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Intra Day Characteristics Of Stock Price Crashes
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Book Synopsis Slow Moving Capital by : Mark Mitchell
Download or read book Slow Moving Capital written by Mark Mitchell and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While multi-strategy hedge funds who were not capital constrained increased their positions, a large fraction of these funds actually acted as net sellers consistent with the view that information barriers within a firm (not just relative to outside investors) can lead to capital constraints for trading desks with mark-to-market losses. Our findings suggest that real world frictions impede arbitrage capital.
Book Synopsis Analysing Intraday Implied Volatility for Pricing Currency Options by : Thi Le
Download or read book Analysing Intraday Implied Volatility for Pricing Currency Options written by Thi Le and published by Springer Nature. This book was released on 2021-04-13 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.
Book Synopsis Financial Market Bubbles and Crashes by : Harold L. Vogel
Download or read book Financial Market Bubbles and Crashes written by Harold L. Vogel and published by Cambridge University Press. This book was released on 2009-12-14 with total page 471 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the thousands of articles and the millions of times that the word 'bubble' has been used in the business press, there still does not appear to be a cohesive theory or persuasive empirical approach with which to study 'bubble' and 'crash' conditions. This book presents a plausible and accessible descriptive theory and empirical approach to the analysis of such financial market conditions. It advances such a framework through application of standard econometric methods to its central idea, which is that financial bubbles reflect urgent short side rationed demand. From this basic idea, an elasticity of variance concept is developed. It is further shown that a behavioral risk premium can probably be measured and related to the standard equity risk premium models in a way that is consistent with conventional theory.
Author :United States. Congress. House. Committee on Energy and Commerce. Subcommittee on Telecommunications and Finance Publisher : ISBN 13 : Total Pages :336 pages Book Rating :4.3/5 (121 download)
Book Synopsis SEC/CFTC Jurisdictional Issues by : United States. Congress. House. Committee on Energy and Commerce. Subcommittee on Telecommunications and Finance
Download or read book SEC/CFTC Jurisdictional Issues written by United States. Congress. House. Committee on Energy and Commerce. Subcommittee on Telecommunications and Finance and published by . This book was released on 1990 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Futures Margins and Stock Price Volatility by : Paul H. Kupiec
Download or read book Futures Margins and Stock Price Volatility written by Paul H. Kupiec and published by . This book was released on 1990 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Demystifying China’s Stock Market by : Eric Girardin
Download or read book Demystifying China’s Stock Market written by Eric Girardin and published by Springer Nature. This book was released on 2019-09-13 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mainstream research has rationalized China’s stock market on the basis of paradigms such as the institutional approach, the efficient market hypothesis, and corporate valuation principles. The deviations from such paradigms have been analyzed as puzzles of China’s stock market. Girardin and Liu explore to what extent, in the perspective of Chinese cultural and historical characteristics, far from being puzzles, these 'deviations’ are rather the symptoms of a consistent strategy for the design, development and regulation of a government-dominated financial system. This book will help investors, observers and researchers understand the hidden logic of the design and functioning of China’s modern stock market, taking a political economy view.
Book Synopsis Stock Market Crash 1929 by : IntroBooks Team
Download or read book Stock Market Crash 1929 written by IntroBooks Team and published by IntroBooks. This book was released on with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock Market Crash, 1929 happened at a time when the countries were booming and the economy was developing. The position of the USA at the period was flourishing as it emerged as a super power just after the World War I. The blooming period was known as roaring twenties when all sectors of the economy was booming and the crash came as a shock to the entire country and other countries since most of the countries were interconnected with each other on the basis of trade and commerce. This led to a global depression and almost all the countries were affected, causing widespread downfall. The crash was first identified on 24th October 1929 which is popularly known as ‘Black Thursday’ and the crash continued to a week. However, the effects of the same were felt for many years and it took almost two decades to come out of the situation and countries had to adopt different measures for the same.
Author :United States. Congress. House. Committee on Energy and Commerce. Subcommittee on Telecommunications and Finance Publisher : ISBN 13 : Total Pages :484 pages Book Rating :4.3/5 (121 download)
Book Synopsis Stock Market Reform by : United States. Congress. House. Committee on Energy and Commerce. Subcommittee on Telecommunications and Finance
Download or read book Stock Market Reform written by United States. Congress. House. Committee on Energy and Commerce. Subcommittee on Telecommunications and Finance and published by . This book was released on 1990 with total page 484 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Advances in Collective Intelligence 2011 by : Jörn Altmann
Download or read book Advances in Collective Intelligence 2011 written by Jörn Altmann and published by Springer Science & Business Media. This book was released on 2012-01-12 with total page 175 pages. Available in PDF, EPUB and Kindle. Book excerpt: Collective intelligence has become an attractive subject of interest for both academia and industry. More and more conferences and workshops discuss the impact of the users‘ motivation to participate in the value creation process, the enabling role of leading-edge information and communication technologies and the need for better algorithms to deal with the growing amount of shared data. There are many interesting and challenging topics that need to be researched and discussed with respect to knowledge creation, creativity and innovation processes carried forward in the emerging communities of practice. COLLIN is on the path to become the flagship conference in the areas of collective intelligence and ICT-enabled social networking. We were delighted to again receive contributions from different parts of the world including Australia, Europe, Asia, and the United States. Encouraged by the positive response, we plan COLLIN 2012 to be held next year end of August at FernUniverstität in Hagen. In order to guarantee the quality of the event, each paper went through a doubleblind review process. The reviews concentrated on originality, quality and relevance of the paper topic to the symposium. In addition, we invited a few renowned experts in the field to contribute to the success of the symposium with outstanding papers reporting on their most recent research. Our special thanks go to the authors for submitting their papers, to the international program committee members, and to numerous reviewers who did an excellent job in guaranteeing that the papers in this volume are of very high quality.
Book Synopsis Stock Market Policy Since the 1987 Crash by : Hans R. Stoll
Download or read book Stock Market Policy Since the 1987 Crash written by Hans R. Stoll and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the US stock market crashed on October 19, 1987, many studies have been conducted to learn from this experience in the hopes of avoiding a similarly adverse future fall. The book, originally published as a special issue of the Journal of Financial Services Research, considers some of the important policy adjustments that have been implemented in the wake of the 1987 crash. Taken separately and together, these five papers offer a synthesis and summary of the most important policy innovations that have evolved since the largest single-day decline in stock market history.
Book Synopsis Cyclical Analysis of Time Series by : Gerhard Bry
Download or read book Cyclical Analysis of Time Series written by Gerhard Bry and published by . This book was released on 1971 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Study of programmed procedures in economic research and statistical method with regard to computerised analysis of cyclical turning points relative to business cycles. References.
Book Synopsis Empirical Market Microstructure by : Joel Hasbrouck
Download or read book Empirical Market Microstructure written by Joel Hasbrouck and published by Oxford University Press. This book was released on 2007-01-04 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
Book Synopsis Why Stock Markets Crash by : Didier Sornette
Download or read book Why Stock Markets Crash written by Didier Sornette and published by Princeton University Press. This book was released on 2017-03-21 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as diverse as earthquakes, global warming, demographic patterns, financial crises, and the failure of materials. In this book, Didier Sornette boldly applies his varied experience in these areas to propose a simple, powerful, and general theory of how, why, and when stock markets crash. Most attempts to explain market failures seek to pinpoint triggering mechanisms that occur hours, days, or weeks before the collapse. Sornette proposes a radically different view: the underlying cause can be sought months and even years before the abrupt, catastrophic event in the build-up of cooperative speculation, which often translates into an accelerating rise of the market price, otherwise known as a "bubble." Anchoring his sophisticated, step-by-step analysis in leading-edge physical and statistical modeling techniques, he unearths remarkable insights and some predictions--among them, that the "end of the growth era" will occur around 2050. Sornette probes major historical precedents, from the decades-long "tulip mania" in the Netherlands that wilted suddenly in 1637 to the South Sea Bubble that ended with the first huge market crash in England in 1720, to the Great Crash of October 1929 and Black Monday in 1987, to cite just a few. He concludes that most explanations other than cooperative self-organization fail to account for the subtle bubbles by which the markets lay the groundwork for catastrophe. Any investor or investment professional who seeks a genuine understanding of looming financial disasters should read this book. Physicists, geologists, biologists, economists, and others will welcome Why Stock Markets Crash as a highly original "scientific tale," as Sornette aptly puts it, of the exciting and sometimes fearsome--but no longer quite so unfathomable--world of stock markets.
Book Synopsis Financial Market Bubbles and Crashes, Second Edition by : Harold L. Vogel
Download or read book Financial Market Bubbles and Crashes, Second Edition written by Harold L. Vogel and published by Springer. This book was released on 2018-08-16 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.
Book Synopsis Day Trading with Short Term Price Patterns and Opening Range Breakout by : Toby Crabel
Download or read book Day Trading with Short Term Price Patterns and Opening Range Breakout written by Toby Crabel and published by Wasendorf & Associates Incorporated. This book was released on 1990 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explains the importance of detailed studies on price patterns. Attempts to find forecastable events based on the relation between opening, closing, high and low prices. Includes computer-tested answers to many common short term trading questions. Consists of 5 sections: 1) opening range breakouts, 2) short-term price patterns, 3) patterns of expansion and contraction, 4) combination of price patterns with expansion and contraction patterns, and 5) openings and closings that occur in various segments of a price bar; includes the results of computer analysis for each topic. We highly recommend this book for the serious short-term trader.
Book Synopsis An Intraday Analysis of Stock Market Liquidity by : Joe Lange
Download or read book An Intraday Analysis of Stock Market Liquidity written by Joe Lange and published by . This book was released on 1998 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Encyclopedia of Alternative Investments by : Greg N. Gregoriou
Download or read book Encyclopedia of Alternative Investments written by Greg N. Gregoriou and published by CRC Press. This book was released on 2008-08-18 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: A pioneering reference essential in any financial library, the Encyclopedia of Alternative Investments is the most authoritative source on alternative investments for students, researchers, and practitioners in this area. Containing 545 entries, the encyclopedia focuses on hedge funds, managed futures, commodities, and venture capital. It features
