Intraday Price Formation In Us Equity Index Markets PDF Download
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| Author | : Joel Hasbrouck |
| Publisher | : |
| Total Pages | : 58 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Intraday Price Formation in Us Equity Index Markets Book in PDF, ePub and Kindle
The market for US equity indexes has traditionally comprised floor-traded index futures contracts and the individual markets for the component stocks. This picture has been altered by the advent of exchange-traded funds (ETFs) that mirror the indexes, electronically-traded, small-denomination (quot;E-miniquot;) futures contracts, and (for the Samp;P 500) a family of sector ETFs that break the index into nine components. This paper empirically investigates price discovery (price leadership) in this new environment. The specifications are estimated at very fine (up to one second) time resolution. The principal findings are as follows.- For the Samp;P 500 and Nasdaq-100 indexes, the index market comprises an ETF, a regular floor-traded futures contract and an E-mini futures contract. The paper finds that most of the price discovery for both indexes occurs in the E-mini markets: price changes in the E-mini futures prices generally lead those in the regular futures contracts and the ETFs. - The market in the Samp;P 400 MidCap index comprises only the ETF and the regular futures contract. Both securities contribute substantially to price discovery, but the ETF appears to dominate.- The sector ETFs can closely replicate the Samp;P 500 ETF. Nevertheless, trading activity across the sector ETFs varies considerably. The most actively traded sector (technology) contributes a modest amount to price discovery in the overall index. The other sector ETFs play only a minor role.
| Author | : James L. Grant |
| Publisher | : |
| Total Pages | : |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
Download Intraday Price Reversals in the Us Stock Index Futures Market Book in PDF, ePub and Kindle
This paper gives a long-term assessment in intraday prices reversal in the US stock index futures market following large price changes at the market open, We find highly significant intraday reversal in our yearly and day-of-the-week investigations. Moreover, the strength of the intraday overreaction phenomenon seems more pronounced following large positive price changes at the market open. That being said, the question of whether a trader con consistently profit from this information remains open at the significance of intraday price reversals is sharply reduced when gross trading results are adjusted by a bid-ask proximity for transactions costs.
| Author | : Deniz Ozenbas |
| Publisher | : Springer Nature |
| Total Pages | : 111 |
| Release | : 2022 |
| Genre | : Business enterprises |
| ISBN | : 3030748170 |
Download Liquidity, Markets and Trading in Action Book in PDF, ePub and Kindle
This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
| Author | : Constantin Zopounidis |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 494 |
| Release | : 2010-07-25 |
| Genre | : Business & Economics |
| ISBN | : 0387766820 |
Download Handbook of Financial Engineering Book in PDF, ePub and Kindle
This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.
| Author | : Sarveshwar Inani |
| Publisher | : |
| Total Pages | : |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download Intraday Price Discovery in Indian Stock Index Futures Market Book in PDF, ePub and Kindle
This research aims to revisit the price discovery relationship between spot and futures prices of Indian equity index S&P CNX Nifty, using neural network approach. This study uses minute-by-minute prices of 167 trading days ranging from January, 2015 to August, 2015 to gain fresh insights on price discovery. The results reveal that change in futures prices lead the change in spot prices in training and testing of our sample. Neural network is an advanced methodology which is more effective in capturing non-linear relationship between spot and futures prices. Therefore, the results of this study could be considered more reliable and more robust as compared to previous studies for Indian market. Mean absolute error of the results indicates that, incorporation of futures returns in modelling spot returns improves the model by 30.8%. Whereas, inclusion of spot returns in modelling futures returns improves the results by only 25.4%. Though bidirectional spillover effect is present between spot and futures returns, but the futures returns are more dominant and more efficient. Therefore, it could be concluded that futures market serves as price discovery vehicle.
| Author | : H. Kent Baker |
| Publisher | : John Wiley & Sons |
| Total Pages | : 758 |
| Release | : 2013-07-31 |
| Genre | : Business & Economics |
| ISBN | : 1118421485 |
Download Market Microstructure in Emerging and Developed Markets Book in PDF, ePub and Kindle
A comprehensive guide to the dynamic area of finance known as market microstructure Interest in market microstructure has grown dramatically in recent years due largely in part to the rapid transformation of the financial market environment by technology, regulation, and globalization. Looking at market transactions at the most granular level—and taking into account market structure, price discovery, information flows, transaction costs, and the trading process—market microstructure also forms the basis of high-frequency trading strategies that can help professional investors generate profits and/or execute optimal transactions. Part of the Robert W. Kolb Series in Finance, Market Microstructure skillfully puts this discipline in perspective and examines how the working processes of markets impact transaction costs, prices, quotes, volume, and trading behavior. Along the way, it offers valuable insights on how specific features of the trading process like the existence of intermediaries or the environment in which trading takes place affect the price formation process. Explore issues including market structure and design, transaction costs, information flows, and disclosure Addresses market microstructure in emerging markets Covers the legal and regulatory issues impacting this area of finance Contains contributions from both experienced financial professionals and respected academics in this field If you're looking to gain a firm understanding of market microstructure, this book is the best place to start.
| Author | : Charles M.S. Sutcliffe |
| Publisher | : Routledge |
| Total Pages | : 534 |
| Release | : 2018-01-18 |
| Genre | : Business & Economics |
| ISBN | : 1351148559 |
Download Stock Index Futures Book in PDF, ePub and Kindle
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 | : Stephen J. Taylor |
| Publisher | : Princeton University Press |
| Total Pages | : 544 |
| Release | : 2011-02-11 |
| Genre | : Business & Economics |
| ISBN | : 1400839254 |
Download Asset Price Dynamics, Volatility, and Prediction Book in PDF, ePub and Kindle
This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.
| Author | : Ingmar Nolte |
| Publisher | : Routledge |
| Total Pages | : 325 |
| Release | : 2016-04-14 |
| Genre | : Business & Economics |
| ISBN | : 1317570774 |
Download High Frequency Trading and Limit Order Book Dynamics Book in PDF, ePub and Kindle
This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.
| Author | : Ersan Ersoy |
| Publisher | : |
| Total Pages | : 18 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download Intraday Lead-Lag Relationship Between Stock Index and Stock Index Futures Markets Book in PDF, ePub and Kindle
In perfectly frictionless and rational markets, spot markets and futures markets should simultaneously reflect new information. However, due to market imperfections, one of these markets may reflect information faster than the other and therefore may lead to the other. This study examines the lead-lag relationship between stock index and stock index futures, in terms of both price and volatility, by using 5 minute data over 2007-2010 period. The findings of this study indicate that a stable long-term relationship between Turkish stock index and stock index futures exists, however stock index futures do not lead stock index and there is a two way interaction between them. Therefore either of the markets is dominant over the other one in the price formation process.
