搜索结果: 1-15 共查到“商业经济学 Trading”相关记录18条 . 查询时间(0.052 秒)
The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
Arms Race Frequent Batch
2015/9/18
The high-frequency trading arms race is a symptom of flawed market design. Instead
of the continuous limit order book market design that is currently predominant, we argue
that financial...
Upstream vs. downstream CO2 trading: A comparison for the electricity context
Emissions trading Greenhouse Gas regulation
2015/7/31
In electricity, ‘‘downstream’’ CO2 regulation requires retail suppliers to buy energy from a mix of
sources so that their weighted emissions satisfy a standard. It has been argued that such ‘‘load-ba...
Bid,Ask and Transactions Prices in a Specialist Market with Insider Trading
Bid Ask Transactions Prices Specialist Market Insider Trading
2015/7/21
Bid,Ask and Transactions Prices in a Specialist Market with Insider Trading.
Decentralized Trading with Private Information
Decentralized Trading Private Information asset prices
2014/3/18
The paper studies how asset prices are determined in a decentralized market with asymmetric information about the assets' value. We consider an economy in which a large number of agents trade two asse...
Point process bridges and weak convergence of insider trading models
point process bridge Glosten-Milgrom model Kyle model insider trading equilibrium weak convergence
2012/6/5
We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and its time 1 value sati...
Asymptotically Optimal Algorithm for Short-Term Trading Based on the Method of Calibration
Asymptotically Optimal Algorithm Short-Term Trading the Method of Calibration Artificial Intelligence
2012/6/5
A trading strategy based on a natural learning process, which asymptotically outperforms any trading strategy from RKHS (Reproduced Kernel Hilbert Space), is presented. In this process, the trader rat...
Optimal starting times, stopping times and risk measures for algorithmic trading
Quantitative Finance High-Frequency Trading Algorithmic Trading Optimal Execution Market Impact Risk Measures
2012/6/4
We derive explicit recursive formulas for Target Close (TC) and Implementation Shortfall (IS) in the Almgren-Chriss framework. We explain how to compute the optimal starting and stopping times for IS ...
Inside Trading, Public Disclosure and Imperfect Competition
Incomplete competition Asymmetric information Insider trading Price discovery Public disclosure
2011/3/30
In this paper, we present a multi-period trading model in the style of Kyle (1985)'s inside trading model, by assuming that there are at least two insiders in the market with long-lived private inform...
Efficient Computation of Optimal Trading Strategies
Efficient Computation Optimal Trading Strategies
2010/10/21
Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algor...
Empirical Limitations on High Frequency Trading Profitability
Empirical Limitations High Frequency Trading Profitability
2010/10/21
Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the...
Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy
Hedging Errors Induced Discrete Trading Adaptive Trading Strategy
2010/10/20
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reac...
Complex stock trading network among investors
Econophysics limit order book trade sizes trading networks
2010/10/19
We provide an empirical investigation aimed at uncovering the statistical properties of intricate stock trading networks based on the order flow data of a highly liquid stock (Shenzhen Development Ba...
Gone Fishin': Seasonality in Trading Activity and Asset Prices
Gone Fishin' Seasonality in Trading Activity Asset Prices
2014/3/18
We use seasonality in stock trading activity associated with summer vacation as a source of exogenous variation to study the relationship between trading volume and expected return. Using data from 51...
A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behaviors are observed for the return variance $\sigma^2$, the price impact $H$ and the predict...
Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets
Statistical Arbitrage Optimal Trading Transaction Costs Futures Markets
2010/12/13
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the ...