Informed and Strategic Order Flow in the Bond Markets PDF Download

Author: Paolo Pasquariello
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 56

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Book Description

Author: Clara Vega
Publisher:
ISBN:
Category :
Languages : en
Pages : 57

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Book Description
We analyze the role private and public information play in the U.S. Treasury bond price discovery process. To guide our analysis, we develop a parsimonious model of speculative trading in the presence of two realistic market frictions, information heterogeneity and imperfect competition among informed traders. We test its equilibrium implications by studying the response of 2-year, 5-year, and 10-year U.S. bond yields to order flow and real-time U.S. macroeconomic news. Consistent with the stylized model, we find that unanticipated order flow explains a bigger portion of bond yield changes when the dispersion of beliefs across informed traders is high and public announcements are noisy.

Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description

Author: Frank J. Fabozzi
Publisher: MIT Press
ISBN: 026204627X
Category : Business & Economics
Languages : en
Pages : 937

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Book Description
The updated edition of a widely used textbook that covers fundamental features of bonds, analytical techniques, and portfolio strategy. This new edition of a widely used textbook covers types of bonds and their key features, analytical techniques for valuing bonds and quantifying their exposure to changes in interest rates, and portfolio strategies for achieving a client’s objectives. It includes real-world examples and practical applications of principles as provided by third-party commercial vendors. This tenth edition has been substantially updated, with two new chapters covering the theory and history of interest rates and the issues associated with bond trading. Although all chapters have been updated, particularly those covering structured products, the chapters on international bonds and managing a corporate bond portfolio have been completely revised. The book covers the basic analytical framework necessary to understand the pricing of bonds and their investment characteristics; sectors of the debt market, including Treasury securities, corporate bonds, municipal bonds, and structured products (residential and commercial mortgage-backed securities and asset-backed securities); collective investment vehicles; methodologies for valuing bonds and derivatives; corporate bond credit risk; portfolio management, including the fundamental and quantitative approaches; and instruments that can be used to control portfolio risk.

Author: Frank J. Fabozzi
Publisher: Business & Professional Division
ISBN:
Category : Antiques & Collectibles
Languages : en
Pages : 376

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Book Description

Author: Fabozzi Frank J.
Publisher: Pearson Education India
ISBN: 9788131759332
Category :
Languages : en
Pages : 796

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Book Description
This is the eBook of the printed book and may not include any media, website access codes, or print supplements that may come packaged with the bound book. For students enrolled in Fixed Income Securities Courses or Bond Markets Courses. A Practical Approach to Analyzing Bond Markets Fabozzi's Bond Markets, Analysis and Strategies offers students practical advice for analyzing bonds and proven portfolio strategies for achieving client objectives. Using an applied approach, Bond Markets helps students quickly grasp and apply key concepts without getting bogged down in theory. Th.

Author: Siri Valseth
Publisher:
ISBN:
Category :
Languages : en
Pages : 22

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Book Description
I study the impact of pretrade transparency on trading activity in an environment where dealers, informed and uninformed alike, can choose between an electronic limit order book (LOB) and an over-the-counter (OTC) market. By investigating bond dealers' choice in the hybrid Norwegian government bond market, I explore whether they adopt a trading strategy based on the perceived informativeness of their trades. The results imply that bond dealers act strategically to preserve the value of their information by choosing the immediacy of the LOB when trades contain information. This suggests that OTC trades are exposed to a leakage of information to other dealers.

Author: Frank de Jong
Publisher: Cambridge University Press
ISBN: 1139478443
Category : Business & Economics
Languages : en
Pages : 209

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Book Description
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.

Author: Anthony Crescenzi
Publisher: McGraw Hill Professional
ISBN: 1260473686
Category : Business & Economics
Languages : en
Pages : 497

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Book Description
The bestselling bond investing classic―updated to help you profit today and position yourself for the post-COVID era and decade ahead Since the 2008 global financial crisis, the investing world has changed radically. Credit is more difficult to access, populations across the world are aging, and economic growth has been tepid. And now, the global pandemic has shaken the global financial system to its core. Investors are facing a future where structural—rather than cyclical—change will have greater impact on financial markets. In this new edition of The Strategic Bond Investor, you’ll find everything you need to generate profits while mitigating risk in the “new normal.” PIMCO Executive Vice President and lead investing strategist Anthony Crescenzi explains how deeply the bond market impacts the global economy, the best ways to invest in bonds, and how to “read” this market to inform your overall strategy. Along the way, Crescenzi provides unique and invaluable insights into the role of the bond market in recent economic crises (both 2008 and 2020), in an era of the rise of socially responsible investing, and at a time when we may well be witnessing a seismic shift in economic and financial power from the United States to China. Crescenzi draws on his vast experience, as well as personal conversations with Alan Greenspan, Ben Bernanke, Janet Yellen, and other influential figures in finance, politics, and academia. He provides a glimpse at PIMCO’s storied investment process, along with numerous types of investment strategies to meet various investing goals. The Strategic Bond Investor has guided investors through the capital markets for nearly two decades. Use this updated edition to achieve investing success in the next decade.

Author: Joel Hasbrouck
Publisher: Oxford University Press
ISBN: 0198041306
Category : Business & Economics
Languages : en
Pages : 209

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Book Description
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.