Market Makers versus the General Public PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Market Makers versus the General Public PDF full book. Access full book title Market Makers versus the General Public by Gerard L. Gannon. Download full books in PDF and EPUB format.
Author: Gerard L. Gannon Publisher: ISBN: Category : Languages : en Pages : 38
Book Description
What has been undertaken in this research is a careful sampling of CFTC Samp;P500 futures trade records into the 15 minute required reporting intervals for the period January 1994 to June 2004. Accumulated volume of trade open, close, high and low prices are extracted for market trade and also market makers CT1 trading with the general public CT4 for each group selling short to the other. These trading records are matched with similar price records for the Samp;P500 cash index. An identifiable system of Simultaneous Volatility Model equations is artificially nested and tested, via a systems AIC, against a competing identifiable Structural VAR system. Results are reported from the dominant systems of Simultaneous Volatility Model equation estimates with futures trading volume, futures volatility and cash index volatility included as endogenous variables. As we disaggregate from the market records to CT1 and CT4 records and further into year to year samples, volume to futures volatility leading effects and also futures volatility to cash volatility leading effects dominate. For the sub-period 1994-1999 for CT1 the leading volume term is significant for every year 1994, 1995, 1996, 1997, 1998 and 1999. For the latter sub-period the leading volume term is significant for 2002, 2003 and 2004. As with the annualized results for CT1, for CT4 estimates of the leading volume term are very significant in the futures volatility equation for all separate years 1994, 1995, 1996, 1997, 1998, 1999 and also 2002, 2003 and 2004. In the cash volatility equation for CT1 the lagged futures volatility estimate is very significant and lagged cash volatility insignificant for years 1994, 1995, 1996, 1997 and 1998 but not thereafter. For CT4 records the lagged futures volatility estimate is very significant and lagged cash volatility insignificant for years 1994, 1995, 1996, 1997, 1998, 1999, 2000, 2002 and 2004. So although there appears to a deterioration in the aggregated data for the three groups as the analysis moves into 2000 the annual CT1 and CT4 results of volume and volatility lead/lag effects are quite strong. The results raise important issues for risk management and dynamic hedging models employing intra-day trader data. A number of important issues for further analysis are also raised in this paper.
Author: Allen Jan Baird Publisher: John Wiley & Sons ISBN: 9780471578321 Category : Business & Economics Languages : en Pages : 226
Book Description
Approaches trading from the viewpoint of market makers and the part they play in pricing, valuing and placing positions. Covers option volatility and pricing, risk analysis, spreads, strategies and tactics for the options trader, focusing on how to work successfully with market makers. Features a special section on synthetic options and the role of synthetic options market making (a role of increasing importance on the trading floor). Contains numerous graphs, charts and tables.
Author: Gerard L. Gannon Publisher: ISBN: Category : Languages : en Pages : 38
Book Description
What has been undertaken in this research is a careful sampling of CFTC Samp;P500 futures trade records into the 15 minute required reporting intervals for the period January 1994 to June 2004. Accumulated volume of trade open, close, high and low prices are extracted for market trade and also market makers CT1 trading with the general public CT4 for each group selling short to the other. These trading records are matched with similar price records for the Samp;P500 cash index. An identifiable system of Simultaneous Volatility Model equations is artificially nested and tested, via a systems AIC, against a competing identifiable Structural VAR system. Results are reported from the dominant systems of Simultaneous Volatility Model equation estimates with futures trading volume, futures volatility and cash index volatility included as endogenous variables. As we disaggregate from the market records to CT1 and CT4 records and further into year to year samples, volume to futures volatility leading effects and also futures volatility to cash volatility leading effects dominate. For the sub-period 1994-1999 for CT1 the leading volume term is significant for every year 1994, 1995, 1996, 1997, 1998 and 1999. For the latter sub-period the leading volume term is significant for 2002, 2003 and 2004. As with the annualized results for CT1, for CT4 estimates of the leading volume term are very significant in the futures volatility equation for all separate years 1994, 1995, 1996, 1997, 1998, 1999 and also 2002, 2003 and 2004. In the cash volatility equation for CT1 the lagged futures volatility estimate is very significant and lagged cash volatility insignificant for years 1994, 1995, 1996, 1997 and 1998 but not thereafter. For CT4 records the lagged futures volatility estimate is very significant and lagged cash volatility insignificant for years 1994, 1995, 1996, 1997, 1998, 1999, 2000, 2002 and 2004. So although there appears to a deterioration in the aggregated data for the three groups as the analysis moves into 2000 the annual CT1 and CT4 results of volume and volatility lead/lag effects are quite strong. The results raise important issues for risk management and dynamic hedging models employing intra-day trader data. A number of important issues for further analysis are also raised in this paper.
Author: Peter Scott Publisher: Oxford University Press ISBN: 0198783817 Category : Business & Economics Languages : en Pages : 388
Book Description
Inter-war Britain saw a boom in 'mass markets' for consumer durables, such as new suites of furniture, radios, and electrical and gas appliances, while items like refrigerators, telephones, and automobiles didn't reach the mass market until the 1950s. Peter Scott explores these 'market makers' and how US innovations influenced British markets.
Author: Michael Abramowicz Publisher: Yale University Press ISBN: 0300144954 Category : Business & Economics Languages : en Pages : 364
Book Description
Predicting the future is serious business for virtually all public and private institutions, for they must often make important decisions based upon such predictions. This text explores how institutions might improve their predictions and arrive at better decisions by means of prediction markets.
Author: Paul Davidson Publisher: Edward Elgar Publishing ISBN: 1843765586 Category : Business & Economics Languages : en Pages : 277
Book Description
Financial Markets, Money and the Real World by Paul Davidson is an informed and informative study of why the 1990s experienced a series of financial crises with terrible repercussions that reverberated throughout the global market. Focusing on the central role that domestic and international financial markets play in affecting the economic growth rate, and offering prescriptions to improve worldwide economic viability in the 21st century, Financial Markets, Money and the Real World is highly practical, forward thinking, and strongly recommended reading for students of economics in general, and the interactive, interdependent global financial markets in particular. Library Bookwatch/Midwest Book Review In Financial Markets, Money and the Real World Professor Davidson lucidly and persuasively sums up his major insights into the working of non-ergodic (uncertain) economic systems. It is essential reading for those who wish to understand why financial markets have become so volatile and are puzzled to know what to do about it. It is refreshing to read an author who writes so much in the spirit of Keynes and who is able and willing to develop Keynes s ideas creatively and apply them imaginatively to the understanding and management of today s globalized economy. Lord Skidelsky, University of Warwick, UK This book should be a classic in economics. Paul Davidson combines dazzling clarity and a passion for economic truth and common sense in illuminating the dark thickets surrounding today s free enterprise system. Professional economists and concerned citizens should both pay heed to this fine book. Peter L. Bernstein, Peter L. Bernstein Inc., US Professor Paul Davidson has long been a major avenue to the economic reality and the controlling economic ideas, especially those that have come into professional discussion with and since John Maynard Keynes. This is a major contribution, deserving the close attention of economists and all who seek accomplished economic guidance. I strongly recommend it. John Kenneth Galbraith, Harvard University, US Throughout the long, dark years of laissez-faire triumphalism, Paul Davidson lovingly tended the eternal flame of Keynes and ensured that it never went out. There is no better qualified economist to explain as this book does why Keynes is still relevant to a world pock-marked with the financial crises, poverty and unemployment that have resulted from neglecting his profound insights. Larry Elliott, The Guardian Paul Davidson investigates why the 1990s was a decade of financial crises that almost precipitated a global market crash. He explores the reasons why the global economy still struggles with the aftermath of these crises and discusses the possibility that volatile financial markets in the future will have real impacts on whole industries and national economic systems. The author highlights the central role that domestic and international financial markets play in determining the economic growth rate, unemployment rate and international payments position of capitalist economies. He explains why the primary function of financial markets is to create liquidity and demonstrates that a liquid market cannot be efficient, and an efficient market cannot be liquid. He also proves that preventing liquidity problems from developing in national and international financial markets is the key element in fostering prosperity. Statistical evidence and theoretical analysis are combined to demonstrate why orthodox prescriptions for liberalizing labor, product, and capital markets are the wrong policies for promoting a civilized society in the 21st century. Professional economists, financial reporters, government policy makers, those working in international economic organizations such as the IMF, the World Bank and the WTO, and concerned citizens will all benefit greatly from reading this highly acclaimed book.
Author: Mitchel Y. Abolafia Publisher: Harvard University Press ISBN: 0674006887 Category : Business & Economics Languages : en Pages : 175
Book Description
"In the wake of million-dollar scandals brought about by Michael Milken, Ivan Boesky, and their like, Wall Street seems like the province of rampant individualism operating at the outermost extremes of self-interest and greed. But this, Mitchel Abolafia suggests, would be a case of missing the real culture of the Street for the characters who dominate the financial news. Making Markets, an ethnography of Wall Street culture, offers a more complex picture of how the market and its denizens work. Not merely masses of individuals striving independently, markets appear here as socially constructed institutions in which the behavior of traders is suspended in a web of customs, norms, and structures of control. Within these structures we see the actions that led to the Drexel Burnham and Salomon Brothers debacles not as bizarre aberrations, but as mere exaggerations of behavior accepted on the Street. Abolafia looks at three subcultures that coexist in the world of Wall Street: the stock, bond, and futures markets. Through interviews, anecdotes, and the author’s skillful analysis, we see how traders and New York Stock Exchange “specialists” negotiate the perpetual tension between short-term self-interest and long-term self-restraint that marks their respective communities—and how the temptation toward excess spurs market activity. We also see the complex relationships among those market communities—why, for instance, NYSE specialists resent the freedoms permitted over-the-counter bond traders and futures traders. Making Markets shows us that what propels Wall Street is not a fundamental human drive or instinct, but strategies enacted in the context of social relationships, cultural idioms, and institutions—a cycle that moves between phases of unbridled self-interest and collective self-restraint."
Author: United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Securities Publisher: ISBN: Category : Stock exchanges Languages : en Pages : 1806
Author: Gerard L. Gannon
Author: Allen Jan Baird
Author: Gerard L. Gannon
Author: Peter Scott
Author: Michael Abramowicz
Author: United States. Securities and Exchange Commission
Author: 
Author: Paul Davidson
Author: Mitchel Y. Abolafia
Author: United States. Congress. House. Committee on Appropriations
Author: United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Securities