中国资本市场的发展战略应怎样

今年年初以来,我国资本市场很不正常。大起大落、剧烈波动现象时有发生,市场下跌幅度之大在全球证券市场史上也属罕见,股票价格的快速下跌,对我国资本市场长远发展而言无疑是非常不利的。那么,我国资本市场要取得持续发展,应该在哪些方面做出努力     

A trading strategy based on Callable Bull/Bear Contracts

The Callable Bull/Bear Contract is a barrier options contract recently introduced to the Hong Kong market. In this study, we propose a trading strategy that defines the entry point and exit point using information on the contract's call price and mandatory call event. Using data on contracts based on the Hong Kong Hang Seng Index, it is shown that the proposed trading strategy, on average, yields some decent trading returns that vary quite substantially across individual trades. Exploratory analyses indicate that trading returns are associated with volatility observed during a contract's lifespan and, to a lesser extent, with volatility in the pre-issuance period. Further, an issuer's relative issuing frequency may bear some implications for the trading strategy's performance.     

CDS trading and nonrelationship lending dynamics

Review of Accounting Studies - We investigate how credit default swaps (CDSs) affect lenders’ incentives to initiate new lending relationships. We predict that CDSs reduce adverse selection...     

Oil convenience yields estimated under demand/supply shock

This paper extends the call option model of Milonas and Thomadakis (1997) to estimate oil convenience yields with futures prices. We define the business cycle of a seasonal commodity with demand/supply shocks and find that the convenience yield for crude oil exhibits seasonal behavior. The convenience yield for West Texas Intermediate (WTI) crude oil is the highest in the summer, while that for Brent crude oil is the highest in the winter. This implies that WTI crude oil is more sensitive to high summer demand and that Brent crude oil is more sensitive to shortages in winter supply. Convenience yields are negatively related to the inventory level of the underlying crude oil and positively related to interest rates due to the business cycle. We also show that convenience yields may explain price spread between WTI crude oil and Brent crude oil. Our computed convenience yields are consistent with Fama and French (1988) in that oil prices are more volatile than futures prices at low inventory level, verifying the Samuelson (1965) hypothesis that future prices are less variables than spot prices at lower inventory levels.

Optimal bond trading with personal taxes

Tax considerations governing bondholders' optimal trading include: capital loss realization; capital gain deferment; change of the long-term holding period status to short-term by sale of the bond and repurchase, to realize future losses short-term; raising the basis above par by sale of the bond and repurchase, to deduct the amortized premium from ordinary income. The optimal policy which incorporates transactions costs and conforms to the IRS code substantially differs from the buy-and-hold and continuous-realization policies. Failure to account for optimal trading may seriously bias econometric estimation of the yield curve and the tax bracket of the marginal bondholders.     

Optimal VWAP trading under noisy conditions

This article proposes an empirically tractable way to incorporate intra-day noise into a VWAP trading rule. In volatile markets, news arrives unexpectedly and rapidly. This should influence a trader’s trading decisions. However, the literature has not incorporated such information into an algorithmic trading framework. Subsequently, this paper presents a Dynamic VWAP (DVWAP) framework that allows informed traders to utilize random news; and thus, improve trade-execution.     

Price dynamics and speculative trading in bitcoin

Few innovations in the money markets have brought more attention by regulators and policy makers than the digital currency Bitcoin. However, few studies in the literature have examined the price dynamics of Bitcoin. Besides providing an exploratory glace at the value and volatility of the Bitcoin across time, we also test whether the unusual level of Bitcoin’s volatility is attributable to speculative trading. Results in this study do not find that, during 2013, speculative trading contributed to the unprecedented rise and subsequent crash in Bitcoin’s value nor do we find that speculative trading is directly associated with Bitcoin’s unusual level of volatility.     

Asymmetric return dynamics and technical trading strategies

We investigate the profitability of technical trading strategies based on an asymmetric reverting property of stock returns. We identify an asymmetry in return dynamics for daily returns on the S&P 500 index. Return dynamics evolve along a positive (negative) unconditional mean after a prior positive (negative) return. The trading strategies based on this asymmetry generate a positive return for buy signals, a negative return for sell signals, and a positive return for the spread between buy and sell signals. Our results imply that the observed asymmetry in return dynamics is the main source of profitability for the implied strategies, thereby corroborating arguments for the usefulness of technical trading strategies.     

Time series momentum trading strategy and autocorrelation amplification

This paper investigates why general Moving Average (MA) trading rules are widely used by technical analysts and others. We assume general stationary processes for prices and we derive the autocorrelation function for an MA trading rule. Based on our results, we conjecture that autocorrelation amplification is one of the reasons why such trading rules are popular. Using simulated results, we show that the MA rule may be popular because it can identify price momentum and is a simple way of assessing and exploiting the price autocorrelation structure without necessarily knowing its precise structure. This paper then, provides empirical evidence of autocorrelation amplification using 15-year daily price data for 11 major international stock indices.     

Optimal high-frequency trading with limit and market orders

We propose a framework for studying optimal market-making policies in a limit order book (LOB). The bid–ask spread of the LOB is modeled by a tick-valued continuous-time Markov chain. We consider a small agent who continuously submits limit buy/sell orders at best bid/ask quotes, and may also set limit orders at best bid (resp. ask) plus (resp. minus) a tick for obtaining execution order priority, which is a crucial issue in high-frequency trading. The agent faces an execution risk since her limit orders are executed only when they meet counterpart market orders. She is also subject to inventory risk due to price volatility when holding the risky asset. The agent can then also choose to trade with market orders, and therefore obtain immediate execution, but at a less favorable price. The objective of the market maker is to maximize her expected utility from revenue over a short-term horizon by a trade-off between limit and market orders, while controlling her inventory position. This is formulated as a mixed regime switching regular/impulse control problem that we characterize in terms of a quasi-variational system by dynamic programming methods. Calibration procedures are derived for estimating the transition matrix and intensity parameters for the spread and for Cox processes modelling the execution of limit orders. We provide an explicit backward splitting scheme for solving the problem and show how it can be reduced to a system of simple equations involving only the inventory and spread variables. Several computational tests are performed both on simulated and real data, and illustrate the impact and profit when considering execution priority in limit orders and market orders.     

Wealth dynamics and a bias toward momentum trading

Evolutionary metaphors have been prominent in both economics and finance. They are often used as basic foundations for rational behavior and efficient markets. Theoretically, a mechanism which selects for rational investors requires many caveats, and is far from generic. This paper tests wealth based evolution in a simple, stylized agent-based financial market. The setup borrows extensively from current research in finance that considers optimal behavior with some amount of return predictability. In the case of utility functions which differ from log, wealth selection alone converges to parameters which are economically far from the optimal forecast parameters. This serves as a strong reminder that wealth selection and utility maximization are not the same thing. Therefore, suboptimal financial forecasting strategies may be difficult to drive out of a market, and may even do quite well for some time.     

The dynamics of dealer markets and trading costs

In this study we examine the temporal dynamics of dealer market share and their ramification for competition and trading costs using a large sample of NASDAQ securities. Our results show that although the total market share of the top five dealers is relatively stable over time, there is significant monthly variation in the composition of the top five dealers. We show that market share turbulence among top dealers is another form of competition that narrows bid–ask spreads, especially for stocks with less competitive market structure.     

Optimal bond trading and the tax-timing option in Canada

The goal of this paper is to determine whether the tax-timing option effect documented in the U.S. bond market exists outside the U.S. Examining Canadian tax rules suggests that the tax option effect is simpler and less valuable than in the U.S. This view is supported by simulations in the spirit of Constantinides and Ingersoll (1984) as well as by empirical tests conducted on bond triplets following Jordan and Jordan (1991).     

Futures trading and supply contracting in the oil refining industry

This paper examines the relation between commodity futures trading and the real side contracting behavior of firms dealing in the commodity. I argue that futures serve as a flexible form of physical contracting and should be examined in the context of the firm's contracting activities, and not strictly in the context of its financial activities. Data from an oil refining company are used to empirically study this relation. The results are consistent with a contracting view of futures use and appear inconsistent with implications of hedging theories.     

Optimal informed trading in the foreign exchange market

We formulate a market microstructure model of exchange determination that we employ to investigate the impact of informed trading on exchange rates and on foreign exchange (FX) market conditions. With our formulation, we show how strategic informed agents influence exchange rates via both the portfolio-balance and information effects. We outline the connection which exists between the private value of information, market efficiency, liquidity and exchange rate volatility. Our model is also consistent with recent empirical research on the micro-structure of FX markets.     

A profitable trading and risk management strategy despite transaction costs

We present a new profitable trading and risk management strategy with transaction cost for an adaptive equally weighted portfolio. Moreover, we implement a rule-based expert system for the daily financial decision-making process using the power of spectral analysis. We use several key components such as principal component analysis, partitioning, memory in stock markets, percentile for relative standing, the first four normalized central moments, learning algorithm, and switching among several investment positions consisting of short stock market, long stock market and money market with real risk-free rates. We find that it is possible to beat the proxy for the equity market without short selling for 168 S&P 500-listed stocks during the 1998–2008 period and 213 Russell 2000-listed stocks during the 1995–2007 period. Our Monte Carlo simulation for both the various set of stocks and the interval of time confirms our findings.     

Industry dynamics with stochastic demand

We study the dynamics of an industry subject to aggregate demand shocks where the productivity of a firm's technology evolves stochastically over time. To characterize the intertemporal evolution of the distribution of firms, we discuss in particular how exit decisions, aggregate output, profits, and distributions of firm productivities vary (a) across different demand realization paths; (b) along a demand history path, detailing the effects of continued good or bad market conditions; and (c) for different anticipated future market conditions. We show how poor demand conditions can lead to increased exit of low‐productivity firms at all future dates and states and raise welfare due to the impact on exit decisions.     

Stock returns and inflation with supply and demand disturbances

We account for the relation between stock returns and inflationwith two independent disturbances: supply shocks and demandshocks. Supply shocks reflect real output shocks and cause anegative relation between stock returns and inflation, whiledemand shocks are mainly due to monetary shocks and generatea positive relation between stock returns and inflation. Weshow, both theoretically and empirically, that the stock return-inflationrelation varies over time and across countries, depending onthe relative importance of the two types of shocks. Our empiricalevidence is based on pre- and postwar periods in the UnitedStates, as well as the postwar period in the United Kingdom,Japan, Germany.     

Optimal mean-reverting spread trading: nonlinear integral equation approach

We study several optimal stopping problems that arise from trading a mean-reverting price spread over a finite horizon. Modeling the spread by the Ornstein–Uhlenbeck process, we analyze three different trading strategies: (i) the long-short strategy; (ii) the short-long strategy, and (iii) the chooser strategy, i.e. the trader can enter into the spread by taking either long or short position. In each of these cases, we solve an optimal double stopping problem to determine the optimal timing for starting and subsequently closing the position. We utilize the local time-space calculus of Peskir (J Theor Probab 18:499–535, 2005a) and derive the nonlinear integral equations of Volterra-type that uniquely characterize the boundaries associated with the optimal timing decisions in all three problems. These integral equations are used to numerically compute the optimal boundaries.