6

Let me try to answer. I have worked at an Algo-trading firm that trades equities and have seen how trades are executed at the order book level. Let's say the price of the stock is 100 (last traded price). Let's say the order book is as follows: Bids: Bid1 = 99 (size = 10,000), Bid2 = 98 (size = 20,000), Bid3 = 97 (size = 25,000), Bid4 = 96 (size = 30,000), ...


5

A vanilla Interest Rate Swap (IRS) normally refers a swap between a fixed rate and a floating rate. Floating rate being a single fixing for each accrual period and payment. An overnight indexed swap will have the daily overnight index compounded throughout the accrual period.


3

The concept is similar, but the mechanics are slightly different. Making a quarterly payment based on 3-month Libor is fine, but making daily payments of the overnight rate is inconvenient (too much work in the back-office making and checking the payments), so a single payment is made at maturity (or on the annual anniversary of the swap's inception), based ...


2

I’m by no means an “expert”, though I’ve spent a fair amount of time studying this and writing quant software. There are three important starting places to study this question, in this order: 1 dark pools ( see https://squeezemetrics.com/monitor/dix ) 40% to 60% of large trades are now done in dark pools. 2 the “closing auction” at 4pm 3 the “on balance ...


1

Read the Rise of Carry. It'll give a very original and in my opinion correct perspective of what's happened in market and economies in the past 20 years. It will be nothing like an economics book and more a book grounder on the realities of market structure, central banks, and participant incentives. https://www.amazon.com/Rise-Carry-Consequences-Volatility-...


1

It depends on which form of EMH you're considering as to provide a rationale. Strong-form EMH could or would assert there's private information potentially changing hands that agents are acting on to cause the price movement. Semi-strong form EMH would suggest all available public info (eg, the news you reference WRT IBM) is immediately incorporated ...


1

You‘re right. The "true price" should only jump when news arrives but in practice, market participants need time to arrive at a new equilibrium, i.e. the market needs some time until it is clear how the news affects the price. Therefore, you see more adjustments taking place and more trading after arriving news. The description above gives some reasoning ...


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