Download How Electronic Trading Affects Bid Ask Spreads And Arbitrage Efficiency Between Index Futures And Options full books in PDF, epub, and Kindle. Read online free How Electronic Trading Affects Bid Ask Spreads And Arbitrage Efficiency Between Index Futures And Options ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
| Author | : Kevin Cheng (H. K.) |
| Publisher | : |
| Total Pages | : 32 |
| Release | : 2004 |
| Genre | : Arbitrage |
| ISBN | : |
| Author | : Kee-hong Bae |
| Publisher | : |
| Total Pages | : 52 |
| Release | : 1996 |
| Genre | : Arbitrage |
| ISBN | : |
| Author | : Joseph K. W. Fung |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 2000 |
| Genre | : Arbitrage |
| ISBN | : |
| Author | : Kee-Hong Bae |
| Publisher | : |
| Total Pages | : |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
This study utilizes both real-time transaction prices and bid-ask quotes in evaluating the profitability of arbitrage strategies for the Hong Kong index futures and index options market. Taking into account the bid-ask spread in identifying arbitrage opportunities, we avoid the selection bias problem associated with using transaction prices. The percentage of observations violating no-arbitrage bounds is significantly reduced when we employ bid-ask quotes instead of transaction prices. This suggests that studies which implement arbitrage strategies based on transaction prices employ prices from the wrong side of the spread. We find a relationship between the frequency of violations (evaluated from transaction prices) and the size of bid-ask spreads in the futures and options markets. This indicates that a larger mispricing, which may arise when the bid-ask spread is wider, does not necessarily imply profitable arbitrage opportunity.
| Author | : Alex Frino |
| Publisher | : |
| Total Pages | : 32 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
During 1999 and 2000, three major futures exchanges transferred trading in stock index futures from open outcry to electronic markets: the London International Financial Futures and Options Exchange (LIFFE); Sydney Futures Exchange (SFE); and Hong Kong Futures Exchange (HKFE). These changes in trading systems provide unique natural experiments to assess the relative liquidity of open outcry and electronic markets. After controlling for price volatility and trading volume, bid-ask spreads are found to be lower under the electronic trading regimes implemented by all three exchanges, with significantly lower bid-ask spreads recorded for the electronic trading systems of the SFE and HKFE. This provides some evidence that electronic trading can facilitate higher levels of liquidity relative to floor traded markets. Evidence is found, however, that bid-ask spreads become wider in response to higher price volatility under electronic trading, relative to floor trading. This indicates that the performance of electronic trading systems deteriorates during periods of higher price volatility.
| Author | : Charles M.S. Sutcliffe |
| Publisher | : Routledge |
| Total Pages | : 534 |
| Release | : 2018-01-18 |
| Genre | : Business & Economics |
| ISBN | : 1351148559 |
The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
| Author | : Larry Harris |
| Publisher | : CFA Institute Research Foundation |
| Total Pages | : 94 |
| Release | : 2015-10-19 |
| Genre | : Business & Economics |
| ISBN | : 1934667927 |
The true meaning of investment discipline is to trade only when you rationally expect that you will achieve your desired objective. Accordingly, managers must thoroughly understand why they trade. Because trading is a zero-sum game, good investment discipline also requires that managers understand why their counterparties trade. This book surveys the many reasons why people trade and identifies the implications of the zero-sum game for investment discipline. It also identifies the origins of liquidity and thus of transaction costs, as well as when active investment strategies are profitable. The book then explains how managers must measure and control transaction costs to perform well. Electronic trading systems and electronic trading strategies now dominate trading in exchange markets throughout the world. The book identifies why speed is of such great importance to electronic traders, how they obtain it, and the trading strategies they use to exploit it. Finally, the book analyzes many issues associated with electronic trading that currently concern practitioners and regulators.
| Author | : Larry Harris |
| Publisher | : OUP USA |
| Total Pages | : 664 |
| Release | : 2003 |
| Genre | : Business & Economics |
| ISBN | : 9780195144703 |
Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).
| Author | : Joseph Rosen |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2009-06-18 |
| Genre | : Electronic trading of securities |
| ISBN | : 9780981464602 |
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.
| Author | : |
| Publisher | : |
| Total Pages | : 16 |
| Release | : 1987-07 |
| Genre | : Commodity exchanges |
| ISBN | : |
