Contribution to Price Discovery by Orders and Trades PDF Download
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Author: Michael Chng
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Price discovery is a crucial and essential function performed by futures markets. From a futures exchange's perspective, its markets' ability to aggregate and incorporate information into prices to 'derive' the spot asset's fundamental value is a key objective of market design. We modify the Glosten-Hasbrouck model to examine the ex-ante design on ex-post price discovery of a futures market. First, we extend the model to consider a richer dynamic interaction between the price-size coordinates of orders and trades. Second, we provide two preliminary exercises to demonstrate how the presence of the contract multiplier and delayed publication of block trades affect subsequent price discovery. Despite the comprehensiveness of market design considerations, our extended base case model offers a flexible and tractable framework to guide a futures exchange in the configuration of its trading environment.
Author: Michael Chng
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Price discovery is a crucial and essential function performed by futures markets. From a futures exchange's perspective, its markets' ability to aggregate and incorporate information into prices to 'derive' the spot asset's fundamental value is a key objective of market design. We modify the Glosten-Hasbrouck model to examine the ex-ante design on ex-post price discovery of a futures market. First, we extend the model to consider a richer dynamic interaction between the price-size coordinates of orders and trades. Second, we provide two preliminary exercises to demonstrate how the presence of the contract multiplier and delayed publication of block trades affect subsequent price discovery. Despite the comprehensiveness of market design considerations, our extended base case model offers a flexible and tractable framework to guide a futures exchange in the configuration of its trading environment.
Author: Frank de Jong
Publisher: Cambridge University Press
ISBN: 1139478443
Category : Business & Economics
Languages : en
Pages : 209
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Book Description
The analysis of the microstructure of financial markets has been one of the most important areas of research in finance and has allowed scholars and practitioners alike to have a much more sophisticated understanding of the dynamics of price formation in financial markets. Frank de Jong and Barbara Rindi provide an integrated graduate level textbook treatment of the theory and empirics of the subject, starting with a detailed description of the trading systems on stock exchanges and other markets and then turning to economic theory and asset pricing models. Special attention is paid to models explaining transaction costs, with a treatment of the measurement of these costs and the implications for the return on investment. The final chapters review recent developments in the academic literature. End-of-chapter exercises and downloadable data from the book's companion website provide opportunities to revise and apply models developed in the text.
Author: Lucy F. Ackert
Publisher: South Western Educational Publishing
ISBN: 9780538752862
Category : Investments
Languages : en
Pages : 0
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Book Description
The book begins by building upon the established, conventional principles of finance that you've have already learned in your principles course. The authors then move into psychological principles of behavioral finance, including heuristics and biases, overconfidence, emotion and social forces. You immediately see how human behavior influences the decisions of individual investors and professional finance practitioners, managers, and markets. You also gain a strong understanding of how social forces impact individuals' choices. The book clearly explains what behavioral finance indicates about observed market outcomes as well as how psychological biases potentially impact the behavior of managers. The book's solid academic approach provides opportunities for you to utilize theory and complete applications in every chapter as you learn the implications of behavioral finance on retirement, pensions, education, debiasing, and client management. The book spends a significant amount of time examining how today's practitioners can use behavioral finance to further their professional success.
Author: Deniz Ozenbas
Publisher: Springer Nature
ISBN: 3030748170
Category : Business enterprises
Languages : en
Pages : 111
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Book Description
This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Author: Roland L. Gillet
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Since 2007, the European Markets in Financial Instruments Directive (MiFID) has ended the national rule of order concentration and the directive has increased the fragmentation among the trading venues. This paper examines the price discovery dynamics for cross-listed CAC40 stocks, through the Information Shares metric, over the years 2012 and 2013 for three key places: NYSE Euronext Paris, BATS Europe and Chi-X Europe. We use the highfrequency order flow on individual stocks to study the monthly contribution of the Regulated Market (Euronext Paris) and Multilateral Trading Facilities (BATS and Chi-X Europe) to the price discovery by using the spread midpoint on the best limits at one-second intervals. We observe that the Multilateral trading facilities contribute significantly to the price discovery dynamics. The revision of MiFID should enhance the trade-through protections, and unified trade and price reporting protocols to avoid that fragmentation is detrimental on the market quality after the Brexit.
Author: Martin D. D. Evans
Publisher: Princeton University Press
ISBN: 1400838843
Category : Business & Economics
Languages : en
Pages : 561
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Book Description
A comprehensive and in-depth look at exchange-rate dynamics Variations in the foreign exchange market influence all aspects of the world economy, and understanding these dynamics is one of the great challenges of international economics. This book provides a new, comprehensive, and in-depth examination of the standard theories and latest research in exchange-rate economics. Covering a vast swath of theoretical and empirical work, the book explores established theories of exchange-rate determination using macroeconomic fundamentals, and presents unique microbased approaches that combine the insights of microstructure models with the macroeconomic forces driving currency trading. Macroeconomic models have long assumed that agents—households, firms, financial institutions, and central banks—all have the same information about the structure of the economy and therefore hold the same expectations and uncertainties regarding foreign currency returns. Microbased models, however, look at how heterogeneous information influences the trading decisions of agents and becomes embedded in exchange rates. Replicating key features of actual currency markets, these microbased models generate a rich array of empirical predictions concerning trading patterns and exchange-rate dynamics that are strongly supported by data. The models also show how changing macroeconomic conditions exert an influence on short-term exchange-rate dynamics via their impact on currency trading. Designed for graduate courses in international macroeconomics, international finance, and finance, and as a go-to reference for researchers in international economics, Exchange-Rate Dynamics guides readers through a range of literature on exchange-rate determination, offering fresh insights for further reading and research. Comprehensive and in-depth examination of the latest research in exchange-rate economics Outlines theoretical and empirical research across the spectrum of modeling approaches Presents new results on the importance of currency trading in exchange-rate determination Provides new perspectives on long-standing puzzles in exchange-rate economics End-of-chapter questions cement key ideas
Author: Mr.Ian Domowitz
Publisher: International Monetary Fund
ISBN: 1451850255
Category : Technology & Engineering
Languages : en
Pages : 32
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Book Description
Automated trade execution systems are examined with respect to the degree to which they automate the price discovery process. Seven levels of automation of price discovery are identified, and 47 systems are classified according to these criteria. Systems operating at various levels of automation are compared with respect to age, geographical location, and type of securities traded. Information provided to market participants, and asymmetries of information between traders with direct access to the automated market and outside investors also are examined. It is found, for example, that the degree of asymmetric information increases with the level of automation of price discovery. The potential for trading abuses related to prearranged trading, noncompetitive execution, and trading ahead of customers is analyzed for each level of automation. Certain levels of automation widen the opportunities for trading abuses in some respects, but may narrow them in others.
Author: Frédéric Abergel
Publisher: John Wiley & Sons
ISBN: 1119952786
Category : Business & Economics
Languages : en
Pages : 194
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Book Description
The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.
Author: Sereno Stansbury Pratt
Publisher:
ISBN:
Category : Securities industry
Languages : en
Pages : 322
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Book Description
Author: Reto Francioni
Publisher: Springer
ISBN: 3319458485
Category : Business & Economics
Languages : en
Pages : 612
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Book Description
This book underscores the complexity of the equity markets, the challenges they face, and the fact that they are still a work in process. Three interacting forces drive market change: competition, technology change, and regulatory change. The markets have one major objective in particular to achieve: the delivery of accurate price discovery for both traders and the broader market. Are we getting it? Are competition, technology, and regulation acting together to improve market quality, or are they adding to the complexity of the markets and making accurate price discovery harder to achieve? The difficulty of addressing these issues and reaching a consensus regarding public policy is reflected in the diverse opinions expressed in this book. From an institutional perspective, the volume’s contributors highlight the interconnectedness of all aspects of the internal and external environment within which exchange organizations act. Equity Markets in Transition underscores how technological evolution and recent regulatory changes have influenced the business, and how these developments have opened new possibilities for exchange organizations and for equity markets as a whole, including such issues as the impact of equity markets on job creation. The book combines both a theoretical and a practical approach. Part I presents a theoretical overview of the international equity market business, including an overall description of the value chain of stock trading that includes deep dives on every decisive step. Part II contains contributions from various business specialists who have specific practical and academic knowledge of the different steps. Equity Markets in Transition represents a unique combination of theoretical and practical analysis that offers first-hand insights on all relevant interactions and interrelations among the various parts of the exchange business, with an emphasis on facilitating analysis of the status quo and of emerging trends regarding business models, regulation, and the development of the competitor, customer and investor sides.
