Circuit Breakers And Other Market Volatility Procedures
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Circuit Breakers And Other Market Volatility Procedures
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Author :
language : en
Publisher:
Release Date : 2008
Circuit Breakers And Other Market Volatility Procedures written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Market Circuit Breakers
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Author : United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Securities
language : en
Publisher:
Release Date : 1999
Market Circuit Breakers written by United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Securities and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
Circuit Breakers And Market Volatility
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Author : Avanidhar Subrahmanyam
language : en
Publisher:
Release Date : 1999
Circuit Breakers And Market Volatility written by Avanidhar Subrahmanyam and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
This paper examines ex ante effects of quot;circuit breakersquot; (mandated trading halts). We show that circuit breakers, by causing agents to suhoptimally advance trades in time, may have the perverse effect of increasing price variability and exacerbating price movements. We next consider a situation in which a circuit breaker causes trading to be halted in both a quot;dominantquot; (more liquid) and a quot;satellitequot; market. As agents switch from the dominant market to the satellite market, price variability and market liquidity decline on the dominant market and increase on the satellite market.
Coordination Of Circuit Breakers Volume Migration And Volatility Spillover In Fragmented Markets
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Author : Benjamin Clapham
language : en
Publisher:
Release Date : 2018
Coordination Of Circuit Breakers Volume Migration And Volatility Spillover In Fragmented Markets written by Benjamin Clapham and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
We study circuit breakers in a fragmented, multi-market environment and investigate whether a coordination of circuit breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions on Deutsche Boerse and research whether a volume migration and an accompanying volatility spillover to alternative venues that continue trading can be observed. Different to prevailing theoretical rationale, trading volume on alternative venues significantly decreases during circuit breakers on the main market and we do not find any evidence for volatility spillover. Moreover, we show that the market share of the main market increases sharply during a circuit breaker. Surprisingly, this is amplified with increasing levels of fragmentation. We identify high-frequency trading as a major reason for the vanishing trading activity on the alternative venues and give empirical evidence that a coordination of circuit breakers is not essential for their effectiveness as long as market participants shift to the dominant venue during market stress.
Volatility
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Author : Robert A. Schwartz
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-11-18
Volatility written by Robert A. Schwartz and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-18 with Business & Economics categories.
Volatility is very much with us in today's equity markets. Day-to-day price swings are often large and intra-day volatility elevated, especially at market openings and closings. What explains this? What does this say about the quality of our markets? Can short-period volatility be controlled by better market design and a more effective use of electronic technology? Featuring insights from an international array of prominent academics, financial markets experts, policymakers and journalists, the book addresses these and other questions concerning this timely topic. In so doing, we seek deeper knowledge of the dynamic process of price formation, and of the market structure and regulatory environment within which our markets function. The Zicklin School of Business Financial Markets Series presents the insights emerging from a sequence of conferences hosted by the Zicklin School at Baruch College for industry professionals, regulators, and scholars. Much more than historical documents, the transcripts from the conferences are edited for clarity, perspective and context; material and comments from subsequent interviews with the panelists and speakers are integrated for a complete thematic presentation. Each book is focused on a well delineated topic, but all deliver broader insights into the quality and efficiency of the U.S. equity markets and the dynamic forces changing them.
The Effect Of Single Stock Circuit Breakers On The Quality Of Fragmented Markets
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Author : Peter Gomber
language : en
Publisher:
Release Date : 2013
The Effect Of Single Stock Circuit Breakers On The Quality Of Fragmented Markets written by Peter Gomber and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Since the May 6th, 2010 flash crash in the U.S., appropriate measures ensuring safe, fair and reliable markets become more relevant from the perspective of investors and regulators. Circuit breakers in various forms are already implemented for individual markets to ensure price continuity and prevent potential market failure and crash scenarios. However, coordinated inter-market safeguards have hardly been adopted, but are considered essential in a fragmented environment to prevent situations, where main markets halt trading but stock prices continue to decline as traders migrate to satellite markets. The objective of this paper is to empirically study the impact of circuit breakers in a single-market and inter-market setup. We find a decline in market volatility after the trading halt in the home and satellite market which come at the cost of higher spreads. Moreover, the satellite market's quality and price discovery during CBs is weakened and only recovers as the other market restarts trading.
A Market Stabilization Mechanism Circuit Breaker
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Author :
language : en
Publisher:
Release Date : 2003
A Market Stabilization Mechanism Circuit Breaker written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
The term "circuit breaker" originates in electrical engineering to describe a pre-set switch that shuts down electrical activity in excess of a system's design capacity. Since late 1988, the New York Stock Exchange has been imposing circuit breaker systems, which mandate trading halts for a stipulated period of time if the Dow Jones Industrial Average moves by more than a certain amount compared to the previous day's close. Besides the U.S., many countries in the world have also imposed circuit breaker systems in an attempt to reduce market volatility. The purpose of this dissertation is to examine the effectiveness of circuit breaker systems in financial markets. In the first chapter, I conduct a thorough review of the literature on circuit breaker systems and provide suggestions for future studies on this issue. The review covers theoretical background, empirical evidence from both stock markets and futures markets, and the related research methodology. The results of an in-depth analysis of current circuit breaker systems in the world are presented in this chapter. There are two different types of circuit breakers: trading halts and price limits. My second chapter is designed to test the performance of price limits empirically using initial public offering (IPO) data. I compare IPOs with their industry-and-size matched seasoned equities to test three hypothesis raised by price-limit opponents. My results represent the performance of price limits for IPOs and can be used to predict the performance of price limits during periods with high information asymmetry. The most popular rationale for imposing price limits is to reduce market overreaction and volatility. To date, the empirical literature does not give a clear answer on whether price limits reduce or induce overreaction. Therefore, I examine trade-to-trade data in an effort to provide insight to the ongoing debate over the relation between price limits and overreaction in chapter three. I test two hypotheses to investigate whether price limits reduce or induce overreaction. Overall, I conclude that price limits induce overreaction when the price is approaching the limit, but they also reduce overreaction when prices hit the limit consecutively.
Market Circuit Breakers
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Author : United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Securities
language : en
Publisher:
Release Date : 1999
Market Circuit Breakers written by United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Securities and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
Electronic And Algorithmic Trading Technology
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Author : Kendall Kim
language : en
Publisher: Academic Press
Release Date : 2010-07-27
Electronic And Algorithmic Trading Technology written by Kendall Kim and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-07-27 with Computers categories.
Electronic and algorithmic trading has become part of a mainstream response to buy-side traders’ need to move large blocks of shares with minimum market impact in today’s complex institutional trading environment. This book illustrates an overview of key providers in the marketplace. With electronic trading platforms becoming increasingly sophisticated, more cost effective measures handling larger order flow is becoming a reality. The higher reliance on electronic trading has had profound implications for vendors and users of information and trading products. Broker dealers providing solutions through their products are facing changes in their business models such as: relationships with sellside customers, relationships with buyside customers, the importance of broker neutrality, the role of direct market access, and the relationship with prime brokers. Electronic and Algorithmic Trading Technology: The Complete Guide is the ultimate guide to managers, institutional investors, broker dealers, and software vendors to better understand innovative technologies that can cut transaction costs, eliminate human error, boost trading efficiency and supplement productivity. As economic and regulatory pressures are driving financial institutions to seek efficiency gains by improving the quality of software systems, firms are devoting increasing amounts of financial and human capital to maintaining their competitive edge. This book is written to aid the management and development of IT systems for financial institutions. Although the book focuses on the securities industry, its solution framework can be applied to satisfy complex automation requirements within very different sectors of financial services – from payments and cash management, to insurance and securities. Electronic and Algorithmic Trading: The Complete Guide is geared toward all levels of technology, investment management and the financial service professionals responsible for developing and implementing cutting-edge technology. It outlines a complete framework for successfully building a software system that provides the functionalities required by the business model. It is revolutionary as the first guide to cover everything from the technologies to how to evaluate tools to best practices for IT management. First book to address the hot topic of how systems can be designed to maximize the benefits of program and algorithmic trading Outlines a complete framework for developing a software system that meets the needs of the firm's business model Provides a robust system for making the build vs. buy decision based on business requirements
Transactional Risk Market Crashes And The Role Of Circuit Breakers
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Author : Bruce C N Greenwald
language : en
Publisher: Legare Street Press
Release Date : 2023-07-18
Transactional Risk Market Crashes And The Role Of Circuit Breakers written by Bruce C N Greenwald and has been published by Legare Street Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-07-18 with categories.
Greenwald and Stein examine the role of circuit breakers in preventing market crashes and mitigating transactional risk. Using case studies and empirical evidence, they propose practical solutions for improving the effectiveness of circuit breakers in volatile markets. This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work is in the "public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.