Search results for " Trading"

How does the market react to your order flow?

2012

We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence that (1) brokers are very heterogeneous in liquidity provision -- some are consistently liquidity providers while others are consistently liquidity takers. (2) The behaviour of brokers is strongly conditioned on the actions of {\it other} brokers. In contrast brokers are only weakly influenced by the impact of their own previous ord…

A theory for long-memory in supply and demand

2004

Recent empirical studies have demonstrated long-memory in the signs of orders to buy or sell in financial markets [2, 19]. We show how this can be caused by delays in market clearing. Under the common practice of order splitting, large orders are broken up into pieces and executed incrementally. If the size of such large orders is power law distributed, this gives rise to power law decaying autocorrelations in the signs of executed orders. More specifically, we show that if the cumulative distribution of large orders of volume v is proportional to v to the power -alpha and the size of executed orders is constant, the autocorrelation of order signs as a function of the lag tau is asymptotica…

Stock markets and quantum dynamics: A second quantized description

2009

In this paper we continue our description of stock markets in terms of some non-abelian operators which are used to describe the portfolio of the various traders and other observable quantities. After a first prototype model with only two traders, we discuss a more realistic model of market involving an arbitrary number of traders. For both models we find approximated solutions for the time evolution of the portfolio of each trader. In particular, for the more realistic model, we use the stochastic limit approach and a fixed point like approximation. © 2007 Elsevier B.V. All rights reserved

Quantifying preferential trading in the e-MID interbank market

2015

Interbank markets allow credit institutions to exchange capital for purposes of liquidity management. These markets are among the most liquid markets in the financial system. However, liquidity of interbank markets dropped during the 2007-2008 financial crisis, and such a lack of liquidity influenced the entire economic system. In this paper, we analyze transaction data from the e-MID market which is the only electronic interbank market in the Euro Area and US, over a period of eleven years (1999-2009). We adapt a method developed to detect statistically validated links in a network, in order to reveal preferential trading in a directed network. Preferential trading between banks is detecte…

Statistical identification with hidden Markov models of large order splitting strategies in an equity market

2010

Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify and characterize hidden orders we fit hidden Markov models to the time series of the sign of the tick by tick inventory variation of market members of the Spanish Stock Exchange. Our methodology probabilistically detects trading sequences, which are characterized by a net majority of buy or sell transactions. We interpret these patches of sequential buying or selling transactions as proxies of the traded hidden orders. We find that the time, volume and number of transactions size distributions of …

Estimating carbon credits variations supplied from agricultural and forest soils of Italy between 1979 and 2008.

2011

Soils contain approximately three times the world amount of organic carbon in vegetation and approximately the double of that present in the atmosphere. However, soil organic carbon (SOC) has been found lowering in many areas, while atmospheric CO2 was on increase. It is well known that there is a marked inter-dependence between SOC and climate, nevertheless, recent researches have demonstrated that changes of land use and management can cause gains or losses of SOC greater than climatic changes. Italy, which has joined the Kyoto Protocol, has decided to consider only forest management within the additional activities contemplated for the count of carbon credits, and to launch a monitoring …

COLLECTION, PROCESSING, PRESERVATION AND TRADING OF WILD EDIBLE MUSHROOMS

2013

A new fuzzy logic controller for trading on the stock market

2007

A common problem that financia l operators often meet in their own work is to make, at the right moment, the operational choices on the Stock Market. Once the Market to act on has been chosen, the financial operator has to decide when and how to operate on it, in order to achieve a profit . The problem that we are going to deal with is the planning of an automatic decisional system for the management of long positions on bull market. First, a trading system (TS) will be im plemented pointing its features out. Then a fuzzy logic implementation of the TS will be introduced (FTS). The fuzzy system will be optimized by the genetic algorithms. Finally, the two different implementations of the tr…

LA DISCIPLINA DEL SETTORE ENERGETICO IN UN SISTEMA MULTILIVELLO

2014

Da una prospettiva privilegiata, quale quella offerta dal diritto dell’energia, si affronta l’allocazione nei diversi livelli di governo della funzione legislativa e delle funzioni amministrative e, quindi, come in concreto viene utilizzata da ciascun ente la propria quota-parte di competenze. In particolare, si esamina lo spatium operandi riconosciuto all’autonomia legislativa ed amministrativa delle Regioni alla luce della riforma del Titolo V della Costituzione e delle riforme della legislazione nazionale ed europea che si sono succedute, con particolare riferimento allo strumento di pianificazione energetica della Regione siciliana. Inoltre, si considerano le refluenze che l’assetto di …

THE CAROUSEL VALUE-ADDED TAX FRAUD IN THE EUROPEAN EMISSION TRADING SYSTEM

2012

n this article, we analyse the effects of the carousel value-added tax fraud in the European carbon market and the legislative measures that the EU Member States could adopt to deal with this phenomena. We use a computable general equilibrium model, called GTAP-E and the version 6 of the GTAP database to evaluate the economy-wide and terms of trade effects. The policy test has been designed for five European countries: Belgium, France, Germany, Italy, Netherlands and the United Kingdom. According to our findings, the legislative measures aimed to remove the VAT fraud in the European Emission Trading System will have positive effects in terms of GDP and welfare in the selected EU Member Stat…