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A Tale of Two Consequences 两种结果的故事
The Journal of Trading Pub Date : 2015-09-30 DOI: 10.3905/jot.2015.10.4.051
R. Kashyap
{"title":"A Tale of Two Consequences","authors":"R. Kashyap","doi":"10.3905/jot.2015.10.4.051","DOIUrl":"https://doi.org/10.3905/jot.2015.10.4.051","url":null,"abstract":"This article looks at the effect of the tick size changes by the Tokyo Stock Exchange on January 14, 2014, and July 22, 2014, on the TOPIX 100 index stocks. The intended consequence of the change is price improvement and shorter time to execution. The author examines at security level metrics, including the spread, trading volume, number of trades, and the size of trades to establish whether this goal is accomplished. An unintended effect might be the reduction in execution sizes, which would then mean that institutions with large orders would have greater difficulty in sourcing liquidity. He looks at a sample of real orders to see if the execution costs have gone up across the orders since the implementation of this change.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133520400","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 26
Predictable ETF Order Flows and Market Quality 可预测的ETF订单流和市场质量
The Journal of Trading Pub Date : 2015-08-01 DOI: 10.3905/jot.2015.10.4.017
H. Bessembinder
{"title":"Predictable ETF Order Flows and Market Quality","authors":"H. Bessembinder","doi":"10.3905/jot.2015.10.4.017","DOIUrl":"https://doi.org/10.3905/jot.2015.10.4.017","url":null,"abstract":"Institutional order flow can often be predicted. Examples include trades by index funds when stocks are added to or deleted from indexes; the rebalancing trades of rules-based ETFs, including leveraged and inverse ETFs; rebalancing to maintain target asset weights; rebalancing to maintain option hedges; and roll outs of expiring futures contracts. Some authors have highlighted the destabilizing effects on market quality related to predictable order flow. The goal of this article is to provide a deeper analysis of the existing infrastructure and the issues that arise from the execution of predictable institutional orders. Considering the roles of information and competition, predictable orders should in long run equilibrium have minimal effects on prices, because they are most often not motivated by fundamental information, they attract natural counterparties, and they benefit from additional liquidity supply.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126090448","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 15
The Market Impact of Passive Trading 被动交易对市场的影响
The Journal of Trading Pub Date : 2015-06-30 DOI: 10.3905/jot.2015.10.3.005
Michael J. Aked, M. Moroz
{"title":"The Market Impact of Passive Trading","authors":"Michael J. Aked, M. Moroz","doi":"10.3905/jot.2015.10.3.005","DOIUrl":"https://doi.org/10.3905/jot.2015.10.3.005","url":null,"abstract":"Implementing a passive strategy with significant assets under management affects market values and thus gives rise to implicit costs in addition to the explicit costs, such as commissions and transaction-related fees. This article presents a conceptual framework and mathematical model for decomposing implicit trading costs and comparing them across active, passive, and smart beta strategies that do not involve frequent trading. The proposed framework, which improves on the weighted-average market capitalization/turnover approach, is intended to help providers and investors evaluate the investability or capacity of index-based strategies.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122427544","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
Dancing in the Dark: Optimal Liquidity Search under Portfolio Constraints 在黑暗中跳舞:投资组合约束下的最优流动性搜索
The Journal of Trading Pub Date : 2015-06-30 DOI: 10.3905/jot.2015.10.3.036
Ben Polidore, Wenjie Xu, J. Alexandre, Zhicheng Wei
{"title":"Dancing in the Dark: Optimal Liquidity Search under Portfolio Constraints","authors":"Ben Polidore, Wenjie Xu, J. Alexandre, Zhicheng Wei","doi":"10.3905/jot.2015.10.3.036","DOIUrl":"https://doi.org/10.3905/jot.2015.10.3.036","url":null,"abstract":"One of the core responsibilities of many institutional traders is managing cash and risk constraints of a portfolio. Traders often do not take advantage of dark trading and block trading because of the risk of an unpredictable and unbalanced change to the composition of the executing list. Said differently, the randomness of dark fills makes it very difficult to constrain an optimization using dark as the only source of liquidity. In this article, the authors offer a solution to this problem using stochastic programming to create linear constraints for a quadratic optimization. They believe this research can be used by algorithm designers to bridge the gap between two dissimilar, yet useful, products: dark aggregation and portfolio trading algorithms.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"186 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116184120","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Understanding ETFs: Trading and Valuation 了解etf:交易与估值
The Journal of Trading Pub Date : 2015-06-30 DOI: 10.3905/JOT.2015.10.3.024
David J. Abner
{"title":"Understanding ETFs: Trading and Valuation","authors":"David J. Abner","doi":"10.3905/JOT.2015.10.3.024","DOIUrl":"https://doi.org/10.3905/JOT.2015.10.3.024","url":null,"abstract":"Examining the trading characteristics of the exchange-traded fund (ETF) product set enables investors to under-stand how growth is spreading out among a wider variety of products. Investors have learned more about the mechanisms underlying ETFs and are now able to use more of the ETF product set. Useful metrics such as implied liquidity enable investors to see potential ETF liquidity in a quantitative manner and expand the investment options in their portfolios. Moreover, understanding the nuances of executing ETFs efficiently is critical as investors move beyond the small number of ETFs that present high average daily trading volumes and utilize products with high implied liquidity but lower volumes.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"52 11","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113938790","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Option Bid–Ask Spread and Liquidity 期权买卖价差和流动性
The Journal of Trading Pub Date : 2015-06-30 DOI: 10.3905/jot.2015.10.3.044
Mo Chaudhury
{"title":"Option Bid–Ask Spread and Liquidity","authors":"Mo Chaudhury","doi":"10.3905/jot.2015.10.3.044","DOIUrl":"https://doi.org/10.3905/jot.2015.10.3.044","url":null,"abstract":"This article focuses on the search for a economically meaningful and easy to implement summary quantitative measure for option liquidity. The author shows that the relative spread measure (quoted dollar bid–ask spread relative to the midquote price) not only leads to liquidity ranking of options that is contrary to the popular view, but it is also biased against lower-priced options and hence can lead to erroneous conclusion about the liquidity risk premium of options. To gain economic insight in this regard, he uses a simple inventory hedging model of bid–ask spreads. He proposes two alternative summary measures of option liquidity: one using the implied dollar volatility of the asset to scale the dollar spread and the other expressing the bid, ask, and midquote option prices in terms of respective implied volatilities. Using a sample of more than two million end-of-day option quotes for 30 Dow Jones stocks and Goldman Sachs, the author finds that these very simple and intuitive measures seem to produce a liquidity ranking of options that is generally consistent with common knowledge about options liquidity.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130210755","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Editor’s Letter 编辑的信
The Journal of Trading Pub Date : 2015-06-30 DOI: 10.3905/jot.2015.10.3.001
Brian R. Bruce
{"title":"Editor’s Letter","authors":"Brian R. Bruce","doi":"10.3905/jot.2015.10.3.001","DOIUrl":"https://doi.org/10.3905/jot.2015.10.3.001","url":null,"abstract":"","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"139 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115628958","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal Measure and Drivers of U.S. Treasury Market (Il)Liquidity: Will Low Liquidity Be the New Normal? 美国国债市场流动性的最优测度和驱动因素:低流动性会成为新常态吗?
The Journal of Trading Pub Date : 2015-06-30 DOI: 10.3905/jot.2015.10.3.057
D. Sarkar, J. Younger
{"title":"Optimal Measure and Drivers of U.S. Treasury Market (Il)Liquidity: Will Low Liquidity Be the New Normal?","authors":"D. Sarkar, J. Younger","doi":"10.3905/jot.2015.10.3.057","DOIUrl":"https://doi.org/10.3905/jot.2015.10.3.057","url":null,"abstract":"Recent bouts of volatility in the Treasury market, exacerbated by stubbornly depressed liquidity, have caught the attention of a large number of market participants. In this article, the authors compare several popular measures of U.S. Treasury market liquidity and attempt to identify the driving forces behind the recent decline. Their analysis shows that Treasury market depth is the best measure of liquidity, as it has historically done an excellent job in forecasting volatility and is conceptually more appealing than other popular measures, such as bid–ask spreads and trading volume. Although uncertainty regarding the path of U.S. monetary policy has been partly responsible for the recent decline in liquidity, the authors suggest that structural changes in the marketplace have helped aggravate the situation. Increasingly active queue management has led market makers to withdraw liquidity in times of heightened volatility, and regulatory constraints have restricted dealers’ ability to provide liquidity, because they are incentivized to hold smaller inventories than in the past and are generally more risk averse.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114631545","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Behind Stock Price Movement: Supply and Demand in Market Microstructure and Market Influence 股票价格变动背后:市场微观结构中的供求关系和市场影响
The Journal of Trading Pub Date : 2015-06-30 DOI: 10.3905/jot.2015.10.3.013
Jingle Liu, Sanghyun Park
{"title":"Behind Stock Price Movement: Supply and Demand in Market Microstructure and Market Influence","authors":"Jingle Liu, Sanghyun Park","doi":"10.3905/jot.2015.10.3.013","DOIUrl":"https://doi.org/10.3905/jot.2015.10.3.013","url":null,"abstract":"This article studies explanatory factors for short-term stock price movement in the U.S. equity market by exploiting the relationship among liquidity supply, liquidity demand, and market movement. Liquidity provision and taking activities at the market-microstructure level are quantitatively measured by central limit order book imbalance and trade imbalance. The authors find that a multivariate linear model, fitted on empirical results of 42 individual U.S. stocks, is able to explain up to 78% of stock movement in short time intervals, with its explanatory powers and model coefficients varying with the length of interval ranging from 30 seconds to 1 hour. This study offers insight in quantifying supply-demand dynamics in market microstructure and provides meaningful ways for trading algorithms to minimize the market impact of orders and maximize liquidity extraction.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126029489","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Impact of Macroeconomic Announcements on ETF Trading Volumes 宏观经济公告对ETF交易量的影响
The Journal of Trading Pub Date : 2015-04-12 DOI: 10.3905/jot.2015.10.3.031
Daniel Nadler, A. Schmidt
{"title":"Impact of Macroeconomic Announcements on ETF Trading Volumes","authors":"Daniel Nadler, A. Schmidt","doi":"10.3905/jot.2015.10.3.031","DOIUrl":"https://doi.org/10.3905/jot.2015.10.3.031","url":null,"abstract":"The authors examine the impact of major macroeconomic announcements on the daily trading volumes of several U.S. exchange-traded funds for the period of January 2004–April 2014. An ARIMA model with external factors that describe the announcement events is used. They find that several macroeconomic announcements, particularly the ISM Manufacturing Reports, Non-Farm Payrolls, Housing Starts, and to a lesser extent, Jobless Claims, Leading Indicators, and CPI significantly increase daily trading volumes.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125616576","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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