The Evolution of Price Discovery in US Equity and Derivatives Markets

The Evolution of Price Discovery in US Equity and Derivatives Markets
Author: Damien G. Wallace
Publisher:
Total Pages: 41
Release: 2014
Genre:
ISBN:

This paper investigates changes in the price discovery portions for two popular securities based on the S&P 500 index, namely the S&P 500 E-mini futures and the SPDR Exchange Traded Fund (Ticker SPY) for the period Jan 2002 through Dec 2013. We show a significant change in the price discovery of these two securities over this period. The E-mini futures are dominant for price discovery until 2007, though on a steady decline. After 2007 the SPY ETF dominates the price discovery process.

Tumbling Titans? The Changing Patterns of Price Discovery in the U.S. Equity Market

Tumbling Titans? The Changing Patterns of Price Discovery in the U.S. Equity Market
Author: Joachim Grammig
Publisher:
Total Pages: 40
Release: 2018
Genre:
ISBN:

After the implementation of Regulation NMS in 2007, the U.S. equity market became highly fragmented. The traditional exchanges, in particular the New York Stock Exchange (NYSE), lost substantial trading volume to the off-exchange market. We investigate the extent to which this development has been accompanied by a fragmentation of price discovery across established exchanges and off-exchange trading venues. The results of analyzing high frequency data of 91 U.S. stocks over a period of six years show that the contribution of the NYSE to price discovery has sharply declined; as of 2012, it even was overtaken by the Nasdaq. Trading in the off-exchange market also contributes to price discovery with rapidly increasing shares. Using daily estimates, we document a positive link between liquidity and price discovery contributions and offer evidence that liquidity Granger-causes price discovery for NYSE, Nasdaq, and trades reported through trade-reporting facilities.

Liquidity, Markets and Trading in Action

Liquidity, Markets and Trading in Action
Author: Deniz Ozenbas
Publisher: Springer Nature
Total Pages: 111
Release: 2022
Genre: Business enterprises
ISBN: 3030748170

This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.

Handbook of Financial Engineering

Handbook of Financial Engineering
Author: Constantin Zopounidis
Publisher: Springer Science & Business Media
Total Pages: 494
Release: 2010-07-25
Genre: Business & Economics
ISBN: 0387766820

This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.

The World's First Stock Exchange

The World's First Stock Exchange
Author: Lodewijk Petram
Publisher: Columbia University Press
Total Pages: 305
Release: 2014-05-27
Genre: Business & Economics
ISBN: 0231537328

This account of the sophisticated financial hub that was 17th-century Amsterdam “does a fine job of bringing history to life” (Library Journal). The launch of the Dutch East India Company in 1602 initiated Amsterdam’s transformation from a regional market town into a dominant financial center. The Company introduced easily transferable shares, and within days buyers had begun to trade them. Soon the public was engaging in a variety of complex transactions, including forwards, futures, options, and bear raids, and by 1680 the techniques deployed in the Amsterdam market were as sophisticated as any we practice today. Lodewijk Petram’s award-winning history demystifies financial instruments by linking today’s products to yesterday’s innovations, tying the market’s operation to the behavior of individuals and the workings of the world around them. Traveling back in time, Petram visits the harbor and other places where merchants met to strike deals. He bears witness to the goings-on at a notary’s office and sits in on the consequential proceedings of a courtroom. He describes in detail the main players, investors, shady characters, speculators, and domestic servants and other ordinary folk, who all played a role in the development of the market and its crises. His history clarifies concerns that investors still struggle with today—such as fraud, the value of information, trust and the place of honor, managing diverging expectations, and balancing risk—and does so in a way that is vivid, relatable, and critical to understanding our contemporary world.

Derivatives

Derivatives
Author: Robert E. Whaley
Publisher: John Wiley & Sons
Total Pages: 962
Release: 2007-02-26
Genre: Business & Economics
ISBN: 0470086386

Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.

Guide to Financial Markets

Guide to Financial Markets
Author: Marc Levinson
Publisher: The Economist
Total Pages: 250
Release: 2018-07-24
Genre: Business & Economics
ISBN: 1541742516

The revised and updated 7th edition of this highly regarded book brings the reader right up to speed with the latest financial market developments, and provides a clear and incisive guide to a complex world that even those who work in it often find hard to understand. In chapters on the markets that deal with money, foreign exchange, equities, bonds, commodities, financial futures, options and other derivatives, the book examines why these markets exist, how they work, and who trades in them, and gives a run-down of the factors that affect prices and rates. Business history is littered with disasters that occurred because people involved their firms with financial instruments they didn't properly understand. If they had had this book they might have avoided their mistakes. For anyone wishing to understand financial markets, there is no better guide.

Europe's Hidden Capital Markets

Europe's Hidden Capital Markets
Author: Jean-Pierre Casey
Publisher: CEPS
Total Pages: 142
Release: 2005
Genre: Business & Economics
ISBN: 9290795964

Assessing regulatory measures taken at the EU level that impact European bond markets, this book examines the desirability, utility, and feasibility of certain policy measures.

Confusion de Confusiones [1688]

Confusion de Confusiones [1688]
Author: José de la Vega
Publisher: Colchis Books
Total Pages: 104
Release: 1957
Genre: Business & Economics
ISBN:

This book is the first that describes the practices of any stock exchange; it makes evident a high development of practices, with puts, calls, pools, and manipulations; and it appeared as early as the seventeenth century. Not inappropriately the stock exchange described is that of Amsterdam, a city which at the date of the volume’s publication —1688 — was still the leading financial center of the world. The book, to be sure, is hardly a systematic account of the institution; the author pursued moral, philosophical, and rhetorical objectives, and, while saying a lot that seems now to be of little value, manages somehow to leave unsaid a great deal that would be of interest for us. Nevertheless, it represents, even in its peculiar form, a really important source of information about the stock exchange, and indeed about the Dutch business world of that period.