PX is often used as an abbreviation for price in Bloomberg.
Fields prefixed with PX are generally static fields: the value is requested only once and is based on whatever information is available when you send that request. On the other hand, real time fields keep sending new data as it becomes evailable.
As an example: PX_LAST is the last price as of when ...
I found this solid overview of different trading algorithms by Deutsche Bank Research:
Trade execution algorithms
Designed to minimise the price impact of executing trades of large
volumes by ‘shredding’ orders into smaller parcels and slowly
releasing these into the market.
Strategy implementation algorithms
Designed to read real-time market data and ...
Joseph de la Vega wrote Confusion of Confusions in 1688, probably the World's first descriptive text on stock market processes and volatility.
I'm not sure that this is why Vega is thus named, but I like to think it's in his honour.
A "flickering" order is one which is repeatedly submitted and cancelled (whether it's at the top of book or not).
The answer from @chollida mentions that "the goal typically is to either slow down competitors quotes by flooding the gateway interface with noise" but I don't think that's necessarily true.
Rather, I think many flickering quotes are caused by ...
You have 2 contracts AUD/USD and USD/AUD, one is to buy AUD with USD, the other is buying USD with AUD.
The currency itself is an asset, however the use of the word pair could be misleading since you do not buy the pair. So, the word financial asset could be used in reference to buying AUD with USD in the same way as buying APPL with USD.
Maybe this ...
Generally, "hedging" is the term most commonly used in practice $-$ i.e. at trading desks, etc. $-$ for "replication" (of a derivative), while "replication" is more commonly used in academic papers. A third term, used less often than the previous two, is "synthesizing" (my impression is that "synthesizing" is normally used when a traded, simple derivative is ...
It is whatever you want to call it. I'll give a few ideas.
A term you might be looking for is a "spread", especially a "synthetic spread". This generalizes any combination of products that itself isn't directly traded on the market, but may or may not be related to a product that is traded.
If you have an arbitrage position whose profit can be locked in by ...
Financial mathematics (or Mathematical finance) is obviously clearly quantitatively oriented.
Risk theory can be quantitatively oriented but can also be broader in the sense of qualitative characteristics, see e.g. risk management or as an example for a more qualitatively oriented approach operational risk.
Another difference is that financial mathematics ...
I have found a very nice discussion on the difference between the risk theory and the finance in Stochastic Processes in Insurance and Finance by P. Embrechts et al. - namely, section 4.1 discusses the methodological difference between the fields which I hope nicely adds to the
answer of vonjd.
Although being short, I think it better fits the answer rather ...
The broker algorithms or the trading algorithms are designed to the optimal execution of large amounts of stocks with different benchmarks (e.g. VWAP, PoV, Implementation Shortfall or Slippage, Price Inline, TWAP, DWAP, etc.). These algorithms sometimes uses statistical methods and market microstructure analysis (to analyse spreads, volume, seasonality, ...
It depends on what the LPA stipulates. I worked in PE for couple of years and we would title the cash flow waterfall as "Cash-flow waterfall" and then name each component accordingly (e.g. Total released cashflow, investors cashflow up to subscribed capital, Investors up to hurdle, Mangt Company up to catch-up, etc.)
Yes, 42.520bp means its the spread of the CDS.
The lower the CDS, the lower the premium of the sovereign entity and the less likely it will default.
This is overly simplistic but gives you a sense of where the CDS comes from:
Expected Loss = Probability of Default * (1 - Recovery Rate) * Default Exposure.
The expected loss is the CDS premium you have to ...
I learned that I can contact Bloomberg Help Desk and got an answer from there: YAS_RISK is DV01/100, where DV01 is the dollar price change resulting from a one-basis-point change in yield.
YAS_RISK is given in the currency of the bond, because DV01/100 is a percentage of the face value, and the face value is given in the currency of the bond.
I think it might be helpful to give an example here. So lets say you would want to estimate your PnL for a bond using the yield change and use YAS_RISK to retrieve your DV01 for a specific nominal.
Assuming nominal of 1,000,000
Yield change: Lets use a realtime field for yield change RT_YLD_CHG_NET_1D This is in percentage
To get the DV01 for your nominal ...
A currency can never be an asset! If it were, its value ought to appreciate with the risk free rate of return in a risk-neutral world. It does not, as it is obviously the case for the domestic currency of which the value stays constant.
Many people confuse the currency with the Bank Account, which is indeed an asset. They are not the same though. And ...
I couldn't find the paper linked but typically "flickering" an order, is a special case of quote stuffing where the trader either puts out and cancels an order as fast as they can or CFO/modifies an order up and down by a penny when it is outside of the top of book quote.
The goal typically is to either slow down competitors quotes by flooding the gateway ...
Receiving outright simply means receiving the fixed rate versus LIBOR on the 6 month forward starting 2 year swap. The term 'outright' is unnecessary here - it is probably being used to compare with a potential strategy of receiving the fixed on a 6 month forward starting 2yr swap versus paying fixed on a spot starting 2yr swap.
A specific option is generally defined as follows and in the following order:
Exchange/ Trading Class
Whether an Option is European or American generally follows from the above but you can still include a field/property to explicitly mention it.
But for the purpose of this discussion you should not denote whether an ...