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排序方式: 共有257条查询结果,搜索用时 15 毫秒
1.
This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders—large orders that are split into smaller pieces before being sent to the market—on one of the main Asian markets. In line with our previous work on the equity market [Said, E., Bel Hadj Ayed, A., Husson, A. and Abergel, F., Market impact: A systematic study of limit orders. Mark. Microstruct. Liq., 2018, 3(3&4), 1850008.], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well-understood equity market: Square-Root Law, Fair Pricing Condition and Market Impact Dynamics.  相似文献   
2.
ABSTRACT

We develop a Manipulation Index (ManIx) that captures the potential manipulation intention of dealers during the World Markets/Reuters (WMR) benchmark (London Close) period at 4 pm London time through a unique algorithm and simulation. The application of this model (using a dataset with dealers’ identities) can identify banks that are prone to potential manipulative behavior. The results concerning the identified banks are validated by the regulatory investigations. Implementation of this algorithm allows regulators better direct their limited resources towards more targeted in-depth investigation.  相似文献   
3.
We examine the impact of the introduction of VIX exchange‐traded products (ETPs) on the information content and pricing efficiency of VIX futures. We document that trades in VIX futures have become less informative and that pricing errors exhibit more persistence after the introduction of VIX ETPs. In addition, we observe that the price process of the VIX futures has become noisier over time. These findings suggest that the introduction of the VIX ETPs had a prominent effect on the properties and dynamics of the VIX futures.  相似文献   
4.
Advances in the study of both markets and platforms contribute to economics. Platforms are typically digital markets, although platforms can designate markets generally. So, the economics of markets and the economics of platforms are one and the same. Platforms show the critical role of intermediaries in endogenous price adjustment and market clearing. The platform model remedies problems with general equilibrium analysis by combining and extending the basic Walrasian and Marshalian market models. The analysis of platforms provides explanations for the bid–ask spread, including market power, search costs, matching costs, adverse selection, and moral hazard. The study of platforms demonstrates the importance of participation and coordination in the formation of markets. The discussion emphasizes that platforms have significant implications for the theory of the firm. The analysis further considers how platforms affect innovation and entrepreneurship.  相似文献   
5.
We define the concept of good trade execution and we construct explicit adapted good trade execution strategies in the framework of linear temporary market impact. Good trade execution strategies are dynamic, in the sense that they react to the actual realisation of the traded asset price path over the trading period; this is paramount in volatile regimes, where price trajectories can considerably deviate from their expected value. Remarkably, however, the implementation of our strategies does not require the full specification of an SDE evolution for the traded asset price, making them robust across different models. Moreover, rather than minimising the expected trading cost, good trade execution strategies minimise trading costs in a pathwise sense, a point of view not yet considered in the literature. The mathematical apparatus for such a pathwise minimisation hinges on certain random Young differential equations that correspond to the Euler–Lagrange equations of the classical Calculus of Variations. These Young differential equations characterise our good trade execution strategies in terms of an initial value problem that allows for easy implementations.  相似文献   
6.
Evaluating more than 317,000 discount certificates in the German secondary market, we find that premiums and spreads are endogenous and negatively related but depend on different key determinants. The fundamental determinants of the premiums are mainly profit-related, that is, dividends of the underlying, issuers’ credit risk, lifecycle effect, and competition, whereas hedging costs are less important. However, initial hedging costs (IHC) are priced into the premium in the case of large inventory changes. The spread is mostly determined by hedging costs and risk components, such as IHCs, rebalancing costs, volatility, scalper risk, and overnight gap risk—but also by dividends.  相似文献   
7.
采用响应面法优化毛竹水溶性多糖的提取工艺,分析其成分,并进行结构表征。研究结果表明,优化的毛竹多糖(BSP)提取条件为:料液比1∶27(g/mL)、提取温度78 ℃、提取时间4 h,该条件下BSP提取率为(5.18±0.07)%,提取物中多糖含量为(72.14±0.02)%,糖醛酸含量为(9.76±0.03)%;BSP具有酸性多糖典型的官能团特征吸收峰,其单糖组成及摩尔比为n甘露糖∶n葡萄糖∶n阿拉伯糖∶n木糖∶n鼠李糖∶n半乳糖=62.52∶23.05∶10.35∶2.78∶0.79∶0.51;BSP由两个主峰组成,相对分子质量分别为91.11、4.55 kDa。BSP是一种混合酸性多糖。  相似文献   
8.
《Finance Research Letters》2014,11(3):213-218
This paper tests the theoretical assumption of the foreign exchange market microstructure that dealers and non-dealer customers interact over discrete trading rounds. An exhaustive frequency-domain analysis reveals that the interaction is limited and mainly due to the instability of financial markets. The principal finding is that the trading activity of dealers is able to predict the customer order flow at low frequencies with wavelengths longer than roughly a week. In all, the evidence shows that non-financial customers are not as passive as some other research has suggested.  相似文献   
9.
This paper analyzes the market microstructure of the European Climate Exchange, the largest EU ETS trading venue. The ECX captures 2/3 of the screen traded market in EUA and more than 90% in CER. Volume growth has averaged 277% in EUA between 2005 and 2009 and 724% in CER since 2007. Spreads range from €0.0188 to €0.0406 for EUA and €0.0276 to €0.0796 for CER. The median proportion of the spread due to adverse selection reaches 76% for EUA and 75% for CER. Realized volatility, bid-ask spreads and adverse selection costs decline with verified emission releases. Market impact estimates imply that an average trade will move the EUA market by 1.06 euro centimes and the CER market 1.45. The ECX is providing between 75% and 88% of price discovery for EUA trading and between 64% and 72% for CER. We find imbalances in the order book help predict returns for up to three days. A simple trading strategy that enters the market long or short when the order imbalance is strong is profitable even after accounting for spreads and market impact.  相似文献   
10.
以NYSE、Amex和NASDAQ三大美国证券市场1962年7月至2014年12月的全部普通股为研究样本,利用买卖报价中点、收盘买价和收益加权三种方法消除个股收益和股票组合收益中的价格噪音,对MAX效应进行再检验。同时,考虑到具有极端日收益的股票中NASDAQ占比超过53%这一事实,本文还针对三个交易所做了分市场检验。实证结果没有给出"MAX异象"被解释的证据,表明市场微观结构噪音和Fama-French-Carhanr四因子模型的结合以及市场特点,并不是造成"MAX异象"的原因。  相似文献   
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