Download or read book The Microstructure of Reference Rates written by Roy Stein and published by . This book was released on 2017 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reference rate markets are a central feature in capital markets around the world that enable lenders to expand financing possibilities for the business sector and reduce exposure to risks of unexpected changes in the interest rate. However, due to the many manipulations of reference rates discovered in the Libor market it is important to examine the reference rate markets in Israel and their financial characteristics. In the present study we focus on the microstructure of these markets. To this end, we examine the statistical features of the reference rates and monitor the types of premiums included in the reference rates. We show that the Telbor rate is suited to serve as a reference for financial products and assets as it does not expose the participant to the risks of the banking system and effectively reflects the prevailing interest rate on any business day.
Download or read book The Microstructure of Financial Markets written by Frank de Jong and published by Cambridge University Press. This book was released on 2009-05-14 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Microstructure Approach to Exchange Rates written by Richard K. Lyons and published by MIT Press (MA). This book was released on 2001 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explaining the puzzling behavior of exchange rates using models from microstructure finance and data from electronic trading.
Download or read book An Introduction to the Microstructure of Emerging Markets written by Jack D. Glen and published by World Bank Publications. This book was released on 1994-01-01 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: IFC Discusssion Paper No. 24. Investors' interest in emerging markets has grown significantly in recent years because of potential high returns and the benefits of diversification. Despite this increased activity, there remains little information o
Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2009-05-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Download or read book What Are Reference Rates For written by Divya Kirti and published by International Monetary Fund. This book was released on 2017-01-27 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: What is the precise role of reference rates? Why does it matter if LIBOR was manipulated? To address these questions, I analyze the use of reference rates in floating-rate loans and interestrate derivatives in the context of lending relationships. I develop a simple framework combining maturity transformation with three key frictions which generate meaningful funding risk and a rationale for risk management. Reference rates like LIBOR mitigate contractual incompleteness, facilitating management of funding risk. As bank funding costs move with bank credit risk, it makes sense for the reference rate to have a bank credit risk component. Manipulation can add noise, reducing the usefulness of reference rates for this purpose.
Download or read book Market Microstructure In Practice Second Edition written by Charles-albert Lehalle and published by World Scientific. This book was released on 2018-01-18 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book exposes and comments on the consequences of Reg NMS and MiFID on market microstructure. It covers changes in market design, electronic trading, and investor and trader behaviors. The emergence of high frequency trading and critical events like the'Flash Crash' of 2010 are also analyzed in depth.Using a quantitative viewpoint, this book explains how an attrition of liquidity and regulatory changes can impact the whole microstructure of financial markets. A mathematical Appendix details the quantitative tools and indicators used through the book, allowing the reader to go further independently.This book is written by practitioners and theoretical experts and covers practical aspects (like the optimal infrastructure needed to trade electronically in modern markets) and abstract analyses (like the use on entropy measurements to understand the progress of market fragmentation).As market microstructure is a recent academic field, students will benefit from the book's overview of the current state of microstructure and will use the Appendix to understand important methodologies. Policy makers and regulators will use this book to access theoretical analyses on real cases. For readers who are practitioners, this book delivers data analysis and basic processes like the designs of Smart Order Routing and trade scheduling algorithms.In this second edition, the authors have added a large section on orderbook dynamics, showing how liquidity can predict future price moves, and how High Frequency Traders can profit from it. The section on market impact has also been updated to show how buying or selling pressure moves prices not only for a few hours, but even for days, and how prices relax (or not) after a period of intense pressure.Further, this edition includes pages on Dark Pools, Circuit Breakers and added information outside of Equity Trading, because MiFID 2 is likely to push fixed income markets towards more electronification. The authors explore what is to be expected from this change in microstructure. The appendix has also been augmented to include the propagator models (for intraday price impact), a simple version of Kyle's model (1985) for daily market impact, and a more sophisticated optimal trading framework, to support the design of trading algorithms.
Download or read book The Microstructure of Government Securities Markets written by Mr.Peter Dattels and published by International Monetary Fund. This book was released on 1995-11 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies the “market microstructure” literature to the specific features of government securities markets and draws implications for the strategy to develop government securities markets. It argues for an active role of the authorities in fostering the development of efficient market structures.
Download or read book Market Microstructure Theory written by Maureen O'Hara and published by John Wiley & Sons. This book was released on 1998-03-06 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Statistical Analysis of Microstructures in Materials Science written by Joachim Ohser and published by John Wiley & Sons. This book was released on 2000-12-19 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: The investigation of the origin and formation of microstructures and the effect that microstructure has on the properties of materials are important issues in materials science and technology. Geometrical analysis is often the key to understanding the formation of microstructures and the resulting material properties. The authors make use of mathematical morphology, spatial statistics, image processing, stereology and stochastic geometry to analyze microstructures arising in materials science. * Quantitative microstructure analysis is one of the most successful experimental techniques in materials science * Uses examples to demonstrate the techniques * Program code included enables the reader to apply the numerous algorithms * Accessible to material scientists with limited statistical knowledge Primarily aimed at applied materials scientists, the book will also appeal to those working and researching in earth sciences, material technology, mineralogy, petrography, image analysis, cytology and biology.
Download or read book Empirical Market Microstructure written by Joel Hasbrouck and published by Oxford University Press. This book was released on 2007-01-04 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Quantitative Description of the Microstructure of Materials written by Krzysztof Jan Kurzydlowski and published by CRC Press. This book was released on 1995-07-21 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, the product of a deep collaboration between the two authors, strikes a balance between the traditional approach and newly emerging techniques used to obtain a quantitative description of the microstructure of materials. The Quantitative Description of the Microstructure of Materials has a unique format that sets it apart from other books. The first half of the book gives a comprehensive account of the entire quantification process and presents material in a pedagogical style. Numerous examples appear throughout text to illustrate the methodology. A general introduction to the subject and basic concepts, definitions, techniques, and relationships are provided. Aspects of modern stereology are described in detail. Image processing, computer aided procedures of data analysis, and the elements of a system for image analysis also are discussed at length. The remaining chapters treat a series of significant examples in much more detail. This part of text offers information in an easy-to-access reference style, making it extremely useful as a guide to active researchers in the quantification guide. Topics include dislocations, internal and external surfaces, and quantitative characterization of thin film structures. The book covers geometry of grains and its effect on the properties of polycrystals. Particles, pores, and other isolated volumetric elements of the microstructure also are discussed.
Download or read book Understanding and Controlling the Microstructure of Complex Foods written by D. Julian McClements and published by Elsevier. This book was released on 2007-08-30 with total page 793 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is widely accepted that the creation of novel foods or improvement of existing foods largely depends on a strong understanding and awareness of the intricate interrelationship between the nanoscopic, microscopic and macroscopic features of foods and their bulk physiochemical properties, sensory attributes and healthfulness. With its distinguished editor and array of international contributors, Understanding and controlling the microstructure of complex foods provides a review of current understanding of significant aspects of food structure and methods for its control.Part one focuses on the fundamental structural elements present in foods such as polysaccharides, proteins and fats and the forces which hold them together. Part two discusses novel analytical techniques which can provide information on the morphology and behaviour of food materials. Chapters cover atomic force microscopy, image analysis, scattering techniques and computer analysis. Chapters in part three examine how the principles of structural design can be employed to improve performance and functionality of foods. The final part of the book discusses how knowledge of structural and physicochemical properties can be implemented to improve properties of specific foods such as ice-cream, spreads, protein-based drinks, chocolate and bread dough.Understanding and controlling the microstructure of complex foods is an essential reference for industry professionals and scientists concerned with improving the performance of existing food products and inventing novel food products. Reviews the current understanding of significant aspects of food structure and methods for its control Focuses on the fundamental structural elements present in foods such as proteins and fats and the forces that hold them together Discusses novel analytical techniques that provide information on the morphology and behaviour of food materials
Download or read book Topics in Market Microstructure written by Ilija I. Zovko and published by Amsterdam University Press. This book was released on 2008-09-01 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market microstructure is a study of the processes through which the investors predictions of the future and their trading strategies determine market prices. Recent advances in market microstructure have been made possible by the proliferation of computers in the trading process and the availability of high quality financial data. This has attracted researchers from various disciplines (e.g., finance, physics, computer science) creating an interdisciplinary research arena with the common goal of understanding a very complicated yet very well documented by data system of a large number of interacting intelligent agents. This book contains four papers in which the authors investigate the interactions of investors strategies and the resulting aggregate properties of transaction prices.
Download or read book Superalloys 2024 written by Jonathan Cormier and published by Springer Nature. This book was released on with total page 1121 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Ceramic Fibers and Coatings written by Committee on Advanced Fibers for High-Temperature Ceramic Composites and published by National Academies Press. This book was released on 1998-05-05 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: High-temperature ceramic fibers are the key components of ceramic matrix composites (CMCs). Ceramic fiber properties (strength, temperature and creep resistance, for example)-along with the debonding characteristics of their coatings-determine the properties of CMCs. This report outlines the state of the art in high-temperature ceramic fibers and coatings, assesses fibers and coatings in terms of future needs, and recommends promising avenues of research. CMCs are also discussed in this report to provide a context for discussing high-temperature ceramic fibers and coatings.
Download or read book Market Microstructure in Emerging and Developed Markets written by H. Kent Baker and published by John Wiley & Sons. This book was released on 2013-07-31 with total page 758 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
