# Tag Info

13

Here's a few. The categories are not mutually exclusive (e.g. since most investment advisors are obviously affected by tax and short-selling). Investment advisors Investment Advisers Act of 1940 Investment Company Act of 1940 SIPA of 1970 ERISA of 1974 JOBS Act of 2012 Europe Criminal Justice Act 1993 Financial Services Act 1986 Financial Services Act ...

6

As Alex C. notes, OHLC bars are meant to be calculated using transaction ticks. However, you could try to make bars from bid/ask individually (or perhaps even the mean of the two as an approximation), but bear in mind that they are not the 'real thing'. But assuming you acquire transaction data, there are a number of possible methods for forming OHLC bars (...

5

The trend of convergence is also due to arbitrageurs. Prior to maturity, when the spot is higher than futures, arbitrageurs would short the underlying asset and long futures contracts. This in effect reduces the spot price due to increase in supply while raising the futures price due to increase in demand.

5

"I need to get an algo or a formula to determine to right quantity to trade each time I place the pair (limit_buy_order, limit_sell_order)." Actually, you need a formula for determination of the optimal prices, not quantities. For example, if the market goes down and you have long positions in inventory, you should reduce ask price to attract more buy ...

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Let’s start with a forward contract on some asset $S_t$ with no carry. There, it is obvious that at any point in time $F_t = \mathbb{E}^{Q_t}[S_T] = S_t e^{r(T-t)}$. You can see that $F_t/S_t = e^{r(T-t)} \to 1$ as $t \to T$. If you have a future contract, then you have to start thinking about margin requirements and the possibility that the daily risk-free ...

4

The short answer: many factors. The following are some key ones: Reported Trades - Stocks are quoted "bid" and "ask" rates. These are the traders setting their prices much similar to a local farmers market trading their produce. Volume - number of shares traded. Price trend - When the bid volume is higher than the ask volume, the selling is stronger, and ...

3

Asian options are more common in the FX market where corporate hedgers are concerned with the average exchange rate that affects regular streams of foreign denominated revenue. Bermudan exercise is most common for interest rate swaptions. They provide flexibility in choosing when to exercise for cancelling a swap without the added cost of an unnecessary ...

3

Preliminary The main result of the Fama-MacBeth procedure is to calculate standard errors that correct for cross-sectional correlation in a panel. It is a commonly used method due to it's easily approach, and with regards to the time it was developed (1973), modern techniques like clustered robust standard errors were not yet invented. In this context, it ...

3

https://quant.stackexchange.com/a/41173 sell market orders: 'FILL ASK' (execute outstanding order in full), 'EXECUTE ASK' (execute outstanding order in part), 'TRADE ASK' (execute non-displayed order) buy market orders: 'FILL BID', 'EXECUTE BID', 'TRADE BID' bid order cancellation: 'DELETE BID' (delete outstanding order in full), 'CANCEL BID' (cancel ...

3

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It depends on your knowledge and skills. Any book that attempts to cover a wide range of financial product is most likely not very technical. You should choose a book that suits your purpose. For example, if you're interested in interest rates modelling, you should consider something like Interest Rate Models - Theory and Practice: With Smile, Inflation and ...

3

Your best shot is really to get WRDS. If you get access you can replicate their research in few minutes (there is SAS code out there). It's unlikely that you will be given the data for free. That data is actually expensive. That being said, any university with an econ of finance department has access to that data and gives it to students for free. So if you ...

2

all (STIR) short term interest rate futures are cash settled [see comment, STIR in this context is -IBOR futures which are the most common in the largest markets] If a party sells 5 contracts at a price of 98.50, and at settlement the EDSP (exchange delivery settlement price) (which is derived from 3M US LIBOR) is, say, 98.40 then the bank has made a profit ...

2

To add to dm63's answer, I think there are a few reasons - It's worth asking about why a cross-currency basis spread exists in the first place. The standard explanation is demand from (for example) Japanese corporates to issue fixed-rate debt in the US, where rates are generally higher, and swap the payments back into JPY with a cross-currency basis swap. ...

2

Try the Bloomberg API: https://www.bloomberg.com/markets/chart/data/1D/IQQF:GR https://www.bloomberg.com/markets/chart/data/1D/EXW1:QT https://www.bloomberg.com/markets/chart/data/1D/IQQL:GR https://www.bloomberg.com/markets/chart/data/1D/EXS1:TH https://www.bloomberg.com/markets/chart/data/1D/LSXR8:GR or try download it manually via: https://www....

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The stock market in Tunisia seems to have gone up during 2008, however one would have to take into account about 5% of inflation.

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You could always look at published recession indicators, such as the one below. https://fred.stlouisfed.org/series/USREC

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What can be path-dependent is the payoff. The characteristic European, American etc. refers to the moment when to use the optionality. In that moment you will receive a payoff. That payoff can be path-dependent, i.e. depend on previous values of the spot prices (see asian options for instance).

2

On the Monte-Carlo Simulation of the Hull-White Model: You can find the specification of the Euler Scheme simulation in https://ssrn.com/abstract=2737091 . The paper gives the exact Euler step, i.e. the simulation step does not have a simulation time discretisation error. An implementation of this in Java is available as part of http://finmath.net/finmath-...

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1) the latter one. r is modeled short rate (specific to hull white 1 & 2). 2) r is calculated by solving the SDE of the above mentioned model. You can refer to this document for detailed analytical solutions.

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When the required conditions are fulfilled ( a storeable commodity, an observable spot price, no "convenience yield") the cost of carry model determines the futures price by arbitrage. Otherwise, to my knowledge, there is no alternative model. The futures price will just be the market's expectation (possibly plus or minus a risk premium) of what the ...

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This is what flow derivatives desks call the "Gamma Hammer" (in the morning huddle) or "pin risk" (more formally). In the run-up to quarterly expiry, imagine that the dealers as a group have a net gamma position versus the market (ie their clients), who have to be running the opposite gamma position. Across the market, there is no net gamma position. There ...

1

Stocks are usually traded by (one or more) Market Maker(s), who stand ready to sell to you at a price $s_a$ or buy from you at a price $s_b$. Since $s_a>s_b$ they make a profit if the price does not change. However, they also own stock themselves (between the time you sell it to them and someone else buys it from them). They have to manage this "inventory"...

1

The most common example of financial instruments with "infinite" lifetime are perpetual bonds (Wikipedia has details here). Perpetual bonds do not have a contractual end date, but recent versions of these bonds are almost always callable. This means that the issuer has the right at certain points in the future to redeem the bond. A callable bond whilst ...

1

As the author suggested you need an upper limit $X$ on the dollar value of the inventory you are willing to hold. This depends on the amount of capital that you are willing to employ in the market-making business. (If the limit is reached market-makers take strong action, even market orders, to reduce the inventory. This could cause significant loss). The ...

1

Given your data, you have absolutely no way of determining the right order size. Just assume, that you place 100 shares on each side (or 1 share if it makes your calculations simpler). If you want to compare different market-making strategies, just assume, the same risk/position for each strategy.

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He meant the following: Market makers (MMs) seek to make money by simultaneously selling high and buying low. The risk they run is that those trades are not simultaneous, instead there is an intermittent period between buy and sell when the market may move adversely for the MM, impacting overall profits. If the mid market price of some marketable ...

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The most authoritative source for those questions is the following book: Expected Returns: An Investor's Guide to Harvesting Market Rewards by Antti Ilmanen You can find a free shortened (but still exhaustive) version here: Ilmanen, Antti, Expected Returns on Major Asset Classes (June 1, 2012). CFA Institute Research Foundation 2012 - 1. Available at SSRN:...

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Buying or selling a CFD only indirectly affects the underlying assets’s price through the CFD issuer’s hedging activity. The feedback effect is not deterministic and unlikely to be noticeable for relatively small trades. The CFD represents a claim against the issuer who usually pools the resulting exposures up to a certain extend instead of directly hedging ...

1

To give a short answer , it is very simple. Market participants cannot actually borrow and lend freely at USD Libor or Euribor. Hence the basis swap cannot easily be arbitraged away.

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