Efficiency in Index Options Markets and Trading in Stock Baskets PDF Download
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Author: Lucy F. Ackert
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Researchers have reported mispricing in index options markets. This study further examines the efficiency of the Samp;P 500 index options market by testing theoretical pricing relationships implied by no-arbitrage conditions. The effect of a traded stock basket, Standard and Poor's Depository Receipts (SPDRs), on the link between index and options markets is also examined. Pricing efficiency within options markets improves, and the evidence supports the hypothesis that a stock basket enhances the connection between markets. However, when transactions costs and short sales constraints are included, very few violations of the pricing relationships are reported.
Author: Lucy F. Ackert
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Researchers have reported mispricing in index options markets. This study further examines the efficiency of the Samp;P 500 index options market by testing theoretical pricing relationships implied by no-arbitrage conditions. The effect of a traded stock basket, Standard and Poor's Depository Receipts (SPDRs), on the link between index and options markets is also examined. Pricing efficiency within options markets improves, and the evidence supports the hypothesis that a stock basket enhances the connection between markets. However, when transactions costs and short sales constraints are included, very few violations of the pricing relationships are reported.
Author: Anuradha Kandikuppa
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 250
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Book Description
Author: Ian Cooper
Publisher: Forgotten Books
ISBN: 9781330336588
Category : Business & Economics
Languages : en
Pages : 32
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Book Description
Excerpt from Stock Index Futures: The Case for Markets in Baskets of Securities We provide an explanation for the explosive growth in the popularity of Stock Index Futures contracts. In our economy there are three broad classes of traders that place orders with a competitive market maker that sets a bid-ask spread arising from adverse selection. Informed traders trade on the basis of their private information about the value of particular securities. Liquidity traders trade either specific stocks, or wish to trade diversified portfolios. We show that the Stock Index is the efficient trading vehicle for this last class of traders, who abandon the spot securities markets with consequences for the liquidity of individual stocks. The reason is that the costs faced by diversified traders will be lower in the Index market than in markets for individual stocks, because any idiosyncratic information flowing in the Index market is substantially lower than that brought by insiders to the spot market. Stock Index Futures contracts are, therefore, convenient innovations for financial institutions that trade large portfolios of securities to match the liquidity needs of their clients. We predict that the innovation of index contracts adversely affects the liquidity of individual stocks. Trading in the stock market becomes more costly for those traders whose strategies involve the purchase or sale of specific securities. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Author: George A. Fontanills
Publisher: John Wiley & Sons
ISBN: 0470048123
Category : Business & Economics
Languages : en
Pages : 226
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Book Description
An indispensable, hands-on companion to The Index Trading Course In The Index Trading Course, financial experts George Fontanills and Tom Gentile provide an in-depth look at the tools and techniques used to trade in this profitable market. Now, in The Index Trading Course Workbook, Fontanills and Gentile offer a wealth of practical exercises that will help further your understanding of index trading, as well as test and apply what you've learned before you take one step into the real markets-where time and money are luxuries you can't afford to lose. The media assignments found in each chapter are especially useful. They'll help you put the material you've read into action by prompting you to access some of the extensive media tools currently available to all traders-including financial papers, magazines, the Internet, and television. This hands-on companion to The Index Trading Course also includes a complete answer key for every multiple-choice question and covers a wide range of issues related to this discipline such as: Core stock market indexes along with the sector offerings from a variety of financial entities Actively traded index products, including exchange traded funds (ETFs), index options, and ETF options Options strategies used for different trends and volatility situations Indicators and systems Trade adjustments The art of risk management
Author: Constantin Zopounidis
Publisher: Springer Science & Business Media
ISBN: 0387766820
Category : Business & Economics
Languages : en
Pages : 494
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Book Description
This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.
Author: George A. Fontanills
Publisher: John Wiley & Sons
ISBN: 0470047364
Category : Business & Economics
Languages : en
Pages : 450
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Book Description
Praise for The Index Trading Course "George and Tom apply their considerable options trading and teaching expertise to the arena of broad-based and sector indices. Index options traders will find the techniques, systems, and strategies invaluable-and so will those who aren't yet index traders, but want to learn to be." —Larry McMillan, President, McMillan Analysis Corporation author, Profit with Options "I've known both George and Tom for many years and have seen firsthand how they both can captivate a room with their knowledge of options trading and vibrant personalities. Now they have managed to capture that magic in this easy-to-understand how-to manual on trading index options." —David Kalt, CEO, optionsXpress Holdings Inc., www.optionsXpress.com "I traded in the OEX pit for almost twenty years and I can't believe how well George and Tom nailed the core strategies and trading intricacies of index products. Nice job!" —Tom Sosnoff, CEO, thinkorswim, Inc. "Education has been a major factor in the explosive growth in the options markets. Once again, Fontanills and Gentile have delivered as leaders in options education with The Index Trading Course and The Index Trading Course Workbook. These books provide a disciplined approach to trading index and ETF options through risk management." —Christopher Larkin, Vice President, U.S. Retail Brokerage E*TRADE Securities LLC (www.etrade.com/options) "I found The Index Trading Course and The Index Trading Course Workbook to be filled with useful and practical information on options, ETFs, the market, and trading in general. They explain the unique characteristics of these instruments in understandable terms and should provide a good foundation to those interested in trading index options and options on ETFs. The quizzes and media assignments in the Workbook are wonderful learning tools that help reinforce the information and concepts presented in the main book." —Debra L. Peters, The Options Institute
Author: Laurent Deville
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
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Book Description
This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through survival analysis which allows us to characterize how differences in market conditions influence the expected time before the market reaches the no-arbitrage relationship. We find that moneyness, maturity, trading volume as well as trade imbalances in call and put options, and volatility are important in understanding why some arbitrage opportunities disappear faster than others. After controlling for differences in the trading environnement, we find evidence of a negative relationship between the existence of ETFs on the index and the time to efficiency.
Author: Bertram J. Schaeffer
Publisher: John Wiley & Sons
ISBN: 9780471185390
Category : Business & Economics
Languages : en
Pages : 344
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Book Description
Kluge und profitable Strategien für den Optionshandel - hier lernt jeder etwas Neues, ob Einsteiger oder Profi im Investmentgeschäft! Informationen aus erster Hand von Bernard Schaeffer, einem regelmäßig zitierten Spezialisten, zu den Unterschieden zwischen Aktien- und Optionshandel, zur Risikoeinschätzung, zu Finanzmanagement und Handelsstrategien. (11/97)
Author: Compiled by the British Library of Political and Economic Science
Publisher: Psychology Press
ISBN: 9780415284011
Category : Economics
Languages : en
Pages : 708
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Book Description
IBSS is the essential tool for librarians, university departments, research institutions and any public or private institution whose work requires access to up-to-date and comprehensive knowledge of the social sciences.
Author: Thomas S. Y. Ho
Publisher: Oxford University Press
ISBN: 0199923981
Category : Business & Economics
Languages : en
Pages : 762
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Book Description
The essential premise of this book is that theory and practice are equally important in describing financial modeling. In it the authors try to strike a balance in their discussions between theories that provide foundations for financial models and the institutional details that provide the context for applications of the models. The book presents the financial models of stock and bond options, exotic options, investment grade and high-yield bonds, convertible bonds, mortgage-backed securities, liabilities of financial institutions--the business model and the corporate model. It also describes the applications of the models to corporate finance. Furthermore, it relates the models to financial statements, risk management for an enterprise, and asset/liability management with illiquid instruments. The financial models are progressively presented from option pricing in the securities markets to firm valuation in corporate finance, following a format to emphasize the three aspects of a model: the set of assumptions, the model specification, and the model applications. Generally, financial modeling books segment the world of finance as "investments," "financial institutions," "corporate finance," and "securities analysis," and in so doing they rarely emphasize the relationships between the subjects. This unique book successfully ties the thought processes and applications of the financial models together and describes them as one process that provides business solutions. Created as a companion website to the book readers can visit www.thomasho.com to gain deeper understanding of the book's financial models. Interested readers can build and test the models described in the book using Excel, and they can submit their models to the site. Readers can also use the site's forum to discuss the models and can browse server based models to gain insights into the applications of the models. For those using the book in meetings or class settings the site provides Power Point descriptions of the chapters. Students can use available question banks on the chapters for studying.
