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GARCH-MIDAS model for forecasting volatility?

I had a problem when I just estimated the GARCH-MIDAS model on Eviews: I found only the MIDAS model. Can I estimate the GARCH(1,1) model and MIDAS separately, and then multiply them to have GARCH-...
JOUD's user avatar
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1 answer
78 views

Exchange redirecting order

I was reading about exchange to understand better how they execute my market-orders. So let's say I am sending a market order to buy one share of AAPL to NYSE. When NYSE gets my order he looks at the ...
missing_name's user avatar
1 vote
0 answers
24 views

Open interest when closing out a position [duplicate]

According to CME's definition of Open Interest, if Trader A is long 3 contracts, and decides to sell 1, then the open interest decreases by 1. What I don't understand: if Trader A sells their contract,...
Will's user avatar
  • 111
1 vote
0 answers
76 views

Purpose of equity listing?

I have a simple question on US stock market: what is the purpose of listing a stock to a specific exchange given that it can be traded on multiple exchanges? For example, apple stock (AAPL) is listed ...
beginner's user avatar
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0 answers
42 views

What happened when market status change from pre-market trading hours to standard trading hours?

Now we can place orders in pre-market trading hours, from 4 am to 9:30 am. And then we go into standard trading hours, 9:30 am to 4:30 pm. But I wonder then when will the Market Order Auction happen? ...
Parting's user avatar
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1 vote
0 answers
39 views

Foreign equity call struck in domestic currency

I'm trying to get a solution for the foreign equity call struck in domestic currency, where the foreign equity in domestic currency is defined as $S=S^fX^\phi$ with $0<\phi<1$, instead of the ...
user67642's user avatar
0 votes
1 answer
68 views

Any crypto exchanges with one-cancel-others order type?

I have an Interactive Broker account to trade regular stocks. They have a One Cancel Others order type that allows me to put both a stop loss (SL) and take profit (TP) order on a single position. Is ...
Jimmy Chu's user avatar
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1 vote
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50 views

What does it mean to cancel a NYSE OPG LIM order after open? Does the NYSE open auction not happen in an instant?

I've just placed a LIM OPG order for a NYSE-listed stock, waited until 09:31, and seeing it did not fill, I requested to cancel it (via the API) and, to my surprise, it was successfully canceled. But ...
Gabi's user avatar
  • 131
0 votes
1 answer
88 views

Relationship between order size and spread for direct market order

Suppose that I am placing a market order directly in the order book of an exchange. For market orders, it seems quite clear that larger orders obtain larger spreads due to the fact that - without loss ...
David's user avatar
  • 103
0 votes
1 answer
431 views

Complete formula for calculating forex pip value for XAUUSD with account funded in euros

I'm currently developping forex robot using Python API for Metatrader 5. Among different things, this robot places trades given by external signals (with price, SL and TP). I use euro funded account, ...
nbonniot's user avatar
  • 101
5 votes
2 answers
1k views

Dynamics of FX rate

I've see a couple of places where a FX rate, denoted $X$, such as EURUSD (quoted as "the number of USD needed to buy 1 EUR") is modeled with a diffusion process / Geometric Brownian Motion ...
Landscape's user avatar
  • 548
1 vote
2 answers
1k views

For options on futures why is there no discounting?

Apparently for options on futures there's no discounting. Why is that, how do we demonstrate that, and , I would have thought the rate of interest the exchange pays you on your margin would have ...
Randor's user avatar
  • 796
2 votes
1 answer
155 views

Why a company can have one stock on NASDAQ and one stock on OTC?

ATRO is traded on NASDAQ. https://finance.yahoo.com/quote/ATRO ATROB is traded on OTC. https://finance.yahoo.com/quote/ATROB I don't understand why a company has one stock on NASDAQ and one stock on ...
user11980328's user avatar
1 vote
1 answer
290 views

Exchange vs Order-Driven vs Quote -Driven

I have never understood the implications of a quote or order-driven market. When I look up securities on google in a way to see their prices, is that price the price of the exchange? the price of a ...
Mining's user avatar
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0 answers
118 views

Why do we need a brokerage?

I understand that there exist direct stock plans that allow you to buy shares directly from a company. However, these have obvious and large downsides, so we can disregard them. Furthermore, I am not ...
cc88's user avatar
  • 75
0 votes
1 answer
107 views

Do IOC Orders Stay on the Order Book for Any Period of Time

I'm confused on whether or not an IOC (Immediate Or Cancel) order will stay on the order book for any period of time. For example, if I place an IOC buy limit order at \$1.00 and the ask price is $1....
Bob Marshall's user avatar
6 votes
1 answer
478 views

Is publication of Black-Scholes in 1973 and founding of CBEO in 1973 coincidental?

Apparently, CBOE was founded in 1973 and opened on 1st January that year (source = Google), to start trading listed options. The famous Black-Scholes paper was published also in 1973. I am wondering ...
Jan Stuller's user avatar
  • 6,118
4 votes
0 answers
151 views

Why exchange basis exist in swaps

For example, swaps traded in CME versus LCH are quoted with slight difference? how do we decide the theoretical boundary of the basis ? what factors need to be consider? I think the principal to ...
Peaceful's user avatar
  • 734
1 vote
0 answers
68 views

What types of messaging middleware solutions are used by the biggest exchanges like Nasdaq, NYSE, ICE, NYMEX, Japan Exchange Group, Euronext, etc?

Exchanges are famous for having to deal with a huge amount of messages. For example, some years (decades?) ago Nasdaq has migrated their reliable UDP protocol from 32-bit, which could support sequence ...
Richard Brason's user avatar
-1 votes
1 answer
1k views

Exchange code used by Yahoo Finance

I see the following code in the exchange column of the lookup page. https://finance.yahoo.com/lookup/ Example tickers are in the parentheses. ASE (ZOM) * BTS (CBOE) * NCM (ZYXI) NGM (ZYNE) NMS (ZY) ...
user1424739's user avatar
3 votes
2 answers
882 views

How to price the FX forward contract under stochastic interest rates?

Imagine that space Z is exposed to the FX risk (i.e., currency exchange rate risk ), and we aim to provide a hedging solution for that. One choice is to consider a currency-forward contract. I wonder ...
user53249's user avatar
  • 419
4 votes
1 answer
393 views

Ensuring market order creation idempotency

I am trying to find a way of placing market orders on crypto exchanges in an idempotent way. Specifically, I want to ensure that retrying the same request does not cause another order to be placed. ...
Vladimirs's user avatar
  • 141
1 vote
2 answers
204 views

Can you perform covered interest arbitrage when the forward rate is too low?

In covered interest arbitrage, if the forward rate is too high, you can (i) exchange domestic for foreign currency today (ii) invest at the foreign deposit rate (iii) exchange back to the domestic ...
Ethan S's user avatar
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0 votes
0 answers
25 views

GET REAL TIME CURRENCY EXCHANGE RATE [duplicate]

I need to get currency exchange rates in real time, every seconds. On websites or when using APIs, the rates are only updated every minutes, or every 30s... Is there any way I can get these datas, ...
Xenon Power's user avatar
0 votes
1 answer
212 views

To what degree is volume correlated with price impact?

There is question from 2017 here but the answer given doesn't really go into any detail. How correlated is volume with price impact? Especially with regard to wash trading; For example, wash trading ...
Dylan Kerler's user avatar
5 votes
1 answer
2k views

Using market microstructure and exchange-specific knowledge to design trading strategies

I stumbled upon this job offer for Microstructure Performance Researcher and I didn't understand the parts below. (https://www.optiver.com/working-at-optiver/career-opportunities/2551339/) The parts ...
dr_1993's user avatar
  • 88
0 votes
1 answer
252 views

When will a stock exchange suspend trading because of a short squeeze?

I don't completely understand why the NYSE suspended Piggly Wiggly Co., because I don't think the NYSE suspends stocks for short sellign in general? I boldened the key sentence below. Will the NYSE do ...
user avatar
0 votes
3 answers
622 views

How to track dates when new strikes are added to option chain for any underlying

I believe exchanges try to maintain some range of ITM/ATM/OTM issues for a particular underlying/expiry pair. Eg minimum 5-1-5 to maximum 10-1-10, so there are atleast 5 OTM issues and maximum 10 OTM ...
Thedudeabides's user avatar
2 votes
2 answers
229 views

What's the difference between a stock trading on an exchange and a stock being listed on an exchange?

As I recently learnt, all U.S. stocks are part of either Tape A, Tape B or C. Stocks listed on the NYSE are on Tape A, NASDAQ-listed stocks are on Tape C and everything else is on Tape B. Of course, ...
Myggen--'s user avatar
2 votes
1 answer
389 views

D-Limit and Crumbling Quote Indicator

I've been following the development of the D-Limit order at IEX for some time. In the last couple of days I see the SEC has been sued by Citadel Securities for approving this order type. Can anyone ...
StackG's user avatar
  • 3,036
0 votes
1 answer
305 views

How Crypto Exchanges handle overlapping orders when self trading is disabled?

I am unsure how a typical "matching engine" handles overlapping orders (in my case, Deribit). I would be just as interested in how any crypto exchange handles the situation. The user has ...
WhySoDifficult's user avatar
3 votes
1 answer
253 views

What would be the point of Roll (1984) on measuring the effective bid-ask spread?

If you look at the original paper of Roll (1984), he explains that part of the transaction costs borne out by investors would be the bid-ask spread and that it was "fraught with measurement ...
Stéphane's user avatar
  • 2,476
1 vote
2 answers
259 views

Exchangeability of random vector

I hope you can help me with this rather basic question that I asked myself. A random vector $(X_1,...,X_n)$ is said to be exchangeable if it has the same distribution as the permuted random vector $(...
Wombat's user avatar
  • 181
1 vote
1 answer
201 views

how to model the volatility of the currency exchange rate

I want to estimate/predict the volatility of the currency exchange rate. I have checked in literature a few models from very simple PPP to econometric factor model forecasting, to GARCH (for ...
Luigi87's user avatar
  • 326
3 votes
1 answer
1k views

Where can one get data concerning ETF holdings and changes in their holdings?

I am trying to write my masters thesis in finance and my topic will be ETF related. I wanted to ask whether it is possible to find data for an empirical analysis for my thesis. I have been searching ...
AugusteDupin's user avatar
5 votes
3 answers
174 views

Volatility of Exchange Option

I got a question and its partial solution, and have some doubts about the volatility of its geometric Brownian motion process: Question: How would you price an exchange call option that pays $max(S_{...
M00000001's user avatar
  • 647
0 votes
1 answer
79 views

What does volume dimension means?

In an exchange documentation, I see a definition for Volume Dimension parameter, Volume dimension: Shares are normally traded in Quantity, bonds in Nominal. Ok I can understand quantity but what ...
xyzt's user avatar
  • 341
1 vote
0 answers
86 views

CME Futures used in building LCH USD swap curve

To build a LCH swap curves, common benchmarks include cash rates, euro dollar futures and swaps. However, the euro dollar futures only exist in CME. So when you use euro dollar futures (only exist in ...
Peaceful's user avatar
  • 734
0 votes
1 answer
92 views

Why does an exchange (IEX) need connection to other exchanges (like information about average prices)?

I have read "flash boys". The author describes how the Royal Bank of Canada uses THOR and an own SIP against certain practices of flash traders. I understand why a bank or a broker can make beneficial ...
tillmo's user avatar
  • 103
0 votes
0 answers
56 views

API for Stock Exchange and their Indexes data like Bloomberg [duplicate]

Actually I am looking for an API for stock exchange and their indexes data, And want to show data like this https://www.bloomberg.com/markets/stocks I searched various API provider, like ...
HarisH Sharma's user avatar
1 vote
0 answers
150 views

Does EFP (Exchange Futures for Physical) Involves Cash Exchange?

I am new to the concept of Exchange Futures for Physical (EFP). According to some sources (link), An Exchange for Physical (EFP) is a transaction involving the simultaneous exchange between two ...
yalex314's user avatar
4 votes
3 answers
188 views

Would it be fair an exchange where priority in the order book is the fee paid per share in the order?

Instead of matching orders in the order book by price then time, what are the consequences if orders are prioritised by price then fee paid per share in the order? An idea similar to the way ...
Afe's user avatar
  • 141
1 vote
1 answer
92 views

Do option contracts inherit the currency and exchange of the underlying?

Given an underlying (e.g. future or an index), would options on that underlying trade in the same currency and on the same exchange? For example, options on FTSE100 index itself would trade in GBP on ...
s5s's user avatar
  • 442
0 votes
1 answer
415 views

How does an exchange guarantee both legs of a calendar spread are executed atomically to give a specific spread?

In commodities/oil you have monthly contracts for a given Future, e.g. on CME the Crude Oil Futures (CL) monthly contracts can be trades, and have Globex codes such as CLZ8(Crude Oil Dec18 Future), ...
MajorInc's user avatar
  • 138
0 votes
1 answer
93 views

Is there any literature on how stock exchanges guarantee consistency?

How do we know that artificial shares of some stock aren't created (perhaps going untracked) on exchanges. After all being man made digital systems they are prone to errors. An example: Suppose a ...
Sidharth Ghoshal's user avatar
1 vote
1 answer
106 views

QQQ fillings history

I'm trying to find Invesco QQQ Trust fillings for 2001-2018 time period, at least top 10 by year, do you know where I should search?
Andrew's user avatar
  • 85
4 votes
1 answer
10k views

Finding ETF Symbols for alpha vantange

I'd like to use the api of https://www.alphavantage.co/ which is pretty well documented, in terms of avaliable functions (but not parameters). However, in order to get an API response, one needs to ...
Roland's user avatar
  • 141
2 votes
0 answers
17 views

Listed Company's Filing Deadline

Where could I get historical record of listed company's filing deadline that announced by SEC of Asia country & US? I could get the latest deadline from respective SEC websites, but not changes ...
YmLee's user avatar
  • 21
4 votes
2 answers
385 views

What is the priority of the waiting non-matched bets, when a match becomes available in Betfair?

Say the back price (odds) on a market is $2.5$. Then the following time sequence happens: Bettor $A$ places a back bet with price $2.6$, for $\$100$ (it will not match) Then bettor $B$ places a ...
g.pickardou's user avatar
5 votes
2 answers
189 views

Literature recommendation on extreme asset price movements

I'm looking for good papers and books covering extreme stock price movements and mathematical theories of stock market crashs.
lbf_1994's user avatar
  • 383