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Author: Robert Alan Schwartz
Publisher:
ISBN:
Category : Financial institutions
Languages : en
Pages : 86
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Book Description
Author: Robert Alan Schwartz
Publisher:
ISBN:
Category : Financial institutions
Languages : en
Pages : 86
Get Book Here
Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 418
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Book Description
Author: Charles Mark Jones
Publisher:
ISBN:
Category : Institutional investments
Languages : en
Pages : 36
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Book Description
Author: Randi Naes
Publisher:
ISBN:
Category :
Languages : en
Pages : 23
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Book Description
The proliferation of market places and trading methods is a striking feature of current equity markets. A stated goal of all the new trading arrangements is to reduce transaction costs. We investigate costs in one particular new market place, the crossing network. A crossing network is a satellite trading place; it uses prices derived from some primary market, and merely matches on quantity. Using special features of a data sample from a large institutional investor, we provide evidence that low measured costs in crossing networks are offset by substantial costs of non-trading. The costs of non-trading, which are related to adverse selection in the networks, are not reflected in standard measures of transaction costs.
Author: Yanfeng Xue
Publisher:
ISBN:
Category :
Languages : en
Pages : 56
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Book Description
Previous research documents that financial ratios (fundamental signals) derived from publicly available financial statements can predict future abnormal stock returns. This paper examines whether institutional investors trade on these fundamental signals and the implications of institutional investors' trading for stock valuation. We provide evidence that transient institutional investors (institutions who actively trade securities for short-term returns) trade on fundamental signals. We also show that the abnormal returns associated with fundamental signals increase with transaction costs and arbitrage risk, indicating the existence of the limits to arbitrage for this investment strategy. We further document that transient institutions trade less aggressively to exploit the fundamental-signal-based trading strategy in firms with higher transaction costs and arbitrage risk, and their arbitrage trades help reduce the returns related to fundamental signals. This paper provides evidence helping to explain the abnormal returns associated with fundamental signals and contributes to our understanding of institutional investors' role in enhancing market efficiency.
Author: James A. Sefton
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
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Book Description
We derive an explicit solution to a continuous time dynamic portfolio problem assuming investors maximize their welfare from a consumption stream in an incomplete market where returns to the securities are predictable but costly to trade. The solution is phrased in terms of a risk-sensitive Riccati equation. We show that the optimal trading strategy is to target a portfolio that is the optimal solution to a frictionless (or 'no-cost') dynamic portfolio problem but where the returns to the assets have been adjusted for costs; that is they have been expressed on a net rather than gross basis. The legacy portfolio (the inherited undesirable positions) are then traded away in line with a backward-looking optimal execution problem. We show that the utility gradient is a stochastic discount factor that prices the assets net returns. Thus we are able to generalise some of the results of the martingale approach to dynamic portfolio theory to market with frictions.
Author: Robert A. Schwartz
Publisher: Springer Science & Business Media
ISBN: 0387258817
Category : Business & Economics
Languages : en
Pages : 208
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Book Description
On April 29, 2003, the Zicklin School of Business hosted a trading conference titled, Coping With Institutional Order Flow. This conference was electronically recorded and later transcribed for this book. The text includes the edited transcript of the panel discussions and separate presentations by two major industry executives, Richard Ketchum' and Robert Mc Sweeney. As with the other volumes in this popular series, this book is not simply intended to be an historical record of the conference. We have edited the manuscript for clarity, perspective and context. New material was gathered in subsequent interviews with many of the panelists. Consequently, some remarks and passages in the text were altered and expanded and many footnotes were introduced. Our goal was to flesh out the dialogue and presentations and to keep the material as contemporary as possible. In doing so, we went to great lengths to preserve the essential nature of the original debate. We worked closely with the panelists in the editing process and took pains not to distort the meaning of their remarks. They have all approved the final draft of the manuscript. We thank them for their assistance and patience. \n my opening remarks at the conference, I suggested that effective handling of institutional order flow is one of the most important and difficult At the time of the conference, Richard Ketchum was President and Deputy Chairman at The Nasdaq Stock Market, Inc. Preface xiv challenges facing our equity markets today.
Author: Rishi K. Narang
Publisher: John Wiley & Sons
ISBN: 1118416996
Category : Business & Economics
Languages : en
Pages : 343
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Book Description
New edition of book that demystifies quant and algo trading In this updated edition of his bestselling book, Rishi K Narang offers in a straightforward, nontechnical style—supplemented by real-world examples and informative anecdotes—a reliable resource takes you on a detailed tour through the black box. He skillfully sheds light upon the work that quants do, lifting the veil of mystery around quantitative trading and allowing anyone interested in doing so to understand quants and their strategies. This new edition includes information on High Frequency Trading. Offers an update on the bestselling book for explaining in non-mathematical terms what quant and algo trading are and how they work Provides key information for investors to evaluate the best hedge fund investments Explains how quant strategies fit into a portfolio, why they are valuable, and how to evaluate a quant manager This new edition of Inside the Black Box explains quant investing without the jargon and goes a long way toward educating investment professionals.
Author: Elyes Jouini
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
In this article, we characterize efficient contingent claims in a context of transaction costs and multidimensional utility functions. The dual formulation of utility maximization helps us outline the key notion of cyclic anticomonotonicity. Moreover, after defining a utility price in this multidimensional setting, we provide a measure of strategies inefficiency and a tool allowing to effectively compute this measure with the help of cyclic anticomonotonicity.
Author: Larry Harris
Publisher: CFA Institute Research Foundation
ISBN: 1934667927
Category : Business & Economics
Languages : en
Pages : 94
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Book Description
The true meaning of investment discipline is to trade only when you rationally expect that you will achieve your desired objective. Accordingly, managers must thoroughly understand why they trade. Because trading is a zero-sum game, good investment discipline also requires that managers understand why their counterparties trade. This book surveys the many reasons why people trade and identifies the implications of the zero-sum game for investment discipline. It also identifies the origins of liquidity and thus of transaction costs, as well as when active investment strategies are profitable. The book then explains how managers must measure and control transaction costs to perform well. Electronic trading systems and electronic trading strategies now dominate trading in exchange markets throughout the world. The book identifies why speed is of such great importance to electronic traders, how they obtain it, and the trading strategies they use to exploit it. Finally, the book analyzes many issues associated with electronic trading that currently concern practitioners and regulators.
