Intraday Trading Invariants for Equity-Index Futures
|
|
- Noah Nicholson
- 8 years ago
- Views:
Transcription
1 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
2 Hypotheses on Trading Volatility Interactions Competing Ideas of How Information and Trades Induce Price Changes... And How Price Changes Convey News and Induce Trading One Extreme: All Information Incorporated via Trading Transactions or Trading Volume Drive Volatility Volume Clock (Clark, 973) Transaction Clock (Jones, Kaul & Lipson, 994; Ané & Geman, ) Other Extreme: Information Flow Drives Market Activity Latent Factor Driving both Trading and Volatility Mixture of Distributions (Tauchen & Pitts, 983; Andersen, 996)
3 Daily S&P 5 E-Mini Futures Market Activity Volume V Volatility σ Number of Trades N Trade Size Q
4 Hypotheses on Trading Volatility Interactions Focus typically on Observations at Daily Level Exception: Ané & Geman, ; Near Tick-by-Tick But Nobody has been Able to Confirm their Results We also Fail to Verify Hypothesis Use High-Frequency Data to Explore Interactions Include Market Microstructure Invariance in Analysis Empirical Support for Invariance via Diverse Market Phenomena Major Expansion in Realm of Features Covered by Invariance
5 Why High-Frequency Analysis Fact: Pronounced Intraday Market Activity Patterns News Incorporated into Prices quickly; Trading Fast Huge Systematic Variation over 4-Hour Trading Day Does any Basic Regularity Apply in this Setting? Macroeconomic Announcements particular Challenge Large Price Jump on Impact without (much) Trading Subsequent Price Discovery Process Sudden Market Turmoil: Crisis, Flash Crash Do Same or Different Regularities Apply in this Context?
6 Intraday Pattern for Market Activity Variables x Volume V Volatility σ Number of Trades N Trade Size Q
7 S&P 5 E-Mini Futures Market Sample: BBO Files from CME Group; Jan 4, 8 Nov, Among World s Most Active Markets Price Discovery for Equities Time Stamped to Second; Sequenced in Actual Order Using Front Month Contract until Week before Expiration (most Liquid) Three Daily Regimes: Asia, Europe, North America Sunday Thursday 7:5 :; :-8:3; 8:3 5:5 D = 959 Trading Days; T =, 3 -Minute Intervals per Day N dt = Number of Transactions per Minute; V dt = Volume (Number of Contracts Traded per Minute); Q dt = Average Trade Size (Contracts per Trade over Minute); P dt = Average Price (over Minute); σ dt = Volatility in Minute Annualized (Decimal Form); W dt = Market Speed (dollars at Risk per Minute) = P dt V dt σ dt
8 Descriptive Statistics for S&P 5 E-mini Futures Regime Regime Regime 3 All Volatility Volume # Trades Notional Value, $Mln Trade Size Market Depth Bid-Ask Spread Business Time Sample Averages per min. Volatility is Annualized (in Decimal Form). Business Time is proportional to W /3, and it is Normalized to in Regime 3
9 Market Microstructure Invariance Theoretical Motivation Invariance based on Strategic Implementation of Trading Ideas or Bets Bets not Observable and Meta Orders Shredded into individual Orders Invariance Principle applies across Time and Assets: Dollar-Risk Transfer per Bet in Business Time is i.i.d. I dt = P dt Q dt σ dt γ / dt Q = Orders from Bets, σ and γ (Business Time) are Latent Variables. Auxiliary Hypotheses invoked for Testable Hypotheses still Success
10 Market Microstructure Invariance Generating Testable Hypotheses Define the Quantity Bet Activity or Market Activity W, W dt = P dt V dt σ dt Under simplifying Assumptions, W (essentially) Observable Invariance Principle across Time and Assets now implies: γ dt = c W /3 dt and Q dt = c W /3 dt Interpretation: For Same (σ, P), Variation in Volume: /3 from γ, /3 from Q. For Varying (σ, P), specific Power Relations are Implied
11 Market Microstructure Invariance Auxiliary Hypothesis in Our Setting What if Invariance Principles impact all Submission of Orders? Large Orders still Shredded into individual Orders Invariance Principle across Time and Assets now implies: Dollar-Risk Transfer in Business Time is i.i.d. I dt = P dt Q dt σ dt N / dt Q is Trade Size, σ and N are Expected Values of Market Participants. Proxy N by Observed Transactions, Estimate σ by RV using HF Returns
12 Market Microstructure Invariance Invariance Inspired Hypothesis: log (N dt ) = c + β log (W dt ) where Invariance Predicts a Slope of β = /3. Relies on Expectations Approximated by Realizations or Noisy Estimators Aggregate Relationship to Diversify Measurement Errors Intraday Patterns provide Pronounced Variation and Challenging Test n t = D [ D log (N dt ) = c + β D d= ] D log (W dt ) + ν t d= for t =,..., T =, 3 Intraday Averages, Covering 3 Regimes. Averaging for Fixed Time-of-Day Yields good Diversification.
13 Suggestive Invariance Check 8 logn vs logw, Three Regimes R (blue), R (green), R3 (red). Red Cross: Last 6 min of R3. Solid Line: ln N t = ln W t. Dashed: Same Slope, Fit to Red Crosses.
14 Suggestive Test for Alternative Theories V and Q implicitly included within W ( = PVσ = PQNσ ). Ignoring P, Relations N σ and V σ, may be Restated, and ( ) logn = c + β log W/ Q 3 logn = c + β log (W/ Q) [Clark] [Ané & Geman] where we also have β = /3 according to each Theory. Table : OLS Regression of log N onto scaled log W α β se(α) se(β) R Clark Ané & Geman Invariance
15 Suggestive Test for Alternative Theories logn vs logw/q 3/ logn vs logw/q logn vs logw Figure : OLS Regression Line (solid) and Model Predicted (dashed).
16 Formal Tests of Alternative Theories Regressions above (at best) Informal; N on both Sides R Inflated Alternative Representations Clark, Ané & Geman and Invariance: σ V, σ N, σ N/Q. Aggregating -Min Intervals over Days, we should have β =, s t = D s t = D s t = D D log ( σdt) = c + β (nt + q t ) + ν t d= D log ( σdt) = c + β nt + ν t d= D log ( σdt) = c + β (nt q t ) + ν t d=
17 Formal Tests of Alternative Theories logσ vs lognq logσ vs logv logσ vs logn/q Figure : OLS Regression Line (solid) and Model Predicted (dashed).
18 Formal Tests of Alternative Theories Table : OLS Regressions for log σ α β se(α) se(β) R Clark Ané & Geman Invariance Invariance yields vastly Superior Fit to Intraday Activity Patterns Extremes? Macro Announcements Involve Dramatic Spikes 7:3 CT: Employment, CPI, PPI, Retail Sales, Housing Starts,... 9: CT: Home Sales, Confidence Survey, Factory Orders...
19 Trading Invariance for 7:3 Macro Announcements x 4 3 Volume V.5 Volatility σ Number of Trades N Trade Size Q One-Minute Averages for 7:3 Announcement Days.
20 Trading Invariance for 7:3 Macro Announcements 9 logn vs logw, 7:3, All Days 9 logn vs logw, 7:3, Announcement Days log N t vs. ln W t for 3 Minutes Before 7:3 (Dots), After 7:3 (Crosses). Left: All Days; Right: 7:3 Announcements. Solid Line is prior OLS Fit.
21 Trading Invariance for 9: Macro Announcements x Volume V.4 Volatility σ Number of Trades N Trade Size Q One-Minute Averages for 9: Announcement Days.
22 Trading Invariance for 9: Macro Announcements 9 logn vs logw, 9:, All Days 9 logn vs logw, 9:, Announcement Days log N t vs. ln W t for 3 Minutes Before 9: (Dots), After 9: (Crosses). Left: All Days; Right: 9: Announcements. Solid Line is prior OLS Fit.
23 .3.3 Trading. Invariance during the Flash. Crash Price Normalized Volatility VIX Normalized Volume Figure 7: May 6,. The solid vertical lines indicate the timing of the flash crash. In panels with multiple plots, the order of Market the plotsactivity is blue (first), Variables green (second), on and May red 6, (third).. The normalized volatility is the ratio of the standard deviation of one-minute price changes for a (centered) -minute window over unconditional volatility σ P. The normalized volume is the trading volume per one-minute bar divided by
24 Trading Invariance during the Flash Crash 4 Standardized logi on Flash Crash 4 Standardized logi on Previous Day log I on May 6,.
25 Formal Tests Aggregation within Days Existing Tests Employ Daily Data. Can we Mimic this? Aggregation within Days instead, but only Regime-Wise? In Fact, Theories have Distinctly Different Implications! Predictions: β = vs. β = vs. β = s di n di = T i T i log ( σdt /N dt) = c + β qdi + ν di t= where di Indicates Regime i on Day d. Aggregation on given Day Supplements Ones for given Time-a-Day
26 Formal Tests of Alternative Theories 3 logσ /N vs Q, Regime averages 5 logσ /N vs Q, Daily averages One Observation per Regime and Day (Left), One Observation per Day (Right). The Slopes are -.98 and -.89.
27 Suggestive Invariance Check 8 logn vs logw, Daily averages Figure : Scatter plot of log N onto log W. Each day provides 3 observations, one for each regimes. The slope is.687.
28 Conclusions Intraday Trading Activity Patterns Intimately Related Traditional Theories: Transactions or Volume Govern Volatility Invariance (Kyle & Obizhaeva) Motivates Alternative Intraday Relation Critically, Trade Size Drops in specific Proportion with Volatility For E-Mini, Tendency Observed by Andersen & Bondarenko RF, VPIN Qualitative Prediction verified for Diurnal Pattern Qualitative Prediction verified for Daily Regimes (Time Series) Theoretical Justification for Invariance in this Context Loom Large How will Findings Generalize across Market Structures?
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,
More informationIntraday Trading Invariance in the E-mini S&P 500 Futures Market
Intraday Trading Invariance in the E-mini S&P 5 Futures Market Torben G. Andersen, Oleg Bondarenko Albert S. Kyle and Anna A. Obizhaeva First Draft: July, 14 This Draft: February 19, 15 Preliminary Version:
More informationCURRICULUM VITA Oleg Bondarenko
CURRICULUM VITA Oleg Bondarenko October 2015 Department of Finance (MC 168) Phone: (312) 996-2362 College of Business Administration Fax: (312) 413-7948 601 S. Morgan St. Email: olegb@uic.edu Chicago IL,
More informationModelling Intraday Volatility in European Bond Market
Modelling Intraday Volatility in European Bond Market Hanyu Zhang ICMA Centre, Henley Business School Young Finance Scholars Conference 8th May,2014 Outline 1 Introduction and Literature Review 2 Data
More informationTrading Game Invariance in the TAQ Dataset
Trading Game Invariance in the TAQ Dataset Albert S. Kyle Robert H. Smith School of Business University of Maryland akyle@rhsmith.umd.edu Anna A. Obizhaeva Robert H. Smith School of Business University
More informationAssessing Measures of Order Flow Toxicity via Perfect Trade Classification. Torben G. Andersen and Oleg Bondarenko. CREATES Research Paper 2013-43
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification Torben G. Andersen and Oleg Bondarenko CREATES Research Paper 213-43 Department of Economics and Business Aarhus University Fuglesangs
More informationFinance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C.
Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C. Microstructure Invariance in U.S. Stock Market Trades Albert S. Kyle,
More informationImplied Matching. Functionality. One of the more difficult challenges faced by exchanges is balancing the needs and interests of
Functionality In Futures Markets By James Overdahl One of the more difficult challenges faced by exchanges is balancing the needs and interests of different segments of the market. One example is the introduction
More informationUsing Macro News Events in Automated FX Trading Strategy
Using Macro News Events in Automated FX Trading Strategy The Main Thesis The arrival of macroeconomic news from the world s largest economies brings additional volatility to the market. 2 Overall methodology
More informationSensex Realized Volatility Index
Sensex Realized Volatility Index Introduction: Volatility modelling has traditionally relied on complex econometric procedures in order to accommodate the inherent latent character of volatility. Realized
More informationI. Basic concepts: Buoyancy and Elasticity II. Estimating Tax Elasticity III. From Mechanical Projection to Forecast
Elements of Revenue Forecasting II: the Elasticity Approach and Projections of Revenue Components Fiscal Analysis and Forecasting Workshop Bangkok, Thailand June 16 27, 2014 Joshua Greene Consultant IMF-TAOLAM
More informationElectronic Theses and Dissertations UC Santa Cruz
Electronic Theses and Dissertations UC Santa Cruz Peer Reviewed Title: High Frequency Trade Direction Prediction Author: Stav, Augustine Dexter Acceptance Date: 2015 Series: UC Santa Cruz Electronic Theses
More informationEstimating Volatility
Estimating Volatility Daniel Abrams Managing Partner FAS123 Solutions, LLC Copyright 2005 FAS123 Solutions, LLC Definition of Volatility Historical Volatility as a Forecast of the Future Definition of
More informationEVOLUTION OF CANADIAN EQUITY MARKETS
EVOLUTION OF CANADIAN EQUITY MARKETS This paper is the first in a series aimed at examining the long-term impact of changes in Canada s equity market structure. Our hope is that this series can help inform
More informationDark trading and price discovery
Dark trading and price discovery Carole Comerton-Forde University of Melbourne and Tālis Putniņš University of Technology, Sydney Market Microstructure Confronting Many Viewpoints 11 December 2014 What
More informationUsing Macro News Events in an Automated FX Trading Strategy. www.deltixlab.com
Using Macro News Events in an Automated FX Trading Strategy www.deltixlab.com The Main Thesis The arrival of macroeconomic news from the world s largest economies brings additional volatility to the market.
More informationLovers by night, strangers by day? An investigation of simple Overnight Trading Strategies. Abstract: The Day- and Night-Puzzle:
Lovers by night, strangers by day? An investigation of simple Overnight Trading Strategies. Chrilly Donninger Chief Scientist, Sibyl-Project Sibyl-Working-Paper, September 2014 http://www.godotfinance.com/
More informationFast Trading and Prop Trading
Fast Trading and Prop Trading B. Biais, F. Declerck, S. Moinas (Toulouse School of Economics) December 11, 2014 Market Microstructure Confronting many viewpoints #3 New market organization, new financial
More informationThe 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
More informationCredit Implied Volatility
Credit Implied Volatility Bryan Kelly* Gerardo Manzo Diogo Palhares University of Chicago & NBER University of Chicago AQR Capital Management January 2015 PRELIMINARY AND INCOMPLETE Abstract We introduce
More informationStock Market Liquidity and the Business Cycle
Stock Market Liquidity and the Business Cycle Forthcoming, Journal of Finance Randi Næs a Johannes Skjeltorp b Bernt Arne Ødegaard b,c Jun 2010 a: Ministry of Trade and Industry b: Norges Bank c: University
More informationBack to the past: option pricing using realized volatility
Back to the past: option pricing using realized volatility F. Corsi N. Fusari D. La Vecchia Swiss Finance Institute and University of Siena Swiss Finance Institute, University of Lugano University of Lugano
More informationMarket Efficiency: Definitions and Tests. Aswath Damodaran
Market Efficiency: Definitions and Tests 1 Why market efficiency matters.. Question of whether markets are efficient, and if not, where the inefficiencies lie, is central to investment valuation. If markets
More informationA Review of Cross Sectional Regression for Financial Data You should already know this material from previous study
A Review of Cross Sectional Regression for Financial Data You should already know this material from previous study But I will offer a review, with a focus on issues which arise in finance 1 TYPES OF FINANCIAL
More informationCan 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, Jianfeng Hu, and Yuehua Tang Singapore Management University Presented by Jianfeng Hu 2015 Asian Bureau
More informationTrading Liquidity and Funding Liquidity in Fixed Income Markets: Implications of Market Microstructure Invariance
Trading Liquidity and Funding Liquidity in Fixed Income Markets: Implications of Market Microstructure Invariance Albert S. Kyle Charles E. Smith Chair Professor of Finance, University of Maryland Presented
More informationLiquidity 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
More informationStudy on the Volatility Smile of EUR/USD Currency Options and Trading Strategies
Prof. Joseph Fung, FDS Study on the Volatility Smile of EUR/USD Currency Options and Trading Strategies BY CHEN Duyi 11050098 Finance Concentration LI Ronggang 11050527 Finance Concentration An Honors
More information8.1 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
More informationChapter 9. The Valuation of Common Stock. 1.The Expected Return (Copied from Unit02, slide 39)
Readings Chapters 9 and 10 Chapter 9. The Valuation of Common Stock 1. The investor s expected return 2. Valuation as the Present Value (PV) of dividends and the growth of dividends 3. The investor s required
More informationJournal Of Financial And Strategic Decisions Volume 9 Number 2 Summer 1996
Journal Of Financial And Strategic Decisions Volume 9 Number 2 Summer 1996 THE USE OF FINANCIAL RATIOS AS MEASURES OF RISK IN THE DETERMINATION OF THE BID-ASK SPREAD Huldah A. Ryan * Abstract The effect
More informationSTATEMENT OF GARY GENSLER CHAIRMAN, COMMODITY FUTURES TRADING COMMISSION BEFORE THE HOUSE OF REPRESENTATIVES COMMITTEE ON FINANCIAL SERVICES
STATEMENT OF GARY GENSLER CHAIRMAN, COMMODITY FUTURES TRADING COMMISSION BEFORE THE HOUSE OF REPRESENTATIVES COMMITTEE ON FINANCIAL SERVICES SUBCOMMITTEE ON CAPITAL MARKETS, INSURANCE, AND GOVERNMENT SPONSORED
More informationETF Specific Data Point Methodologies
ETF Specific Data Point ethodologies orningstar ethodology Paper December 31 2010 2010 orningstar Inc. All rights reserved. The information in this document is the property of orningstar Inc. eproduction
More informationWhat 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
More informationInvesting In Volatility
Investing In Volatility By: Anish Parvataneni, CFA Portfolio Manager LJM Partners Ltd. LJM Partners, Ltd. is issuing a series a white papers on the subject of investing in volatility as an asset class.
More informationBoard of Governors of the Federal Reserve System. International Finance Discussion Papers. Number 863. June 2006
Board of Governors of the Federal Reserve System International Finance Discussion Papers Number 863 June 2006 Transmission of Volatility and Trading Activity in the Global Interdealer Foreign Exchange
More informationDynamics of market liquidity of Japanese stocks: An analysis of tick-by-tick data of the Tokyo Stock Exchange
Dynamics of market liquidity of Japanese stocks: An analysis of tick-by-tick data of the Tokyo Stock Exchange Jun Muranaga* Bank of Japan Abstract The purpose of this study is to study dynamic aspects
More informationA Corridor Fix for VIX: Developing a Coherent Model-Free Option-Implied Volatility Measure
A Corridor Fix for VIX: Developing a Coherent Model-Free Option-Implied Volatility Measure Torben G. Andersen Oleg Bondarenko Maria T. Gonzalez-Perez July 21; Revised: January 211 Abstract The VIX index
More informationCME Group Equity Quarterly Roll Analyzer
CME Group Equity Quarterly Roll Analyzer Guide to getting started How the world advances Each quarter during the roll period, CME Group s Equity Quarterly Roll Analyzer is populated with the current futures
More informationMeasurement with Ratios
Grade 6 Mathematics, Quarter 2, Unit 2.1 Measurement with Ratios Overview Number of instructional days: 15 (1 day = 45 minutes) Content to be learned Use ratio reasoning to solve real-world and mathematical
More informationMitchell H. Holt Dec 2008 Senior Thesis
Mitchell H. Holt Dec 2008 Senior Thesis Default Loans All lending institutions experience losses from default loans They must take steps to minimize their losses Only lend to low risk individuals Low Risk
More informationSyllabus Short Course on Market Microstructure Goethe Universität, Frankfurt am Main August 24 28, 2015
Syllabus Short Course on Market Microstructure Goethe Universität, Frankfurt am Main August 24 28, 2015 Albert S. Pete Kyle University of Maryland Robert H. Smith School of Business This Version: August
More informationInstitutional 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
More informationWhat Constitutes Algo Trading in the Stock Options Market? A discussion of Mishra, Daigler, & Holowczak
What Constitutes Algo Trading in the Stock Options Market? A discussion of Mishra, Daigler, & Holowczak Liuren Wu Baruch College Stern Microstructure Meeting June 1, 2012 Liuren Wu (Baruch) Algo Trading
More informationLong-Term Debt Pricing and Monetary Policy Transmission under Imperfect Knowledge
Long-Term Debt Pricing and Monetary Policy Transmission under Imperfect Knowledge Stefano Eusepi, Marc Giannoni and Bruce Preston The views expressed are those of the authors and are not necessarily re
More informationHigh Frequency Quoting, Trading and the Efficiency of Prices. Jennifer Conrad, UNC Sunil Wahal, ASU Jin Xiang, Integrated Financial Engineering
High Frequency Quoting, Trading and the Efficiency of Prices Jennifer Conrad, UNC Sunil Wahal, ASU Jin Xiang, Integrated Financial Engineering 1 What is High Frequency Quoting/Trading? How fast is fast?
More informationOnline Appendix for Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
Online Appendix for Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets Hui Chen Scott Joslin Sophie Ni August 3, 2015 1 An Extension of the Dynamic Model Our model
More informationAsymmetric 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
More informationEconomic indicators dashboard
AS OF NOVEMBER 17, 2015 Economic indicators dashboard Vist www.blog.helpingadvisors.com for the full commentary of the Economic Indicators Dashboard. MOST RECENT 3-MO. trend TYPICAL range EXTREME range
More informationLiquidity 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
More informationNews Trading and Speed
News Trading and Speed Thierry Foucault, Johan Hombert, and Ioanid Rosu (HEC) High Frequency Trading Conference Plan Plan 1. Introduction - Research questions 2. Model 3. Is news trading different? 4.
More informationAnalysis of High-frequency Trading at Tokyo Stock Exchange
This article was translated by the author and reprinted from the June 2014 issue of the Securities Analysts Journal with the permission of the Securities Analysts Association of Japan (SAAJ). Analysis
More informationThe 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,
More informationCredit Spending And Its Implications for Recent U.S. Economic Growth
Credit Spending And Its Implications for Recent U.S. Economic Growth Meghan Bishop, Mary Washington College Since the early 1990's, the United States has experienced the longest economic expansion in recorded
More informationInterpreting 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
More informationFrench Manufacturing Firms - Estimation andVariations of Different Organisations
Table 1: Parameter estimates (calibrating returns to scale, ) (1) (2) (3) (4) Method Unconstrained Unconstrained Unconstrained Unconstrained ( calibrated from Basu ( calibrated from ( calibrated at 0.5,
More informationInternet Appendix for On the Relative Pricing of Long Maturity Index Options and Collateralized Debt Obligations
Internet Appendix for On the Relative Pricing of Long Maturity Index Options and Collateralized Debt Obligations PIERRE COLLIN-DUFRESNE, ROBERT S. GOLDSTEIN, and FAN YANG This appendix describes our calibration
More informationIs there Information Content in Insider Trades in the Singapore Exchange?
Is there Information Content in Insider Trades in the Singapore Exchange? Wong Kie Ann a, John M. Sequeira a and Michael McAleer b a Department of Finance and Accounting, National University of Singapore
More informationFactors Influencing Price/Earnings Multiple
Learning Objectives Foundation of Research Forecasting Methods Factors Influencing Price/Earnings Multiple Passive & Active Asset Management Investment in Foreign Markets Introduction In the investment
More informationKiyohiko G Nishimura: Financial factors in commodity markets
Kiyohiko G Nishimura: Financial factors in commodity markets Speech by Mr Kiyohiko G Nishimura, Deputy Governor of the Bank of Japan, at the Paris EUROPLACE International Financial Forum, Tokyo, 28 November
More informationThe 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
More informationBEAR: 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
More informationFinancial Econometrics and Volatility Models Introduction to High Frequency Data
Financial Econometrics and Volatility Models Introduction to High Frequency Data Eric Zivot May 17, 2010 Lecture Outline Introduction and Motivation High Frequency Data Sources Challenges to Statistical
More informationLegislative 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
More informationBig data in Finance. Finance Research Group, IGIDR. July 25, 2014
Big data in Finance Finance Research Group, IGIDR July 25, 2014 Introduction Who we are? A research group working in: Securities markets Corporate governance Household finance We try to answer policy questions
More informationA Trading Strategy Based on the Lead-Lag Relationship of Spot and Futures Prices of the S&P 500
A Trading Strategy Based on the Lead-Lag Relationship of Spot and Futures Prices of the S&P 500 FE8827 Quantitative Trading Strategies 2010/11 Mini-Term 5 Nanyang Technological University Submitted By:
More informationATF Trading Platform Manual (Demo)
ATF Trading Platform Manual (Demo) Latest update: January 2014 Orders: market orders, limit orders (for real platform) Supported Browsers: Internet Explorer, Google Chrome, Firefox, ios, Android (no separate
More informationThe Power (Law) of Indian Markets: Analysing NSE and BSE Trading Statistics
The Power (Law) of Indian Markets: Analysing NSE and BSE Trading Statistics Sitabhra Sinha and Raj Kumar Pan The Institute of Mathematical Sciences, C. I. T. Campus, Taramani, Chennai - 6 113, India. sitabhra@imsc.res.in
More informationPrice-Earnings Ratios: Growth and Discount Rates
Price-Earnings Ratios: Growth and Discount Rates Andrew Ang Columbia University and NBER Xiaoyan Zhang Purdue University This Version: 20 May 2011 We thank Geert Bekaert, Sigbjørn Berg, and Tørres Trovik
More informationBonds - The Price Response of a Major Macroeconomic Announcement
Public Information, Price Volatility and Trading Volume in US Bond Markets 1 Dungey, M. *, Frino, A. ** and McKenzie, M.D. *,*** Abstract Prices in bond markets have been noted as moving extremely rapidly
More informationSpreads, Depths, and the Impact of Earnings Information: An Intraday Analysis
Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis Charles M. C. Lee University of Michigan Belinda Mucklow Mark J. Ready University of Wisconsin For a sample of NYSE firms,
More informationExchange Entrances, Mergers and the Evolution of Trading of NASDAQ Listed Securities 1993-2010
Exchange Entrances, Mergers and the Evolution of Trading of NASDAQ Listed Securities 199321 Jared F. Egginton Louisiana Tech University Bonnie F. Van Ness University of Mississippi Robert A. Van Ness University
More informationHigh-Frequency Cross-Market Trading: Model Free Measurement and Applications
High-Frequency Cross-Market Trading: Model Free Measurement and Applications This version: March 1, 016 Preliminary and Incomplete Dobrislav Dobrev a, Ernst Schaumburg b, a Dobrislav Dobrev: Federal Reserve
More informationInvestment Insight Diversified Factor Premia Edward Qian PhD, CFA, Bryan Belton, CFA, and Kun Yang PhD, CFA PanAgora Asset Management August 2013
Investment Insight Diversified Factor Premia Edward Qian PhD, CFA, Bryan Belton, CFA, and Kun Yang PhD, CFA PanAgora Asset Management August 2013 Modern Portfolio Theory suggests that an investor s return
More informationChap 3 CAPM, Arbitrage, and Linear Factor Models
Chap 3 CAPM, Arbitrage, and Linear Factor Models 1 Asset Pricing Model a logical extension of portfolio selection theory is to consider the equilibrium asset pricing consequences of investors individually
More informationThe (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
More informationStatic and dynamic analysis: basic concepts and examples
Static and dynamic analysis: basic concepts and examples Ragnar Nymoen Department of Economics, UiO 18 August 2009 Lecture plan and web pages for this course The lecture plan is at http://folk.uio.no/rnymoen/econ3410_h08_index.html,
More informationHigh Yield Bonds in a Rising Rate Environment August 2014
This paper examines the impact rising rates are likely to have on high yield bond performance. We conclude that while a rising rate environment would detract from high yield returns, historically returns
More informationThe European Central Bank s Minimum Bid Rate and Its Effect on Major Currency Pairs
The European Central Bank s Minimum Bid Rate and Its Effect on Major Currency Pairs Ikhlaas Gurrib Abstract The paper looks at the effects of Minimum Bid Rate on three major currency pairs namely the Australian
More informationTechnical 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,
More informationOptimal trading? In what sense?
Optimal trading? In what sense? Market Microstructure in Practice 3/3 Charles-Albert Lehalle Senior Research Advisor, Capital Fund Management, Paris April 2015, Printed the April 13, 2015 CA Lehalle 1
More informationImpact of European and American Business Cycle News on Euronext Trading
INTERNATIONAL JOURNAL OF BUSINESS, 14(2), 2009 ISSN: 1083 4346 Impact of European and American Business Cycle News on Euronext Trading Stéphane Dubreuille a* and Huu Minh Mai a,b a Reims Management School,
More informationCFDs 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,
More informationInvestors and Central Bank s Uncertainty Embedded in Index Options On-Line Appendix
Investors and Central Bank s Uncertainty Embedded in Index Options On-Line Appendix Alexander David Haskayne School of Business, University of Calgary Pietro Veronesi University of Chicago Booth School
More informationAn empirical investigation of Australian Stock Exchange Data.
An empirical investigation of Australian Stock Exchange Data. William Bertram School of Mathematics and Statistics University of Sydney January 27, 2004 Abstract We present an empirical study of high frequency
More informationStock Index Futures Spread Trading
S&P 500 vs. DJIA Stock Index Futures Spread Trading S&P MidCap 400 vs. S&P SmallCap 600 Second Quarter 2008 2 Contents Introduction S&P 500 vs. DJIA Introduction Index Methodology, Calculations and Weightings
More informationInvestor Sentiment, Trading Behavior and Informational Efficiency in Index. futures markets
The Financial Review 43 (2008) 107--127 Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets Alexander Kurov West Virginia University Abstract This paper shows that
More informationEVALUATING THE PERFORMANCE CHARACTERISTICS OF THE CBOE S&P 500 PUTWRITE INDEX
DECEMBER 2008 Independent advice for the institutional investor EVALUATING THE PERFORMANCE CHARACTERISTICS OF THE CBOE S&P 500 PUTWRITE INDEX EXECUTIVE SUMMARY The CBOE S&P 500 PutWrite Index (ticker symbol
More information- JPX Working Paper - Analysis of High-Frequency Trading at Tokyo Stock Exchange. March 2014, Go Hosaka, Tokyo Stock Exchange, Inc
- JPX Working Paper - Analysis of High-Frequency Trading at Tokyo Stock Exchange March 2014, Go Hosaka, Tokyo Stock Exchange, Inc 1. Background 2. Earlier Studies 3. Data Sources and Estimates 4. Empirical
More informationNasdaq Trading and Trading Costs: 1993 2002
The Financial Review 40 (2005) 281--304 Nasdaq Trading and Trading Costs: 1993 2002 Bonnie F. Van Ness University of Mississippi Robert A. Van Ness University of Mississippi Richard S. Warr North Carolina
More informationINCORPORATION 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,
More informationLarge Bets and Stock Market Crashes
Large Bets and Stock Market Crashes Albert S. Kyle and Anna A. Obizhaeva First Draft: March 5, 2012 This Draft: September 6, 2013 For five stock market crashes, we compare price declines with predictions
More informationTrading 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
More informationWORKING WORKING PAPER PAPER
Japan Exchange Group, Inc. Visual Identity Design System Manual Japan Exchange Group, Inc. Japan Exchange Group, Inc. Visual Identity Design System Manual Visual Identity Design System Manual JPX JPX 17
More informationGateway to MARKET & STOCK INFORMATION
Gateway to MARKET & STOCK INFORMATION - Information on Markets (Market View) -Information on Scrips in depth (Stock View) - Various types of Maps (Heat, Scatter and Financial Maps) - Stock Screeners -
More informationInflation Expectations and the News
FEDERAL RESERVE BANK OF SAN FRANCISCO WORKING PAPER SERIES Inflation Expectations and the News Michael D. Bauer Federal Reserve Bank of San Francisco March 2014 Working Paper 2014-09 http://www.frbsf.org/economic-research/publications/working-papers/wp2014-09.pdf
More informationthe basics of Implied Volatility
the basics of Implied Volatility About VSTOXX and VIX Short- and Mid-Term Futures Indices Volatility is a complex investment tool and is aimed at sophisticated investors who understand the way volatility
More informationVI. Real Business Cycles Models
VI. Real Business Cycles Models Introduction Business cycle research studies the causes and consequences of the recurrent expansions and contractions in aggregate economic activity that occur in most industrialized
More informationELECTRONIC TRADING AND FINANCIAL MARKETS
November 29, 2010 Bank of Japan ELECTRONIC TRADING AND FINANCIAL MARKETS Speech at the Paris EUROPLACE International Financial Forum in Tokyo Kiyohiko G. Nishimura Deputy Governor of the Bank of Japan
More informationChapter 9. The Valuation of Common Stock. 1.The Expected Return (Copied from Unit02, slide 36)
Readings Chapters 9 and 10 Chapter 9. The Valuation of Common Stock 1. The investor s expected return 2. Valuation as the Present Value (PV) of dividends and the growth of dividends 3. The investor s required
More information