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The Effect Of Algorithmic Trading On Voluntary Disclosure
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Book Synopsis The Effect of Algorithmic Trading on Voluntary Disclosure by : Andrew Stephan
Download or read book The Effect of Algorithmic Trading on Voluntary Disclosure written by Andrew Stephan and published by . This book was released on 2019 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: I investigate whether algorithmic trading (AT) affects voluntary disclosure. I predict that AT's advantage over non-algorithmic investors decreases information acquisition. Because investors are less informed, managers increase disclosure to reduce information asymmetry. I find evidence consistent with these predictions; AT is positively associated with the likelihood and quantity of management guidance issued. Further, when AT is high, informed trading is more costly, information acquisition is lower, and investors are less informed prior to management disclosures. This question is important to academics, regulators, and the investing public due to the debate over the desirability of AT in capital markets.
Book Synopsis The Real Effects of Algorithmic Trading by : Huihao Yan
Download or read book The Real Effects of Algorithmic Trading written by Huihao Yan and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Disrupting Finance written by Theo Lynn and published by Springer. This book was released on 2018-12-06 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access Pivot demonstrates how a variety of technologies act as innovation catalysts within the banking and financial services sector. Traditional banks and financial services are under increasing competition from global IT companies such as Google, Apple, Amazon and PayPal whilst facing pressure from investors to reduce costs, increase agility and improve customer retention. Technologies such as blockchain, cloud computing, mobile technologies, big data analytics and social media therefore have perhaps more potential in this industry and area of business than any other. This book defines a fintech ecosystem for the 21st century, providing a state-of-the art review of current literature, suggesting avenues for new research and offering perspectives from business, technology and industry.
Book Synopsis Who Benefits from Voluntary Disclosure? Evidence from Italian Market Microstructure Data by : Claudia Gabbioneta
Download or read book Who Benefits from Voluntary Disclosure? Evidence from Italian Market Microstructure Data written by Claudia Gabbioneta and published by . This book was released on 2017 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using proprietary market microstructure data of Milan Stock Exchange and strategic plan presentations of Italian firms as disclosure events we explore the distributional effects of voluntary disclosure. We document systematic trading patterns around our disclosure events that on average generate two-month positive abnormal returns of 5.9% for investors trading large shares, while investors trading small shares experience negative abnormal returns of 5.3%. This economically large wealth distribution effect is triggered by large investors increasing their stakes in disclosing firms prior to news arrival irrespective of the nature of the news. Around news arrival, they sell their inventory to small investors in case of bad news. Our findings are particularly pronounced for smaller firms with event-related media coverage, and are consistent with sophisticated investors systematically exploiting attention-based trading behavior of unsophisticated investors triggered by the public dissemination of voluntary disclosure information in the Italian market.
Book Synopsis Voluntary Disclosure and Informed Trading by : Evgeny Petrov
Download or read book Voluntary Disclosure and Informed Trading written by Evgeny Petrov and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I study the impact of informed trading on voluntary corporate disclosure in the presence of two factors: the cost of disclosure and the value of a manager's informed-ness. In the absence of both factors, informed trading has no impact on disclosure even when traders are not certain whether the manager has information. When disclosure is costly, informed trading serves as a free substitute for the disclosure of favorable information, and reduces disclosure. Surprisingly, when the manager's informedness is valuable for the firm, informed trading can also increase disclosure. Traders can discover unfavorable information about the firm, so a manager with such information has less incentive to pool with uninformed managers and discloses to show that he is informed. I also demonstrate that informed trading can have either a positive or a negative effect on firm value by crowding in or crowding out information production in the firm. These results hold for general information structures and are robust if traders can choose how much information to acquire.
Book Synopsis Global Algorithmic Capital Markets by : Walter Mattli
Download or read book Global Algorithmic Capital Markets written by Walter Mattli and published by . This book was released on 2019 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book illustrates the dramatic recent transformations in capital markets worldwide. Market making by humans in centralized markets has been replaced by super computers and algorithms in often highly fragmented markets. This book discusses how this impacts public policy objectives and how market governance could be strengthened.
Book Synopsis Statistical Learning for Trading by : William Johnson
Download or read book Statistical Learning for Trading written by William Johnson and published by HiTeX Press. This book was released on 2024-10-07 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Statistical Learning for Trading: A Machine Learning Approach to Market Dynamics" is an insightful exploration of the profound intersection between financial markets and advanced learning techniques. Crafted for traders, analysts, and enthusiasts, this book unravels the complexities of financial data through the lens of machine learning and quantitative finance. It offers a comprehensive journey from foundational principles to sophisticated algorithms, empowering readers with the knowledge to harness data-driven strategies for informed trading decisions. The book meticulously covers key topics such as exploratory data analysis, supervised and unsupervised learning, time series forecasting, and risk management. By integrating real-world applications and case studies, it bridges the gap between theory and practice, demonstrating how these techniques can revolutionize trading strategies. Whether you are a novice stepping into the world of finance or a seasoned practitioner seeking to enhance your expertise, this text delivers essential insights and tools to thrive in the dynamic realm of modern financial markets.
Book Synopsis 'Algorithmic Trading and Its Implications on Capital Markets' by : Sriram Kannan
Download or read book 'Algorithmic Trading and Its Implications on Capital Markets' written by Sriram Kannan and published by . This book was released on 2016 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Algorithmic trading is generally defined as using computer-generated algorithms to create and execute orders on marketplaces. Recently, such algo-trading strategies are increasingly being associated with the negative impact on capital markets - both from a technological as well as a business perspective. However, there are positive effects of algorithmic trading too - such as increased liquidity and the elimination of market inefficiencies - that far outweigh the potential negative effects. Regardless of this, algo-trading has seen increasing popularity and acceptance on most of the major global markets, demanding well thought-out strategies that actually help traders and investors make more than a reasonable return on their investments. Objective of this paper is to:a) Categorize the types of algorithmic trading and describe their implications for capital markets.b) Describe how to accommodate algorithmic trading in markets, while minimizing potentialadverse effects. Discuss technology options and architectures to realize the same.c) Describe the use of special-purpose orders in the context of algorithmic trading.
Book Synopsis Machine Learning for Algorithmic Trading by : Stefan Jansen
Download or read book Machine Learning for Algorithmic Trading written by Stefan Jansen and published by Packt Publishing Ltd. This book was released on 2020-07-31 with total page 822 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leverage machine learning to design and back-test automated trading strategies for real-world markets using pandas, TA-Lib, scikit-learn, LightGBM, SpaCy, Gensim, TensorFlow 2, Zipline, backtrader, Alphalens, and pyfolio. Purchase of the print or Kindle book includes a free eBook in the PDF format. Key FeaturesDesign, train, and evaluate machine learning algorithms that underpin automated trading strategiesCreate a research and strategy development process to apply predictive modeling to trading decisionsLeverage NLP and deep learning to extract tradeable signals from market and alternative dataBook Description The explosive growth of digital data has boosted the demand for expertise in trading strategies that use machine learning (ML). This revised and expanded second edition enables you to build and evaluate sophisticated supervised, unsupervised, and reinforcement learning models. This book introduces end-to-end machine learning for the trading workflow, from the idea and feature engineering to model optimization, strategy design, and backtesting. It illustrates this by using examples ranging from linear models and tree-based ensembles to deep-learning techniques from cutting edge research. This edition shows how to work with market, fundamental, and alternative data, such as tick data, minute and daily bars, SEC filings, earnings call transcripts, financial news, or satellite images to generate tradeable signals. It illustrates how to engineer financial features or alpha factors that enable an ML model to predict returns from price data for US and international stocks and ETFs. It also shows how to assess the signal content of new features using Alphalens and SHAP values and includes a new appendix with over one hundred alpha factor examples. By the end, you will be proficient in translating ML model predictions into a trading strategy that operates at daily or intraday horizons, and in evaluating its performance. What you will learnLeverage market, fundamental, and alternative text and image dataResearch and evaluate alpha factors using statistics, Alphalens, and SHAP valuesImplement machine learning techniques to solve investment and trading problemsBacktest and evaluate trading strategies based on machine learning using Zipline and BacktraderOptimize portfolio risk and performance analysis using pandas, NumPy, and pyfolioCreate a pairs trading strategy based on cointegration for US equities and ETFsTrain a gradient boosting model to predict intraday returns using AlgoSeek's high-quality trades and quotes dataWho this book is for If you are a data analyst, data scientist, Python developer, investment analyst, or portfolio manager interested in getting hands-on machine learning knowledge for trading, this book is for you. This book is for you if you want to learn how to extract value from a diverse set of data sources using machine learning to design your own systematic trading strategies. Some understanding of Python and machine learning techniques is required.
Book Synopsis Advanced Time Series Data Analysis by : I. Gusti Ngurah Agung
Download or read book Advanced Time Series Data Analysis written by I. Gusti Ngurah Agung and published by John Wiley & Sons. This book was released on 2019-03-18 with total page 538 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduces the latest developments in forecasting in advanced quantitative data analysis This book presents advanced univariate multiple regressions, which can directly be used to forecast their dependent variables, evaluate their in-sample forecast values, and compute forecast values beyond the sample period. Various alternative multiple regressions models are presented based on a single time series, bivariate, and triple time-series, which are developed by taking into account specific growth patterns of each dependent variables, starting with the simplest model up to the most advanced model. Graphs of the observed scores and the forecast evaluation of each of the models are offered to show the worst and the best forecast models among each set of the models of a specific independent variable. Advanced Time Series Data Analysis: Forecasting Using EViews provides readers with a number of modern, advanced forecast models not featured in any other book. They include various interaction models, models with alternative trends (including the models with heterogeneous trends), and complete heterogeneous models for monthly time series, quarterly time series, and annually time series. Each of the models can be applied by all quantitative researchers. Presents models that are all classroom tested Contains real-life data samples Contains over 350 equation specifications of various time series models Contains over 200 illustrative examples with special notes and comments Applicable for time series data of all quantitative studies Advanced Time Series Data Analysis: Forecasting Using EViews will appeal to researchers and practitioners in forecasting models, as well as those studying quantitative data analysis. It is suitable for those wishing to obtain a better knowledge and understanding on forecasting, specifically the uncertainty of forecast values.
Book Synopsis Earnings Quality by : Jennifer Francis
Download or read book Earnings Quality written by Jennifer Francis and published by Now Publishers Inc. This book was released on 2008 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: This review lays out a research perspective on earnings quality. We provide an overview of alternative definitions and measures of earnings quality and a discussion of research design choices encountered in earnings quality research. Throughout, we focus on a capital markets setting, as opposed, for example, to a contracting or stewardship setting. Our reason for this choice stems from the view that the capital market uses of accounting information are fundamental, in the sense of providing a basis for other uses, such as stewardship. Because resource allocations are ex ante decisions while contracting/stewardship assessments are ex post evaluations of outcomes, evidence on whether, how and to what degree earnings quality influences capital market resource allocation decisions is fundamental to understanding why and how accounting matters to investors and others, including those charged with stewardship responsibilities. Demonstrating a link between earnings quality and, for example, the costs of equity and debt capital implies a basic economic role in capital allocation decisions for accounting information; this role has only recently been documented in the accounting literature. We focus on how the precision of financial information in capturing one or more underlying valuation-relevant constructs affects the assessment and use of that information by capital market participants. We emphasize that the choice of constructs to be measured is typically contextual. Our main focus is on the precision of earnings, which we view as a summary indicator of the overall quality of financial reporting. Our intent in discussing research that evaluates the capital market effects of earnings quality is both to stimulate further research in this area and to encourage research on related topics, including, for example, the role of earnings quality in contracting and stewardship.
Book Synopsis Corporate Social Responsibility – Sustainable Business by : Rae Lindsay
Download or read book Corporate Social Responsibility – Sustainable Business written by Rae Lindsay and published by Kluwer Law International B.V.. This book was released on 2020-06-17 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a dramatic departure from its voluntary origins, corporate social responsibility (CSR) is rapidly shifting to hold multinational companies accountable for more than traditional shareholder performance. This CSR movement is embracing new environmental, social and governance (ESG) frameworks that both promote global sustainability goals and enhance accountability for negative impacts businesses can have on ‘planet and people’. This collection of essays by leading businesspeople, international civil servants, legal practitioners, academics, and other experts offers a forward-looking and pragmatic perspective that illuminates the major themes in this movement towards increasingly sustainable, transparent and accountable business practices. The collection shows how CSR has evolved to account for societal pressures, environmental, climate change and human rights impacts, international policy imperatives and the practical challenges of regulating commercial activity that transcends borders. The chapters offer an in-depth examination of current issues including: international frameworks and multistakeholder initiatives catalysing foundational change; the shifting emphasis on corporate imperatives to avoid harm to third parties; trends in CSR, focused on assuring the planet's future sustainability and social stability; regulatory initiatives around the globe, including Europe, North America, Asia and Africa; and extended accountability for activities of corporate group members and supply chains. The pressure and business case for companies to incorporate CSR into corporate governance is intensifying with each quarter, shareholder meeting, and regulatory agenda. The integration of CSR and new ESG frameworks into multinational corporate strategy and operations is key to sustainable business models that can generate long-term value for the organization and all stakeholders. Their acceptance as cornerstones of 21st century business practice appears inevitable. Taking full account of the imperative for companies and their lawyers to grapple with the practical and legal challenges in this area, this volume is an invaluable and pragmatic addition to the practitioners’ toolbox at this important juncture in an ever-more dynamic field.
Book Synopsis Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2009-08 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Cybermetric Techniques to Evaluate Organizations Using Web-Based Data by : Enrique Orduna-Malea
Download or read book Cybermetric Techniques to Evaluate Organizations Using Web-Based Data written by Enrique Orduna-Malea and published by Chandos Publishing. This book was released on 2017-08-23 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cybermetric Techniques to Evaluate Organizations Using Web-Based Data proposes a complete and multifaceted analysis model, integrating quantitative and qualitative measures (extracted from web usability, SEO and design interaction metrics and evaluations) with a purpose of finding potential correlations. It also includes metrics from new social media platforms, metrics related to the interaction among companies, impact filtering according to different entity categories, innovation and scientific activities and media presence. This model is then applied to test feasibility and accuracy. Different statistical methods and tests are also applied to guide data gathering and analysis. - Proposes a new model aimed at measuring performance of private companies on the web, combining quantitative and qualitative techniques - Applies an empirical model to different environments (scientific, professional, innovation and media), providing new and original data not found elsewhere - Demonstrates both the advantages and risks of using indicators - Introduces solid statistical techniques for web data analysis - Presents a whole picture for measuring the web performance of technology companies through web metrics
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).
Book Synopsis ECIAIR 2022 4th European Conference on the Impact of Artificial Intelligence and Robotics by : Paul Griffiths
Download or read book ECIAIR 2022 4th European Conference on the Impact of Artificial Intelligence and Robotics written by Paul Griffiths and published by Academic Conferences and publishing limited. This book was released on 2022-12-01 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Corporate Finance Law by : Louise Gullifer
Download or read book Corporate Finance Law written by Louise Gullifer and published by Bloomsbury Publishing. This book was released on 2020-03-19 with total page 1000 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third edition of this acclaimed book continues to provide a discussion of key theoretical and policy issues in corporate finance law. It has been fully updated to reflect developments in the law and the markets. One of the book's distinctive features is its equal coverage of both the equity and debt sides of corporate finance law, and it seeks, where possible, to compare and contrast the two. This book covers a broad range of topics regarding the debt and equity-raising choices of companies of all sizes, from SMEs to the largest publicly traded enterprises, and the mechanisms by which those providing capital are protected. Each chapter provides a critical analysis of the present law to enable the reader to understand the difficulties, risks and tensions in this area, and the attempts by the legislature, regulators and the courts, as well as the parties involved, to deal with them. The book will be of interest to practitioners, academics and students engaged in the practice and study of corporate finance law.
