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Author: Hamish D. Anderson Publisher: ISBN: Category : Languages : en Pages : 35
Book Description
This paper examines the price response to large block transactions made on the Australian Stock Exchange during the 1999 sample period. We find asymmetry in the price reaction between buyer- and seller-initiated trades with respect to size and resiliency following the trade. We extend previous research by examining order book changes surrounding block trades and relating price effects to changes in book depth. Purchases are associated with persistent order book imbalance, while the sales imbalance is insignificant. Cross-sectional analysis demonstrates that price resiliency following a trade is related to the speed at which limit orders arrive to replenish book depth.
Author: Hamish D. Anderson Publisher: ISBN: Category : Languages : en Pages : 35
Book Description
This paper examines the price response to large block transactions made on the Australian Stock Exchange during the 1999 sample period. We find asymmetry in the price reaction between buyer- and seller-initiated trades with respect to size and resiliency following the trade. We extend previous research by examining order book changes surrounding block trades and relating price effects to changes in book depth. Purchases are associated with persistent order book imbalance, while the sales imbalance is insignificant. Cross-sectional analysis demonstrates that price resiliency following a trade is related to the speed at which limit orders arrive to replenish book depth.
Author: Gideon Saar Publisher: ISBN: Category : Languages : en Pages : 34
Book Description
This article develops a theoretical model to explain the permanent price impact asymmetry between buyer- and seller-initiated block trades (the permanent price impact of buys is larger than that of sells). The model shows how the trading strategy of institutional portfolio managers creates a difference between the information content of buys and sells. The main implication of the model is that the history of price performance influences the asymmetry: the longer the run-up in a stock`s price, the less the asymmetry. The intensity of institutional trading and the frequency of information events affect the asymmetry differently depending on recent price performance.
Author: Greg N. Gregoriou Publisher: CRC Press ISBN: 1420064894 Category : Business & Economics Languages : en Pages : 590
Book Description
A pioneering reference essential in any financial library, the Encyclopedia of Alternative Investments is the most authoritative source on alternative investments for students, researchers, and practitioners in this area. Containing 545 entries, the encyclopedia focuses on hedge funds, managed futures, commodities, and venture capital. It features
Author: Larry Harris Publisher: OUP USA ISBN: 9780195144703 Category : Business & Economics Languages : en Pages : 664
Book Description
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: Maureen O'Hara Publisher: John Wiley & Sons ISBN: 0631207619 Category : Business & Economics Languages : en Pages : 310
Book Description
Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.
Author: Walter Mattli Publisher: Princeton University Press ISBN: 069121686X Category : Business & Economics Languages : en Pages : 264
Book Description
"Capital markets have undergone a dramatic transformation in the past two decades. Algorithmic high-speed supercomputing has replaced traditional floor trading and human market makers, while centralized exchanges that once ensured fairness and transparency have fragmented into a dizzying array of competing exchanges and trading platforms. Darkness by Design exposes the unseen perils of market fragmentation and 'dark' markets, some of which are deliberately designed to enable the transfer of wealth from the weak to the powerful. Walter Mattli traces the fall of the traditional exchange model of the NYSE, the world's leading stock market in the twentieth century, showing how it has come to be supplanted by fragmented markets whose governance is frequently set up to allow unscrupulous operators to exploit conflicts of interest at the expense of an unsuspecting public. Market makers have few obligations, market surveillance is neglected or impossible, enforcement is ineffective, and new technologies are not necessarily used to improve oversight but to offer lucrative preferential market access to select clients in ways that are often hidden. Mattli argues that power politics is central in today's fragmented markets. He sheds critical light on how the redistribution of power and influence has created new winners and losers in capital markets and lays the groundwork for sensible reforms to combat shady trading schemes and reclaim these markets for the long-term benefit of everyone. Essential reading for anyone with money in the stock market, Darkness by Design challenges the conventional view of markets and reveals the troubling implications of unchecked market power for the health of the global economy and society as a whole"--
Author: Joseph Rosen Publisher: ISBN: 9780981464602 Category : Electronic trading of securities Languages : en Pages : 0
Book Description
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: Gleb P. Severov Publisher: Nova Publishers ISBN: 9781600211034 Category : Business & Economics Languages : en Pages : 286
Book Description
International finance is the branch of economics that studies the dynamics of exchange rates, foreign investment, and how these affect international trade. In a globalising world, the policies of various central banks and similar institutions impact large and small players alike. This book presents new and important research on issues of interest in international finance and monetary policy.
Author: Hamish D. Anderson
Author: Hamish D. Anderson
Author: Gideon Saar
Author: Greg N. Gregoriou
Author: United States. Securities and Exchange Commission
Author: Angel Wu
Author: Larry Harris
Author: Maureen O'Hara
Author: Walter Mattli
Author: Joseph Rosen
Author: Gleb P. Severov