Does Anonymity Matter In Electronic Limit Order Markets
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Does Anonymity Matter In Electronic Limit Order Markets
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Author : Thierry Foucault
language : en
Publisher:
Release Date : 2013
Does Anonymity Matter In Electronic Limit Order Markets written by Thierry Foucault 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.
We develop a model in which limit order traders possess volatility information. We show that in this case the size of the bid ask spread is informative about future volatility. Moreover, if volatility information is in part private, we establish that (i) the size of the bid ask spread and (ii) its informativeness about future volatility should change in the same direction when limit order traders' identifiers stop being disclosed. We test these predictions using data from the Paris Bourse. As expected, we find that the average quoted spread and its informativeness are significantly smaller when limit order traders' identifiers are concealed. These findings suggest that the limit order book is a channel for volatility information.
Does Anonymity Matter In Electronic Limit Order Markets
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Author : Thierry Foucault
language : en
Publisher:
Release Date : 2005
Does Anonymity Matter In Electronic Limit Order Markets written by Thierry Foucault and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
The Handbook Of Electronic Trading
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Author : Joseph Rosen
language : en
Publisher:
Release Date : 2009-06-18
The Handbook Of Electronic Trading written by Joseph Rosen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-18 with Electronic trading of securities categories.
This book provides a comprehensive look at the challenges of keeping up with liquidity needs and technology advancements. It is also a sourcebook for understandable, practical solutions on trading and technology.
The New Stock Market
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Author : Merritt B. Fox
language : en
Publisher: Columbia University Press
Release Date : 2019-01-08
The New Stock Market written by Merritt B. Fox and has been published by Columbia University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-08 with Business & Economics categories.
The U.S. stock market has been transformed over the last twenty-five years. Once a market in which human beings traded at human speeds, it is now an electronic market pervaded by algorithmic trading, conducted at speeds nearing that of light. High-frequency traders participate in a large portion of all transactions, and a significant minority of all trade occurs on alternative trading systems known as “dark pools.” These developments have been widely criticized, but there is no consensus on the best regulatory response to these dramatic changes. The New Stock Market offers a comprehensive new look at how these markets work, how they fail, and how they should be regulated. Merritt B. Fox, Lawrence R. Glosten, and Gabriel V. Rauterberg describe stock markets’ institutions and regulatory architecture. They draw on the informational paradigm of microstructure economics to highlight the crucial role of information asymmetries and adverse selection in explaining market behavior, while examining a wide variety of developments in market practices and participants. The result is a compelling account of the stock market’s regulatory framework, fundamental institutions, and economic dynamics, combined with an assessment of its various controversies. The New Stock Market covers a wide range of issues including the practices of high-frequency traders, insider trading, manipulation, short selling, broker-dealer practices, and trading venue fees and rebates. The book illuminates both the existing regulatory structure of our equity trading markets and how we can improve it.
Empirical Market Microstructure
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Author : Joel Hasbrouck
language : en
Publisher: Oxford University Press
Release Date : 2007-01-04
Empirical Market Microstructure written by Joel Hasbrouck and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-01-04 with Business & Economics categories.
The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
Discriminatory Pricing Of Over The Counter Derivatives
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Author : Hau Harald
language : en
Publisher: International Monetary Fund
Release Date : 2019-05-07
Discriminatory Pricing Of Over The Counter Derivatives written by Hau Harald and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-07 with Business & Economics categories.
New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than 0.02%. Consistent with models of search frictions in over-the-counter markets, dealers charge higher spreads to less sophisticated clients. However, price discrimination is eliminated when clients trade through multi-dealer request-for-quote platforms. We also document that dealers extract rents from captive clients and market opacity, but only for contracts negotiated bilaterally with unsophisticated clients.
The Microstructure Of Financial Markets
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Author : Frank de Jong
language : en
Publisher: Cambridge University Press
Release Date : 2009-05-14
The Microstructure Of Financial Markets written by Frank de Jong and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-05-14 with Business & Economics categories.
The analysis of the microstructure of financial markets has been one of the most important areas of research in finance and has allowed scholars and practitioners alike to have a much more sophisticated understanding of the dynamics of price formation in financial markets. Frank de Jong and Barbara Rindi provide an integrated graduate level textbook treatment of the theory and empirics of the subject, starting with a detailed description of the trading systems on stock exchanges and other markets and then turning to economic theory and asset pricing models. Special attention is paid to models explaining transaction costs, with a treatment of the measurement of these costs and the implications for the return on investment. The final chapters review recent developments in the academic literature. End-of-chapter exercises and downloadable data from the book's companion website provide opportunities to revise and apply models developed in the text.
Informed Traders As Liquidity Providers
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Author : Alexandra Hachmeister
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-11-03
Informed Traders As Liquidity Providers written by Alexandra Hachmeister 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 2007-11-03 with Business & Economics categories.
Alexandra Hachmeister’s thesis empirically analyzes and positively answers the question whether informed traders provide liquidity in an open limit order book. The analyses include a detailed market description of the German equity market, a new methodological approach for the identification of informed traders as well as the analysis of the individual liquidity providing and demanding behavior of the identified informed traders.
Living In A Material World
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Author : Trevor Pinch
language : en
Publisher: Mit Press
Release Date : 2008
Living In A Material World written by Trevor Pinch and has been published by Mit Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.
This book draws on the tools of science and technology studies and economic sociology to reconceptualize the intersection of economy and technology, suggesting materiality - the idea that social existence involves not only actors and social relations but also objects - as the theoretical point of convergence.
The Metamorphosis Of Prime Intellect
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Author : Roger Williams
language : en
Publisher: Lulu.com
Release Date : 2003-10-14
The Metamorphosis Of Prime Intellect written by Roger Williams and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-10-14 with Fiction categories.
In a time not far from our own, Lawrence sets out simply to build an artifical intelligence that can pass as human, and finds himself instead with one that can pass as a god. Taking the Three Laws of Robotics literally, Prime Intellect makes every human immortal and provides instantly for every stated human desire. Caroline finds no meaning in this life of purposeless ease, and forgets her emptiness only in moments of violent and profane exhibitionism. At turns shocking and humorous, "Prime Intellect" looks unflinchingly at extremes of human behavior that might emerge when all limits are removed. An international Internet phenomenon, "Prime Intellect" has been downloaded more than 10,000 times since its free release in January 2003. It has been read and discussed in Australia, Canada, Denmark, Germany, Japan, Mexico, the Netherlands, Slovenia, South Africa, and other countries. This Lulu edition is your chance to own "Prime Intellect" in conventional book form.