Download or read book Quote Inefficiency in Options Markets written by Iñaki Rodríguez-Longarela and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In an arbitrage-free economy with non-zero bid-ask spreads the existence of payoffs whose price is lower than the price of a dominated payoff cannot be discarded in general. However, when the former price corresponds to trivial portfolios which involve buying or selling one unit of the basis assets, its presence, although not an arbitrage, is a severe market anomaly which we refer to as an inefficient quote. In an empirical study, we report evidence that indicates that in options markets both the frequency and the magnitude of these anomalies are substantial and we document puzzling patterns in their behavior.
Download or read book A Theory of Inefficient Quotes written by Iñaki Rodríguez-Longarela and published by . This book was released on 2007 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an arbitrage-free economy with non-zero bid-ask spreads, the presence of payoffs, whose price is lower than the price of another payoff where the former dominates the latter, can not be discarded in general. However, their presence is a true market anomaly when the former price corresponds to trivial portfolios which involve buying or selling one unit of the basis assets. We refer to these prices as inefficient quotes and we characterize their absence by imposing certain conditions on the set of admissible Stochastic Discount Factors. A measure of overall quote inefficiency is also introduced. We report, in an empirical study, evidence that indicates that in options markets, both the frequency and the magnitude of these inefficiencies, are substantial. Also, we find puzzling patterns in the behavior of these inefficiencies.
Download or read book Pricing Efficiency in the Long term Index Options Market written by Anuradha Kandikuppa and published by . This book was released on 1999 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The nature of informed option trading Evidence from the takeover market written by Marco Klapper and published by Anchor Academic Publishing (aap_verlag). This book was released on 2014-02-01 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the kind of information ‘informed’ traders have prior to a takeover announcement using options of target firms and elaborates on the cross-sectional relationship between options and stocks around takeover announcements. Financial markets are driven by information and by individuals that generate, process, and disclose this information to the market. Naturally, there have to be individuals who possess more information about a firm or a future event than other market participants. Mergers and acquisitions are particularly interesting events in this regard because they can have significant implications for the firms and stakeholders involved, as well as for the competitive dynamics in the respective market. Because of the large potential price impact of such transactions, traders with private information about a prospective takeover are expected to trade on this information to make a profit. But who are these ‘informed traders’ and what kind of information do they possess? This study tries to give a respond to this question.
Download or read book A Reappraisal of the Efficiency of Financial Markets written by Rui M.C. Guimaraes and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 799 pages. Available in PDF, EPUB and Kindle. Book excerpt: The behaviour of market prices is a fascinating subject for researchers. Opinions vary substantially. from the view that prices accurately and quickly reflect relevant information to the other extreme that prices are not rationally determined and are hence to some degree predictable. This diversity of belief about the efficiency of markets is reflected in these proceedings of the NATO Advanced Research Workshop on "A reappraisal of the efficiency of financial markets". The thirty-one workshop papers cover stock. currency and commodity markets. We are pleased to have contributions on markets in eleven NATO countries: Belgium. Canada. Denmark. France. Germany. Greece. Italy. the Netherlands. Portugal. the United Kingdom and the United States. The workshop papers thus provide a wide-ranging account of contemporary research into financial markets worldwide. The workshop was held at the Hotel do Mar. Sesimbra. Portugal from April 11 th to April 15th. 1988. We record our gratitude to Jose Cabral for ensuring the smooth progress of the workshop. The generous financial assistance of NATO was supplemented by contributions from: The Chicago Board of Trade. Alianca Seguradora. Banco Comercial Portugues. Fundacao Luso-Americana Para 0 Desenvolvimento. Junta Nacional de Investigacao Cientifica e Tecnologica. We speak for all the workshop participants in expressing our thanks to all our sponsors. Rui M. Campos Guimaraes. University of Porto.
Download or read book Market Conform Valuation of Options written by Tobias Herwig and published by Taylor & Francis. This book was released on 2006-01-17 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of this volume is on the development of new approaches for the market-conform valuation of newly issued derivatives. The first chapter presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction algorithm. This framework can be used to price and hedge a wide range of plain-vanilla and exotic options. In the second chapter this new approach is compared to existing models using a sample of plain-vanilla options, American call options and European Barrier options from two competing markets. In the third chapter new methods to value American-style options via Monte Carlo simulations in accordance with given market prices are discussed. After a short introduction to Monte Carlo methods, two new approaches are proposed. These new frameworks are illustrated via pricing examples for standard American put options.
Download or read book A Trader s First Book on Commodities written by Carley Garner and published by FT Press. This book was released on 2012-12-14 with total page 493 pages. Available in PDF, EPUB and Kindle. Book excerpt: Earn consistent profits trading commodities, even if you're a newcomer to the commodities markets! Carley Garner's A Trader’s First Book on Commodities, Second Edition is today's most practical and realistic introduction to successful commodities trading. More than any other primer, it recognizes that the most important trading decisions are made long before the first trade is executed. Drawing on years of dealing with retail traders from all walks of life, experience levels, and amounts of risk capital, Garner answers the most pressing questions newcomers ask -- and the questions they haven't realized they need to ask. This extensively updated Second Edition reflects major changes in the market over the past three years, including new trading challenges, platforms, tools, data resources, and risks. Garner presents a hard-eyed look at the collapses of MF Global and PFGBEST, their failure to honor the sanctity of “Customer Segregated Funds” accounts, the implications for investors, and techniques for mitigating these new risks. She has added new charts and example trades throughout; new coverage of commodity impacts arising from recent events in Europe; important information about new technological improvements and competitive intraday position margin standards; and much more.
Download or read book High Frequency and Automated Trading in Futures Markets written by United States. Congress. Senate. Committee on Agriculture, Nutrition, and Forestry and published by . This book was released on 2015 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Report of the Special Study of the Options Markets to the Securities and Exchange Commission written by United States. Securities and Exchange Commission. Special Study of the Options Markets and published by . This book was released on 1979 with total page 1126 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Options Market and the National Market System written by United States. Congress. House. Committee on Energy and Commerce. Subcommittee on Oversight and Investigations and published by . This book was released on 1985 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inefficient Markets written by Andrei Shleifer and published by OUP Oxford. This book was released on 2000-03-09 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.
Download or read book Options Markets written by George M. Constantinides and published by Edward Elgar Publishing. This book was released on 2001 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of articles draws from work on derivatives from the last 25 years. The three volumes cover topics including: the theory, pricing and empirical evidence evidence on equity derivatives; fixed-income derivatives; exotics; real options; numerical methods; and risk management. The historical perspective offered by the book aims to offer fresh insight into derivatives.
Download or read book Strategic Analysis Of Financial Markets The In 2 Volumes written by Steven D Moffitt and published by World Scientific Publishing Company. This book was released on 2017-03-24 with total page 1119 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 1 of 'The Strategic Analysis of Financial Markets,' — Framework, is premised on the belief that markets can be understood only by dropping the assumptions of rationality and efficient markets in their extreme forms, and showing that markets still have an inherent order and inherent logic. But that order results primarily from the 'predictable irrationality' of investors, as well as from people's uncoordinated attempts to profit. The market patterns that result do not rely on rationality or efficiency.A framework is developed for understanding financial markets using a combination of psychology, statistics, game and gambling analysis, market history and the author's experience. It expresses analytically how professional investors and traders think about markets — as games in which other participants employ inferior, partially predictable strategies. Those strategies' interactions can be toxic and lead to booms, bubbles, busts and crashes, or can be less dramatic, leading to various patterns that are mistakenly called 'market inefficiencies' and 'stylized facts.'A logical case is constructed, starting from two foundations, the psychology of human decision making and the 'Fundamental Laws of Gambling.' Applying the Fundamental Laws to trading leads to the idea of 'gambling rationality' (grationality), replacing the efficient market's concept of 'rationality.' By classifying things that are likely to have semi-predictable price impacts (price 'distorters'), one can identify, explore through data analysis, and create winning trading ideas and systems. A structured way of doing all this is proposed: the six-step 'Strategic Analysis of Market Method.' Examples are given in this and Volume 2.Volume 2 of 'The Strategic Analysis of Financial Markets' — Trading System Analytics, continues the development of Volume 1 by introducing tools and techniques for developing trading systems and by illustrating them using real markets. The difference between these two Volumes and the rest of the literature is its rigor. It describes trading as a form of gambling that when properly executed, is quite logical, and is well known to professional gamblers and analytical traders.But even those elites might be surprised at the extent to which quantitative methods have been justified and applied, including a life cycle theory of trading systems. Apart from a few sections that develop background material, Volume 2 creates from scratch a trading system for Eurodollar futures using principles of the Strategic Analysis of Markets Method (SAMM), a principled, step-by-step approach to developing profitable trading systems. It has an entire Chapter on mechanical methods for testing and improvement of trading systems, which transcends the rather unstructured and unsatisfactory 'backtesting' literature. It presents a breakout trend following system developed using factor models. It also presents a specific pairs trading system, and discusses its life cycle from an early, highly profitable period to its eventual demise. Recent developments in momentum trading and suggestions on improvements are also discussed.
Download or read book The Structure of Securities Markets written by United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs and published by . This book was released on 2001 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book SEC Docket written by United States. Securities and Exchange Commission and published by . This book was released on 2015 with total page 1196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Efficiently Inefficient written by Lasse Heje Pedersen and published by Princeton University Press. This book was released on 2019-09-17 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: Efficiently Inefficient describes the key trading strategies used by hedge funds and demystifies the secret world of active investing. Leading financial economist Lasse Heje Pedersen combines the latest research with real-world examples and interviews with top hedge fund managers to show how certain trading strategies make money--and why they sometimes don't. Pedersen views markets as neither perfectly efficient nor completely inefficient. Rather, they are inefficient enough that money managers can be compensated for their costs through the profits of their trading strategies and efficient enough that the profits after costs do not encourage additional active investing. Understanding how to trade in this efficiently inefficient market provides a new, engaging way to learn finance. Pedersen analyzes how the market price of stocks and bonds can differ from the model price, leading to new perspectives on the relationship between trading results and finance theory. He explores several different areas in depth--fundamental tools for investment management, equity strategies, macro strategies, and arbitrage strategies--and he looks at such diverse topics as portfolio choice, risk management, equity valuation, and yield curve logic. The book's strategies are illuminated further by interviews with leading hedge fund managers: Lee Ainslie, Cliff Asness, Jim Chanos, Ken Griffin, David Harding, John Paulson, Myron Scholes, and George Soros.
Download or read book Encyclopedia of Microcomputers written by Allen Kent and published by CRC Press. This book was released on 1992-01-06 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The Encyclopedia of Microcomputers serves as the ideal companion reference to the popular Encyclopedia of Computer Science and Technology. Now in its 10th year of publication, this timely reference work details the broad spectrum of microcomputer technology, including microcomputer history; explains and illustrates the use of microcomputers throughout academe, business, government, and society in general; and assesses the future impact of this rapidly changing technology."
