media attention on news latency WSJ, Traders Pay for an Early Peek at Key Data June 2013: unlike government reports, where pains are taken to make certain no one gets them ahead of time, few rules control release of nongovernmental economic reports. WSJ, FBI Finds Black Boxes That Control Government Data Are Vulnerable and Deutsche Borse s News Service for Traders Draws Scrutiny of Investigators August 2013; Labor Department Panel Calls for Ending Lockup for Jobs Data January The concern is mainly on flash boys. Jianfeng Hu -- Informed trading news lockup 5
6 Academic literature Macro announcement days are unique: Most risk premium is realized on those days and the financial market behavior is more consistent with predictions by classic theories (Savor and Wilson, 2013, 2014). There exists an unconditional price run-up before FOMC announcements (Lucca and Moench, 2014). The market risk premium cycle follows the FOMC meeting cycle (Cieslak, Morse, and Vissing-Jorgensen, 2014). Jianfeng Hu -- Informed trading news lockup 6
7 Questions Is there informed trading ahead of macro-news release? What is the impact on the market from such informed trading, if any? Hu, Pan, and Wang (2014) argue that the early peek advantage makes the market more efficient. What if no one is aware of the existence of informed traders? What is the information channel? 1) Superior predictive ability; 2) Leakage from the lockup room; 3) Leakage from other sources such as the federal agency insiders. What is the optimal method of releasing macro information? Jianfeng Hu -- Informed trading news lockup 7
8 Hypothesis Informed traders should buy the rumor and sell the news (Hirshleifer, Subrahmanyam, and Titman, 1994; Brunnermeier, 2005). Hypothesis: If there is information leakage during lockups prior to macro-news announcements, securities predominantly exposed to macro factors should experience abnormal trading activity in the direction of the unexpected component of the subsequent macro-news release. Jianfeng Hu -- Informed trading news lockup 8
9 When and where do informed traders trade? We investigate four types of macro announcements: Fed funds target rate, nonfarm payrolls, PPI, and GDP. Informed traders should prefer instruments with large market exposure, little idiosyncratic exposure, and high liquidity. 1) Main testing security: E-mini S&P 500 futures 2) Other testing securities: E-mini Nasdaq 100 futures, SPDR S&P 500 ETF, PowerShares QQQ Nasdaq 100 ETF, US treasury futures, and gold futures 3) What we wish to have: OTC FX Jianfeng Hu -- Informed trading news lockup 9
10 Institutional details The E-mini futures are traded before all announcements. We examine additional securities only for the FOMC events. Jianfeng Hu -- Informed trading news lockup 10
11 Average market returns on days -1 and 0 Jianfeng Hu -- Informed trading news lockup 11
12 How to measure FOMC surprise? The information content of an announcement is the surprise to the market. Even no-change can be a surprise if the market expects a change. For the Fed funds rate, it is possible to infer the market expectation from futures. Kuttner (2001) proposes an ex-post measure of the surprise based on the post-announcement reaction in the current month contract. Bernanke and Kuttner (2005) show that this measure of surprise is related to stock market response. To detect informed trading activity, it is better to use an ex-ante measure. Gurkaynak, Sack, and Swanson (2005) show that there is soft information in the announcement about the policy path on top of the target. Jianfeng Hu -- Informed trading news lockup 12
13 How to measure FOMC surprise? (cont d) To measure an ex-ante surprise to early informed traders that contains information about both the target rate and the policy path, we use the following method: 1) At one day before each scheduled announcement, calculate implied rate for each Fed funds rate future traded on CME; 2) Use volume-weighted average implied rate as the market expected target rate (we try different weighting methods later); 3) Surprise if the actual target rate deviates from the expectation by at least 12.5 basis points (we experiment with different thresholds later). Jianfeng Hu -- Informed trading news lockup 13
14 How to measure other announcement surprises? Nonfarm payrolls, PPI, and GDP Rely on the monthly economist forecasts in the Blue Chip Survey Calculate the standardized surprise as the median forecasting error scaled by the 2-year rolling window standard deviation of the median forecasting error. Surprise if the standardized surprise exceeds The main independent variables ANN=1/0 for release days/21 trading days prior. SUR=1/0/-1 for positive/non-/negative surprise announcements. Jianfeng Hu -- Informed trading news lockup 14
15 Distribution of surprise announcements Jianfeng Hu -- Informed trading news lockup 15
16 Does the surprise matter? Jianfeng Hu -- Informed trading news lockup 16
17 Measures of informed trading Only the most liquid index future contract on each day is used. Trades are bulked into one record each second with volume-weighted prices. Use the tick rule to sign trade directions Buyer-initiated (seller-initiated) trade if the transaction price is above (below) the last available transaction price Order imbalance is calculated as (B-S)/(B+S) using (i) Number of trades (OIN); (ii) dollar volume (OID) Focus on three event windows: [-60,-30], [-30,0], [0,60], 0=official release time Jianfeng Hu -- Informed trading news lockup 17
18 Order imbalance (OIN) around official release Jianfeng Hu -- Informed trading news lockup 18
19 Order imbalance (OID) around official release Jianfeng Hu -- Informed trading news lockup 19
20 Linear regression results Jianfeng Hu -- Informed trading news lockup 20
21 Linear regression results (cont d) Jianfeng Hu -- Informed trading news lockup 21
22 Subperiod analysis The potential leakage can be under a different regime from 2006 to 2011 when Need to Know News (NTKN) had access to the lockup rooms, which can facilitate or exacerbate information leakage. We do not find significant difference between the two subperiods for any type of macro news. Focus on FOMC events in the rest of the analysis. Jianfeng Hu -- Informed trading news lockup 22
23 Predicting announcement surprise and returns Can uninformed traders or regulators learn anything by following the E-mini order flow? We use the following two-step procedure: 1. Predict FOMC announcement surprise using abnormal OI 2. Use the fitted surprise to predict announcement returns of the S&P 500 index Jianfeng Hu Informed trading news lockup 23
24 Step one predicting surprise Jianfeng Hu Informed trading news lockup 24
25 Step two predicting returns Jianfeng Hu Informed trading news lockup 25
26 Zoom in the lockup period Jianfeng Hu -- Informed trading news lockup 26
27 What time does FOMC lift the embargo? When journalists get early access to Fed statements, the system has flaws that make it easy to see how the information could get out early... Quartz, September 27, 2013 Journalists let into room before official release Fed officials throw copies of statement onto table reporters scramble to get copy, read it, and digest the news You come away with scratches on your arm, said a reporter who used to be part of the scrum. It s an absolute madhouse. We collect timestamps (to the minute) of newswires and press-releases from Dow Jones, Reuters, and AP from Factiva. Actual release time is systematically different from official time, and more often than not. Different by 1 (common) to 5 (uncommon) minutes Jianfeng Hu -- Informed trading news lockup 27
28 Does the actual FOMC time matter? Jianfeng Hu -- Informed trading news lockup 28
29 Robustness We check the robustness of the results in the following tests: 1) Alternative threshold for FOMC policy surprises 2) Alternative weighting method for expected FOMC policy 3) Use ex-post market response to measure surprise 4) Use existing surprise measures of Kuttner (2001) and GSS (2005) 5) Use current-month and distanced future contracts separately 6) Alternative measures for the QE period Jianfeng Hu -- Informed trading news lockup 29
30 Alternative threshold of surprise Jianfeng Hu -- Informed trading news lockup 30
31 Alternative weights Jianfeng Hu -- Informed trading news lockup 31
32 Surprise based on market response Jianfeng Hu -- Informed trading news lockup 32
33 Other surprise definitions Jianfeng Hu -- Informed trading news lockup 33
34 Separate FFR futures based on maturities Jianfeng Hu -- Informed trading news lockup 34
35 Alternative surprise for the QE period Jianfeng Hu -- Informed trading news lockup 35
36 Further analysis Is there any asymmetry between positive (N=19) and negative (N=6) news? What is the price impact of informed trading? Do informed traders go to other markets? What is the informed traders profit? Jianfeng Hu -- Informed trading news lockup 36
37 Positive and negative surprises Jianfeng Hu -- Informed trading news lockup 37
38 Informed trading in other markets Jianfeng Hu -- Informed trading news lockup 38
39 Estimate informed traders profit Lower bound: informed order=order imbalance Upper bound: informed trader gets into each transaction Jianfeng Hu -- Informed trading news lockup 39
40 Summary and Conclusions We find robust evidence of informed trading exclusively during lockup periods before FOMC announcements, but not before nonfarm payroll, CPI, and GDP announcements. Our evidence uncovers the unintended consequences of the macronews lockup practices on capital markets informed trading without price discovery. Policy implication: Seriously tighten lockup procedures or consider alternative method. In response to our paper, Fed spokesperson: Fed enhanced its media release security procedures last October to better protect the information against premature release. Move announcements to non-trading hours? ECB does not have lockups and uses press release on their website Jianfeng Hu -- Informed trading news lockup 40
41 Thank you for your attention! Jianfeng Hu Informed trading news lockup 41
Can information be locked up? Informed trading ahead of macro-news announcements
Can information be locked up? Informed trading ahead of macro-news announcements Gennaro Bernile, Singapore Management University Jianfeng Hu, Singapore Management University Yuehua Tang, Singapore Management
Can information be locked up? Informed trading ahead of macro-news announcements
Can information be locked up? Informed trading ahead of macro-news announcements Gennaro Bernile, Singapore Management University Jianfeng Hu, Singapore Management University Yuehua Tang, Singapore Management
Sophisticated Trading and Market Efficiency: Evidence from Macroeconomic News Announcements
Sophisticated Trading and Market Efficiency: Evidence from Macroeconomic News Announcements John C. Zhou November 11, 2015 Abstract This paper studies how the views of sophisticated traders are impounded
The S&P 500 and Asian investors
The S&P 500 and Asian investors CME Group s Flagship S&P 500 Equity Index Futures Contract July 2015 Equity Index Futures on the S&P 500 CME Group s flagship equity index product CME Group E-mini S&P 500
CENTRAL BANK COMMUNICATIONS
CENTRAL BANK COMMUNICATIONS AND EQUITY ETFS TAO WANG JIAN YANG* JINGTAO WU This article examines effects of monetary policy surprises on returns, volatilities, trading volumes, and bid ask spread of two
Intraday Trading Invariance. E-Mini S&P 500 Futures Market
in the E-Mini S&P 500 Futures Market University of Illinois at Chicago Joint with Torben G. Andersen, Pete Kyle, and Anna Obizhaeva R/Finance 2015 Conference University of Illinois at Chicago May 29-30,
Do High Frequency Traders Need to be Regulated? Evidence from Algorithmic Trading on Macro News
Do High Frequency Traders Need to be Regulated? Evidence from Algorithmic Trading on Macro News Tarun Chordia, T. Clifton Green, and Badrinath Kottimukkalur * March 2015 Abstract Stock index ETF and futures
Stock Returns over the FOMC Cycle
Stock Returns over the FOMC Cycle Anna Cieslak, Northwestern University Adair Morse, University of California Berkeley and NBER Annette Vissing-Jorgensen, University of California Berkeley, NBER and CEPR
Stock Returns over the FOMC Cycle
Stock Returns over the FOMC Cycle Anna Cieslak, Duke University Adair Morse, University of California Berkeley and NBER Annette Vissing-Jorgensen, University of California Berkeley, NBER and CEPR * First
Macro News Announcements and Automated Trading
Macro News Announcements and Automated Trading Richard Haynes John S. Roberts December 18, 2015 Introduction A previous white paper by the authors considered the prevalence, and characteristics, of automated
Institutional Trading, Brokerage Commissions, and Information Production around Stock Splits
Institutional Trading, Brokerage Commissions, and Information Production around Stock Splits Thomas J. Chemmanur Boston College Gang Hu Babson College Jiekun Huang Boston College First Version: September
The Information Content of Surprise Changes in the Fed Funds Futures Rate
The Information Content of Surprise Changes in the Fed Funds Futures Rate Wei Li October 17, 2014 Job Market Paper Abstract This paper attempts to explain a price puzzle associated with surprise changes
The Evolution of Price Discovery in US Equity and Derivatives Markets
The Evolution of Price Discovery in US Equity and Derivatives Markets Damien Wallace, Petko S. Kalev and Guanghua (Andy) Lian Centre for Applied Financial Studies, School of Commerce, UniSA Business School,
Intraday Trading Invariants for Equity-Index Futures
for Equity-Index Futures Kellogg School, NBER & CREATES Joint with Oleg Bondarenko, Pete Kyle and Anna Obizhaeva Market Microstructure: Confronting many Viewpoints Paris; December, 4 Hypotheses on Trading
Interpreting Market Responses to Economic Data
Interpreting Market Responses to Economic Data Patrick D Arcy and Emily Poole* This article discusses how bond, equity and foreign exchange markets have responded to the surprise component of Australian
Note on New Products in F&O Segment. 2. Options Contracts with Longer Life/Tenure. 6. Exchange-traded Currency (Foreign Exchange) F&O Contracts
Note on New Products in F&O Segment Contents 1. Mini Contracts in Equity Indices 2. Options Contracts with Longer Life/Tenure 3. Volatility Index and F&O Contracts 4. Options on Futures 5. Bond Index and
What are They Meeting For? A Tale of Two FOMC Announcements
What are They Meeting For? A Tale of Two FOMC Announcements Oliver Boguth, Vincent Grégoire, and Charles Martineau January 14, 2016 ABSTRACT In an effort to increase transparency, the Chair of the Board
The reaction of the Australian. stock market to monetary policy. announcements from the RBA. Alexandra Brown
The reaction of the Australian stock market to monetary policy announcements from the RBA Alexandra Brown December 2014 Disclaimer and Copyright The material in this report is copyright of Alexandra Erin
INCORPORATION OF LIQUIDITY RISKS INTO EQUITY PORTFOLIO RISK ESTIMATES. Dan dibartolomeo September 2010
INCORPORATION OF LIQUIDITY RISKS INTO EQUITY PORTFOLIO RISK ESTIMATES Dan dibartolomeo September 2010 GOALS FOR THIS TALK Assert that liquidity of a stock is properly measured as the expected price change,
How To Consistently Make $900 - $9,000 in 48 Hours or Less
Forex & Gold Trading Bootcamp Break-Out Session How To Consistently Make $900 - $9,000 in 48 Hours or Less CHEAT & ACTIVITY SHEET MARK SO (THE HANDSOMEST FOREX TRADER THAT EVER EXISTED ;-) MARK SO (THE
Monetary Policy Surprises, Credit Costs. and. Economic Activity
Monetary Policy Surprises, Credit Costs and Economic Activity Mark Gertler and Peter Karadi NYU and ECB BIS, March 215 The views expressed are those of the authors and do not necessarily reflect the offi
Are Low Long-Term Rates Here to Stay?
54 57 6 63 66 69 72 75 78 81 84 87 91 94 97 3 6 9 12 U.S. Economic Watch 3.3.215 Economic Analysis Are Low Long-Term Rates Here to Stay? Shushanik Papanyan Low inflation and duration risks, and reduced
Yao Zheng University of New Orleans. Eric Osmer University of New Orleans
ABSTRACT The pricing of China Region ETFs - an empirical analysis Yao Zheng University of New Orleans Eric Osmer University of New Orleans Using a sample of exchange-traded funds (ETFs) that focus on investing
The matching engine for US Treasury Futures Spreads (CME).
Melanie Cristi August 2, 211 Page 1 US Treasury Futures Roll Microstructure Basics 1 Introduction The Treasury futures roll occurs quarterly with the March, June, September, and December delivery cycle
Communicating with Many Tongues: FOMC Speeches and U.S. Financial Market Reaction
Communicating with Many Tongues: FOMC Speeches and U.S. Financial Market Reaction Bernd Hayo*, Ali M. Kutan + and Matthias Neuenkirch* *Philipps-University Marburg + Southern Illinois University Edwardsville
THE STATE OF THE ECONOMY
THE STATE OF THE ECONOMY CARLY HARRISON Portland State University Following data revisions, the economy continues to grow steadily, but slowly, in line with expectations. Gross domestic product has increased,
Monthly Economic Dashboard
RETIREMENT INSTITUTE SM Economic perspective Monthly Economic Dashboard Modest acceleration in economic growth appears in store for 2016 as the inventory-caused soft patch ends, while monetary policy moves
FIA PTG Whiteboard: Frequent Batch Auctions
FIA PTG Whiteboard: Frequent Batch Auctions The FIA Principal Traders Group (FIA PTG) Whiteboard is a space to consider complex questions facing our industry. As an advocate for data-driven decision-making,
Blue Capital Markets Limited 2013. All rights reserved.
Blue Capital Markets Limited 2013. All rights reserved. Content What are Options? 1 What types of forex options can I trade with easy-forex? 1 I m new to forex can I trade options? 1 How do I trade easy-forex
EUR/USD Tips and Trading Strategies. Kathy Lien www.bkforex.com
EUR/USD Tips and Trading Strategies Kathy Lien www.bkforex.com Past performance is not indicative of future results. Trading forex carries a high level of risk, and may not be suitable for all investors.
The U.S. Macroeconomic Situation and Monetary Policy
The U.S. Macroeconomic Situation and Monetary Policy James Bullard President and CEO, FRB-St. Louis CFA Society of St. Louis 15 November 2011 St. Louis, Missouri Any opinions expressed here are my own
René Garcia Professor of finance
Liquidity Risk: What is it? How to Measure it? René Garcia Professor of finance EDHEC Business School, CIRANO Cirano, Montreal, January 7, 2009 The financial and economic environment We are living through
Are Algorithmic Trades Informed? An Empirical Analysis of Algorithmic Trading around Earnings Announcements
Are Algorithmic Trades Informed? An Empirical Analysis of Algorithmic Trading around Earnings Announcements Alex Frino a, Tina Viljoen b, George H. K. Wang c, *, Joakim Westerholm d, Hui Zheng e a, b,
Hedge Fund Trader. Quick Start Guide by SmartSetups.com
Hedge Fund Trader Quick Start Guide by SmartSetups.com Risk Disclaimers Trading or investing carries a high level of risk, and is not suitable for all persons. Before deciding to trade or invest you should
Quant Conference June 2010. Michael Bos Anushree Laturkar
Quant Conference June 2010 ETF Trading Michael Bos Anushree Laturkar The US ETF universe holds about 800 billion dollars in assets Category Names Market Cap (B$) Broad-based US index 177 269 International
Comparing E-minis and ETFs
RESEARCH AND product DEVELOPMENT Comparing E-minis and ETFs John W. Labuszewski, Research and Product Development Brett Vietmeier, Equity Products April 2009 13,000 cmegroup.com 12,000 1 10,000 9,000 8,000
Underutilization in U.S. Labor Markets
EMBARGOED UNTIL Thursday, February 6, 2014 at 5:45 PM Eastern Time OR UPON DELIVERY Underutilization in U.S. Labor Markets Eric S. Rosengren President & Chief Executive Officer Federal Reserve Bank of
Using Currency Futures to Hedge Currency Risk
Using Currency Futures to Hedge Currency Risk By Sayee Srinivasan & Steven Youngren Product Research & Development Chicago Mercantile Exchange Inc. Introduction Investment professionals face a tough climate.
ORDER EXECUTION POLICY
ORDER EXECUTION POLICY Saxo Capital Markets UK Limited is authorised and regulated by the Financial Conduct Authority, Firm Reference Number 551422. Registered address: 26th Floor, 40 Bank Street, Canary
CENTRAL BANKS DIVERGE
GLOBAL OUTLOOK CENTRAL BANKS DIVERGE MAY 21, 2015 MACROECONOMICS OF POLICY DIVERGENCE WHAT S AHEAD Global Overview: Roots of Divergence Federal Reserve Preparing for Liftoff QE in the U.S. Versus the Euro-Zone
TRADING GAPS TAIL STRATEGY SPECIAL REPORT #37
TRADING GAPS TAIL STRATEGY SPECIAL REPORT #37 Welcome to Market Geeks special report. Today I m going to teach you a little bit about gaps, how to identify different gaps and most importantly how to put
Financial Market Efficiency and Its Implications
Financial Market Efficiency: The Efficient Market Hypothesis (EMH) Financial Market Efficiency and Its Implications Financial markets are efficient if current asset prices fully reflect all currently available
The Pre-FOMC Announcement Drift
Federal Reserve Bank of New York Staff Reports The Pre-FOMC Announcement Drift David O. Lucca Emanuel Moench Staff Report No. 512 September 2011 Revised August 2013 This paper presents preliminary findings
Comparing E-minis and ETFs
STOCK INDEXES Comparing E-minis and ETFs SEPTEMBER 15, 2012 John W. Labuszewski Managing Director Research & Product Development 312-466-7469 jlab@cmegroup.com CME Group E-mini stock index futures and
Ghosts and Forecasts. James Bullard. President and CEO, FRB-St. Louis. CFA Society Chicago Distinguished Speakers Series 16 January 2015 Chicago, Ill.
Ghosts and Forecasts James Bullard President and CEO, FRB-St. Louis CFA Society Chicago Distinguished Speakers Series 16 January 2015 Chicago, Ill. Any opinions expressed here are my own and do not necessarily
VIX Changes and Derivative Returns on FOMC Meeting Days
VIX Changes and Derivative Returns on FOMC Meeting Days Kevin Krieger University of West Florida Nathan Mauck University of Missouri Kansas City Denghui Chen Fordham University Abstract We examine the
Trading Volume and Information Asymmetry Surrounding. Announcements: Australian Evidence
Trading Volume and Information Asymmetry Surrounding Announcements: Australian Evidence Wei Chi a, Xueli Tang b and Xinwei Zheng c Abstract Abnormal trading volumes around scheduled and unscheduled announcements
What s behind the liquidity spread? On-the-run and off-the-run US Treasuries in autumn 1998 1
Craig H Furfine +4 6 28 923 craig.furfine@bis.org Eli M Remolona +4 6 28 844 eli.remolona@bis.org What s behind the liquidity spread? On-the-run and off-the-run US Treasuries in autumn 998 Autumn 998 witnessed
11.2 Monetary Policy and the Term Structure of Interest Rates
518 Chapter 11 INFLATION AND MONETARY POLICY Thus, the monetary policy that is consistent with a permanent drop in inflation is a sudden upward jump in the money supply, followed by low growth. And, in
Statement by. Janet L. Yellen. Chair. Board of Governors of the Federal Reserve System. before the. Committee on Financial Services
For release at 8:30 a.m. EST February 10, 2016 Statement by Janet L. Yellen Chair Board of Governors of the Federal Reserve System before the Committee on Financial Services U.S. House of Representatives
ASX 30-Day Interbank Futures
ASX 30-Day Interbank Futures Investigating the process of price discovery following RBA cash Lee A. Smales University of New South Wales (UNSW) School of Banking and Finance l.smales@unsw.edu.au The article
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
IW Monetary Outlook December 2015
IW policy paper 37/2015 Contributions to the political debate by the Cologne Institute for Economic Research IW Monetary Outlook December 2015 Weak Credit Growth Hinders Eurozone Inflation to Increase
MULTIPLE CHOICE. Choose the one alternative that best completes the statement or answers the question.
Survey of Macroeconomics, MBA 641 Fall 2006, Quiz 4 Name MULTIPLE CHOICE. Choose the one alternative that best completes the statement or answers the question. 1) The central bank for the United States
Liquidity of Corporate Bonds
Liquidity of Corporate Bonds Jack Bao, Jun Pan and Jiang Wang MIT October 21, 2008 The Q-Group Autumn Meeting Liquidity and Corporate Bonds In comparison, low levels of trading in corporate bond market
FTS Real Time System Project: Stock Index Futures
FTS Real Time System Project: Stock Index Futures Question: How are stock index futures traded? In a recent Barron s article (September 20, 2010) titled Futures Are the New Options it was noted that there
Bond to Fall in 2008 - Janet Yellen and the Euro
FUND MANAGEMENT DIARY Meeting held on 5 August 2014 Bond yields Yellen s dilemma The major questions now being asked by markets are concerns about the strength of the US recovery, the direction for interest
Analysts Ideas of the Week Anglo American walks away from Pebble
Week of September 16, 2013 Analysts Ideas of the Week Anglo American walks away from Pebble www.researchfrc.com Sid Rajeev, B.Tech, MBA, CFA Head of Research Anglo American walks away from Pebble Last
An Introduction to Nadex
An Introduction to Nadex AN INTODUCTION TO NADEX MULTIPLY YOUR TRADING OPPORTUNITIES, LIMIT YOUR RISK Discover a product set that: Allows you to trade in very small size (risking no more than a few dollars)
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums Loriano Mancini Swiss Finance Institute and EPFL Angelo Ranaldo University of St. Gallen Jan Wrampelmeyer University
Nadex Multiply Your Trading Opportunities, Limit Your Risk
Nadex Multiply Your Trading Opportunities, Limit Your Risk Discover a product set that: Allows you to trade in very small size (risking no more than a few dollars) Gives you the security of trading on
Online Appendix for. On the determinants of pairs trading profitability
Online Appendix for On the determinants of pairs trading profitability October 2014 Table 1 gives an overview of selected data sets used in the study. The appendix then shows that the future earnings surprises
Asymmetric Reactions of Stock Market to Good and Bad News
- Asymmetric Reactions of Stock Market to Good and Bad News ECO2510 Data Project Xin Wang, Young Wu 11/28/2013 Asymmetric Reactions of Stock Market to Good and Bad News Xin Wang and Young Wu 998162795
Trading for News: an Examination of Intraday Trading Behaviour of Australian Treasury-Bond Futures Markets
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
Investor Sentiment, Market Timing, and Futures Returns
Investor Sentiment, Market Timing, and Futures Returns Changyun Wang * Department of Finance and Accounting National University of Singapore September 2000 * Correspondence address: Department of Finance
Comparing E-minis and ETFs. John W. Labuszewski, Research and Product Development Brett Vietmeier, Equity Products April 2009
RESEARCH AND product DEVELOPMENT Comparing E-minis and ETFs John W. Labuszewski, Research and Product Development Brett Vietmeier, Equity Products April 2009 13,000 cmegroup.com 12,000 10,000 9,000 8,000
UNIVERSITY OF ILLINOIS LIBRARY AT URBANA-CHAMPAIGN BOOKSTACKS
UNIVERSITY OF ILLINOIS LIBRARY AT URBANA-CHAMPAIGN BOOKSTACKS ^2A ^'^ Faculty Working Paper 92-0153 B385 1992:153 COPY 2 STX The Intraday Response of U.S. and U.K. Interest Rates to International Economic
The relation between news events and stock price jump: an analysis based on neural network
20th International Congress on Modelling and Simulation, Adelaide, Australia, 1 6 December 2013 www.mssanz.org.au/modsim2013 The relation between news events and stock price jump: an analysis based on
Monetary Policy as a Carry Trade
Monetary Policy as a Carry Trade Marvin Goodfriend Carnegie Mellon University 90 th International Business Cycle Conference World Economic Outlook: New Directions for Economic Policy Kiel Institute for
www.midnighttrader.com
US Canada Europe www.midnighttrader.com [the product] Live Briefs provides complete real time coverage of the pre-market, regular session and after-hours markets with industry leading corporate news and
First Prudential Markets Pty Ltd trading as FP Markets (ABN 16 112 600 281, AFS Licence No. 286354).
DISCLAIMER This education material does not constitute financial product advice and has been prepared without taking into account your personal objectives, financial situation or needs. You should consider
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
Internet Appendix to Momentum, Reversal, and Uninformed Traders in Laboratory Markets * 1. I. Instructions for Experiment One
Internet Appendix to Momentum, Reversal, and Uninformed Traders in Laboratory Markets * 1 I. Instructions for Experiment One Overview During this session, you will trade shares in 12 different securities
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
Chris Galbraith Vocabulary Terms:
Chris Galbraith Vocabulary Terms: Basis Points (abbreviated bps and the jargon word is pronounced bipps ) 1/100 th of a percent. For example, 1.02% can be expressed as 102 bps. To give a sense, a 5 bps
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,
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,
Analyzing the Effect of Change in Money Supply on Stock Prices
72 Analyzing the Effect of Change in Money Supply on Stock Prices I. Introduction Billions of dollars worth of shares are traded in the stock market on a daily basis. Many people depend on the stock market
Market Seasonality Historical Data, Trends & Market Timing
Market Seasonality Historical Data, Trends & Market Timing We are entering what has historically been the best season to be invested in the stock market. According to Ned Davis Research if an individual
Chapter 4.3. News Analysis
1 Chapter 4.3 News Analysis 0 NEWS ANALYSIS Fundamentals move currency pairs, and news moves fundamentals. News of an interest-rate hike or news of a sub-prime meltdown can cause a currency pair to change
Volatility Dispersion Presentation for the CBOE Risk Management Conference
Volatility Dispersion Presentation for the CBOE Risk Management Conference Izzy Nelken 3943 Bordeaux Drive Northbrook, IL 60062 (847) 562-0600 www.supercc.com www.optionsprofessor.com Izzy@supercc.com
Talking Less and Moving the Market More: Is this the Recipe for Monetary Policy Effectiveness? Evidence from the ECB and the Fed *
Talking Less and Moving the Market More: Is this the Recipe for Monetary Policy Effectiveness? Evidence from the ECB and the Fed * Carlo Rosa a,b,c Giovanni Verga d Abstract This paper examines the impact
Turk s ES ZigZag Day Trading Strategy
Turk s ES ZigZag Day Trading Strategy User Guide 11/15/2013 1 Turk's ES ZigZag Strategy User Manual Table of Contents Disclaimer 3 Strategy Overview.. 4 Strategy Detail.. 6 Data Symbol Setup 7 Strategy
Trading Aggressiveness and its Implications for Market Efficiency
Trading Aggressiveness and its Implications for Market Efficiency Olga Lebedeva November 1, 2012 Abstract This paper investigates the empirical relation between an increase in trading aggressiveness after
A. Long Term View TSX S&P 500. Stock Market Timing Page 2. % of stocks trading above their 100-day moving average
TECHNICAL OPINION March 29, 2010 Market Breadth Charts Using Short Term Market Breadth To Time The Market One way to get a better understanding of when a market is about to change direction, is to track
PACIFIC PRIVATE BANK LIMITED S BEST EXECUTION POLICY (ONLINE TRADING)
PACIFIC PRIVATE BANK LIMITED S BEST EXECUTION POLICY (ONLINE TRADING) 1 INTRODUCTION 1.1 This policy is not intended to create third party rights or duties that would not already exist if the policy had
Introduction, Forwards and Futures
Introduction, Forwards and Futures Liuren Wu Zicklin School of Business, Baruch College Fall, 2007 (Hull chapters: 1,2,3,5) Liuren Wu Introduction, Forwards & Futures Option Pricing, Fall, 2007 1 / 35
Measuring the Effect of the Zero Lower Bound On Medium- and Longer-Term Interest Rates
FEDERAL RESERVE BANK OF SAN FRANCISCO WORKING PAPER SERIES Measuring the Effect of the Zero Lower Bound On Medium- and Longer-Term Interest Rates Eric T. Swanson Federal Reserve Bank of San Francisco and
The Information Content of Surprise Changes in the Fed Funds Futures Rate: Are They Monetary Shocks?
The Information Content of Surprise Changes in the Fed Funds Futures Rate: Are They Monetary Shocks? Wei Li January 20, 2014 Abstract Surprise changes in the Fed funds futures rate due to policy actions
Understanding Exchange Traded Funds (ETFs)
Level 7,34 Charles St Parramatta NSW 2150 PO Box 103 Parramatta NSW 2124 Phone: 02 9687 1966 Fax: 02 9635 3564 Web: www.carnegie.com.au Guide Build Protect Manage Wealth Understanding Exchange Traded Funds
Institutional Trading, Brokerage Commissions, and Information Production around Stock Splits
Institutional Trading, Brokerage Commissions, and Information Production around Stock Splits Thomas J. Chemmanur Boston College Gang Hu Babson College Jiekun Huang Boston College First Version: September
Economic News and the Impact of Trading on Bond Prices
Economic News and the Impact of Trading on Bond Prices T. Clifton Green * May 2003 Abstract This paper studies the impact of trading on government bond prices surrounding the release of macroeconomic news.
An Empirical Analysis of Market Fragmentation on U.S. Equities Markets
An Empirical Analysis of Market Fragmentation on U.S. Equities Markets Frank Hatheway The NASDAQ OMX Group, Inc. Amy Kwan The University of Sydney Capital Markets Cooperative Research Center Hui Zheng*
INDEX GUIDE MARKET VECTORS US DYNAMIC PUT WRITE INDEX
INDEX GUIDE MARKET VECTORS US DYNAMIC PUT WRITE INDEX VERSION 1.12 06.2015 CONTENT TABLE OF CONTENTS 1. INTRODUCTION 3 1.1 MARKET VECTORS SPECIALTY INDICES 3 1.2 NAMES AND SYMBOL 3 1.3 BASE DATE AND BASE
8.1 Summary and conclusions 8.2 Implications
Conclusion and Implication V{tÑàxÜ CONCLUSION AND IMPLICATION 8 Contents 8.1 Summary and conclusions 8.2 Implications Having done the selection of macroeconomic variables, forecasting the series and construction
An Unconventional View of Trading Volume
An Unconventional View of Trading Volume With all the talk about the decline in trading volume (over 30% on a year- over- year basis for most of the third quarter) you would think that no one is playing
Legislative Council Panel on Financial Affairs. Proposal of the Hong Kong Exchanges and Clearing Limited to introduce after-hours futures trading
Legislative Council Panel on Financial Affairs CB(1)2286/11-12(01) Proposal of the Hong Kong Exchanges and Clearing Limited to introduce after-hours futures trading Purpose This paper briefs Members on
Alternative Investing
Alternative Investing An important piece of the puzzle Improve diversification Manage portfolio risk Target absolute returns Innovation is our capital. Make it yours. Manage Risk and Enhance Performance
Using Binaries for Short Term Directional Trading
Using Binaries for Short Term Directional Trading Using Binaries for Short Term Directional Trading Binaries can be used to take an intra-day directional view on underlying markets, allowing the trader
Econ 202 H01 Final Exam Spring 2005
Econ202Final Spring 2005 1 Econ 202 H01 Final Exam Spring 2005 1. Which of the following tends to reduce the size of a shift in aggregate demand? a. the multiplier effect b. the crowding-out effect c.