Large Orders In Small Markets

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Strategic Trading in Illiquid Markets

Author : Burkart Mönch
Publisher : Springer Science & Business Media
ISBN 13 : 3540263152
Total Pages : 130 pages
Book Rating : 4.5/5 (42 download)

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Book Synopsis Strategic Trading in Illiquid Markets by : Burkart Mönch

Download or read book Strategic Trading in Illiquid Markets written by Burkart Mönch and published by Springer Science & Business Media. This book was released on 2006-01-13 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Area of Research and the Object of Investigation In this thesis we will investigate trading strategies in illiquid markets from a market microstructure perspective. Market microstructure is the academic term for the branch of financial economics that investigates trading and the organization of security markets, see, e. g. , Harris (2002). Historically, exchanges evolved as a location, where those interested in buy ing or selling securities could meet physically to transact. Thus, traditionally security trading was organized on exchange floors, where so-called dealers arranged all trades and provided liquidity by quoting prices at which they were willing buy or sell. Consequently, the initial surge of the market mi crostructure literature focused predominantly on this type of market design, which is often referred to as quote-driven. Nowadays, the interest is shifting towards order-driven markets. Beginning with the Toronto Stock Exchange in the mid 1970s and increasing in fre quency and scope, this market structure has emerged as the preeminent form of security trading worldwide. In order-driven markets, exchanges arrange trades by matching public orders, often by employing automatic execution systems. Introduction A major difference between a quote-driven and an order-driven market arises from the transparency pre- and post-trade. The pre-trade transparency con cerns the question whether the order book is visible to the keeper only, or whether it is open to the public.

The Econometrics of Sequential Trade Models

Author : Stefan Kokot
Publisher : Springer Science & Business Media
ISBN 13 : 364217115X
Total Pages : 200 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis The Econometrics of Sequential Trade Models by : Stefan Kokot

Download or read book The Econometrics of Sequential Trade Models written by Stefan Kokot and published by Springer Science & Business Media. This book was released on 2012-08-27 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study has been accepted as a doctoral thesis by the Depart ment of Economics of the Johann Wolfgang Goethe-University in Frankfurt am Main. It grew out from my five year long participation in two research projects, "Econometric analysis of transaction intensity and volatility on fi nancial markets", and "Microstructure on financial markets", that were both conducted by the chair of Statistics and Econometrics (Empirical Economic Research) at the Department of Economics and Business Administration, Jo hann Wolfgang Goethe-University in Frankfurt am Main and financed by the state of Hessen. During this time I have benefitted from many people. First and foremost I would like to thank my thesis supervisor, Prof. Dr. Reinhard Hujer, for initiating and supporting my studies with great encouragement. I am also very grateful to Prof. Dr. Christian Schlag for acting as the second thesis supervisor. Furthermore, I wish to thank Prof. Dr. Joachim Grammig who introduced me to the topics covered in this study in the first place and helped me to sharpen my views on econometrics and financial market microstructure theory through many discussions and also through his willingness to work with me on several related studies.

Trading and Exchanges

Author : Larry Harris
Publisher : OUP USA
ISBN 13 : 9780195144703
Total Pages : 664 pages
Book Rating : 4.1/5 (447 download)

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Book Synopsis Trading and Exchanges by : Larry Harris

Download or read book Trading and Exchanges written by Larry Harris and published by OUP USA. This book was released on 2003 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).

Gaming the Market

Author : Ronald B. Shelton
Publisher : John Wiley & Sons
ISBN 13 : 9780471168133
Total Pages : 234 pages
Book Rating : 4.1/5 (681 download)

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Book Synopsis Gaming the Market by : Ronald B. Shelton

Download or read book Gaming the Market written by Ronald B. Shelton and published by John Wiley & Sons. This book was released on 1997-04-25 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: Die Spieltheorie betrachtet Entscheidungen als "Schachzüge" in einem Spiel, dessen Ausgang von den Entscheidungen aller Spieler bestimmt wird. Diese Theorie wird hier erstmals auf Investmentgeschäfte am Finanzmarkt angewendet. Nach der Definition der "Spielregeln" und der "Spieler" wird, basierend auf Formeln der Wahrscheinlichkeitsrechnung, ein Spielmodell entwickelt, das die Rentabilität von beliebigen Finanzaktionen wie Aktienkauf und -verkauf vorhersagt.

Hearings

Author : United States. Congress. House. Committee on Interstate and Foreign Commerce
Publisher :
ISBN 13 :
Total Pages : 1378 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Hearings by : United States. Congress. House. Committee on Interstate and Foreign Commerce

Download or read book Hearings written by United States. Congress. House. Committee on Interstate and Foreign Commerce and published by . This book was released on 1972 with total page 1378 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Long/Short Market Dynamics

Author : Clive M. Corcoran
Publisher : John Wiley & Sons
ISBN 13 : 0470065311
Total Pages : 358 pages
Book Rating : 4.4/5 (7 download)

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Book Synopsis Long/Short Market Dynamics by : Clive M. Corcoran

Download or read book Long/Short Market Dynamics written by Clive M. Corcoran and published by John Wiley & Sons. This book was released on 2007-02-06 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge funds are now the largest volume players in the capital markets. They follow a wide assortment of strategies but their activities have replaced and overshadowed the traditional model of the long only portfolio manager. Many of the traditional technical indicators and commonly accepted trading strategies have become obsolete or ineffective. The focus throughout the book is to describe the principal innovations that have been made within the equity markets over the last several years and that have changed the ground rules for trading activities. By understanding these changes the active trader is far better equipped to profit in today’s more complex and risky markets. Long/Short Market Dynamics includes: A completely new technique, Comparative Quantiles Analysis, for identifying market turning points is introduced. It is based on statistical techniques that can be used to recognize money flow and price/momentum divergences that can provide substantial profit opportunities. Power laws, regime shifts, self-organized criticality, phase transitions, network dynamics, econophysics, algorithmic trading and other ideas from the science of complexity are examined. All are described as concretely as possible and avoiding unnecessary mathematics and formalism. Alpha generation, portfolio construction, hedge ratios, and beta neutral portfolios are illustrated with case studies and worked examples. Episodes of financial contagion are illustrated with a proposed explanation of their origins within underlying market dynamics

Hearings, Reports and Prints of the House Committee on Interstate and Foreign Commerce

Author : United States. Congress. House. Committee on Interstate and Foreign Commerce
Publisher :
ISBN 13 :
Total Pages : 1222 pages
Book Rating : 4.:/5 (36 download)

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Book Synopsis Hearings, Reports and Prints of the House Committee on Interstate and Foreign Commerce by : United States. Congress. House. Committee on Interstate and Foreign Commerce

Download or read book Hearings, Reports and Prints of the House Committee on Interstate and Foreign Commerce written by United States. Congress. House. Committee on Interstate and Foreign Commerce and published by . This book was released on 1972 with total page 1222 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Topics in Market Microstructure

Author : Ilija I. Zovko
Publisher : Amsterdam University Press
ISBN 13 : 9056295381
Total Pages : 120 pages
Book Rating : 4.0/5 (562 download)

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Book Synopsis Topics in Market Microstructure by : Ilija I. Zovko

Download or read book Topics in Market Microstructure written by Ilija I. Zovko and published by Amsterdam University Press. This book was released on 2008-09-01 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market microstructure is a study of the processes through which the investors predictions of the future and their trading strategies determine market prices. Recent advances in market microstructure have been made possible by the proliferation of computers in the trading process and the availability of high quality financial data. This has attracted researchers from various disciplines (e.g., finance, physics, computer science) creating an interdisciplinary research arena with the common goal of understanding a very complicated yet very well documented by data system of a large number of interacting intelligent agents. This book contains four papers in which the authors investigate the interactions of investors strategies and the resulting aggregate properties of transaction prices.

Study of the Securities Industry

Author : United States. Congress. House. Committee on Interstate and Foreign Commerce. Subcommittee on Commerce and Finance
Publisher :
ISBN 13 :
Total Pages : 336 pages
Book Rating : 4.:/5 (31 download)

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Book Synopsis Study of the Securities Industry by : United States. Congress. House. Committee on Interstate and Foreign Commerce. Subcommittee on Commerce and Finance

Download or read book Study of the Securities Industry written by United States. Congress. House. Committee on Interstate and Foreign Commerce. Subcommittee on Commerce and Finance and published by . This book was released on 1971 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Market Liquidity

Author : Thierry Foucault
Publisher : Oxford University Press
ISBN 13 : 0197542069
Total Pages : 531 pages
Book Rating : 4.1/5 (975 download)

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Book Synopsis Market Liquidity by : Thierry Foucault

Download or read book Market Liquidity written by Thierry Foucault and published by Oxford University Press. This book was released on 2023 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--

Financial Markets Theory

Author : Emilio Barucci
Publisher : Springer
ISBN 13 : 1447173228
Total Pages : 843 pages
Book Rating : 4.4/5 (471 download)

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Book Synopsis Financial Markets Theory by : Emilio Barucci

Download or read book Financial Markets Theory written by Emilio Barucci and published by Springer. This book was released on 2017-06-08 with total page 843 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-classical preferences, noise traders and market microstructure. This textbook is aimed at graduate students in mathematical finance and financial economics, but also serves as a useful reference for practitioners working in insurance, banking, investment funds and financial consultancy. Introducing necessary tools from microeconomic theory, this book is highly accessible and completely self-contained. Advance praise for the second edition: "Financial Markets Theory is comprehensive, rigorous, and yet highly accessible. With their second edition, Barucci and Fontana have set an even higher standard!"Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University "This comprehensive book is a great self-contained source for studying most major theoretical aspects of financial economics. What makes the book particularly useful is that it provides a lot of intuition, detailed discussions of empirical implications, a very thorough survey of the related literature, and many completely solved exercises. The second edition covers more ground and provides many more proofs, and it will be a handy addition to the library of every student or researcher in the field."Jaksa Cvitanic, Richard N. Merkin Professor of Mathematical Finance, Caltech "The second edition of Financial Markets Theory by Barucci and Fontana is a superb achievement that knits together all aspects of modern finance theory, including financial markets microstructure, in a consistent and self-contained framework. Many exercises, together with their detailed solutions, make this book indispensable for serious students in finance."Michel Crouhy, Head of Research and Development, NATIXIS

Commodity Futures Improvements Act of 1989

Author : United States. Congress. House. Committee on Agriculture. Subcommittee on Conservation, Credit, and Rural Development
Publisher :
ISBN 13 :
Total Pages : 638 pages
Book Rating : 4.3/5 (121 download)

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Book Synopsis Commodity Futures Improvements Act of 1989 by : United States. Congress. House. Committee on Agriculture. Subcommittee on Conservation, Credit, and Rural Development

Download or read book Commodity Futures Improvements Act of 1989 written by United States. Congress. House. Committee on Agriculture. Subcommittee on Conservation, Credit, and Rural Development and published by . This book was released on 1990 with total page 638 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Final Report on Stock Index Futures and Cash Market Activity During October 1987 to the U.S. Commodity Futures Trading Commission

Author : United States. Commodity Futures Trading Commission
Publisher :
ISBN 13 :
Total Pages : 304 pages
Book Rating : 4.3/5 (512 download)

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Book Synopsis Final Report on Stock Index Futures and Cash Market Activity During October 1987 to the U.S. Commodity Futures Trading Commission by : United States. Commodity Futures Trading Commission

Download or read book Final Report on Stock Index Futures and Cash Market Activity During October 1987 to the U.S. Commodity Futures Trading Commission written by United States. Commodity Futures Trading Commission and published by . This book was released on 1988 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Retail Trading in Britain 1850-1950

Author : James B. Jefferys
Publisher : Cambridge University Press
ISBN 13 : 1107602734
Total Pages : 537 pages
Book Rating : 4.1/5 (76 download)

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Book Synopsis Retail Trading in Britain 1850-1950 by : James B. Jefferys

Download or read book Retail Trading in Britain 1850-1950 written by James B. Jefferys and published by Cambridge University Press. This book was released on 2011-09-15 with total page 537 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 1954 volume explores trends in the distributive trades in the United Kingdom from 1850-1950.

SEC Docket

Author : United States. Securities and Exchange Commission
Publisher :
ISBN 13 :
Total Pages : 1500 pages
Book Rating : 4.:/5 (31 download)

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Book Synopsis SEC Docket by : United States. Securities and Exchange Commission

Download or read book SEC Docket written by United States. Securities and Exchange Commission and published by . This book was released on 1993 with total page 1500 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Corruption and Fraud in Financial Markets

Author : Carol Alexander
Publisher : John Wiley & Sons
ISBN 13 : 1394178158
Total Pages : 624 pages
Book Rating : 4.3/5 (941 download)

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Book Synopsis Corruption and Fraud in Financial Markets by : Carol Alexander

Download or read book Corruption and Fraud in Financial Markets written by Carol Alexander and published by John Wiley & Sons. This book was released on 2022-12-13 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: Identifying malpractice and misconduct should be top priority for financial risk managers today Corruption and Fraud in Financial Markets identifies potential issues surrounding all types of fraud, misconduct, price/volume manipulation and other forms of malpractice. Chapters cover detection, prevention and regulation of corruption and fraud within different financial markets. Written by experts at the forefront of finance and risk management, this book details the many practices that bring potentially devastating consequences, including insider trading, bribery, false disclosure, frontrunning, options backdating, and improper execution or broker-agency relationships. Informed but corrupt traders manipulate prices in dark pools run by investment banks, using anonymous deals to move prices in their own favour, extracting value from ordinary investors time and time again. Strategies such as wash, ladder and spoofing trades are rife, even on regulated exchanges – and in unregulated cryptocurrency exchanges one can even see these manipulative quotes happening real-time in the limit order book. More generally, financial market misconduct and fraud affects about 15 percent of publicly listed companies each year and the resulting fines can devastate an organisation's budget and initiate a tailspin from which it may never recover. This book gives you a deeper understanding of all these issues to help prevent you and your company from falling victim to unethical practices. Learn about the different types of corruption and fraud and where they may be hiding in your organisation Identify improper relationships and conflicts of interest before they become a problem Understand the regulations surrounding market misconduct, and how they affect your firm Prevent budget-breaking fines and other potentially catastrophic consequences Since the LIBOR scandal, many major banks have been fined billions of dollars for manipulation of prices, exchange rates and interest rates. Headline cases aside, misconduct and fraud is uncomfortably prevalent in a large number of financial firms; it can exist in a wide variety of forms, with practices in multiple departments, making self-governance complex. Corruption and Fraud in Financial Markets is a comprehensive guide to identifying and stopping potential problems before they reach the level of finable misconduct.

An Introduction to Trading in the Financial Markets: Trading, Markets, Instruments, and Processes

Author : R. Tee Williams
Publisher : Academic Press
ISBN 13 : 008095118X
Total Pages : 463 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis An Introduction to Trading in the Financial Markets: Trading, Markets, Instruments, and Processes by : R. Tee Williams

Download or read book An Introduction to Trading in the Financial Markets: Trading, Markets, Instruments, and Processes written by R. Tee Williams and published by Academic Press. This book was released on 2011-02-18 with total page 463 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading on the financial markets requires the mastery of many subjects, from strategies and the instruments being traded to market structures and the mechanisms that drive executions. This second of four volumes explores them all. After brief explanations of the activities associated with buying and selling, the book covers principals, agents, and the market venues in which they interact. Next come the instruments that they buy and sell: how are they categorized and how do they act? Concluding the volume is a discussion about major processes and the ways that they vary by market and instrument. Contributing to these explanations are visual cues that guide readers through the material. Making profitable trades might not be easy, but with the help of this book they are possible. - Explains the basics of investing and trading, markets, instruments, and processes - Presents major concepts with graphs and easily-understood definitions - Builds upon the introduction provided by Book 1 while preparing the reader for Books 3 and 4