Search results for " Trading"
showing 10 items of 83 documents
Transaction Costs and Returns to a Trading Strategy
2017
This chapter starts with a review of transaction costs in capital markets. Then it demonstrates how to simulate the returns to a moving average trading strategy in the presence of transaction costs. The following two cases are considered when a trading indicator generates a sell signal: case one where the trader switches to cash, and case two where the trader alternatively sells short a financial asset.
What really causes large price changes?
2003
We study the cause of large fluctuations in prices in the London Stock Exchange. This is done at the microscopic level of individual events, where an event is the placement or cancellation of an order to buy or sell. We show that price fluctuations caused by individual market orders are essentially independent of the volume of orders. Instead, large price fluctuations are driven by liquidity fluctuations, variations in the market's ability to absorb new orders. Even for the most liquid stocks there can be substantial gaps in the order book, corresponding to a block of adjacent price levels containing no quotes. When such a gap exists next to the best price, a new order can remove the best q…
Governance della filiera tra intervento pubblico e autonomia privata
2020
This volume deals with the complex issue of the agri-food chain, which is a formula for synthesis around which the doctrinal and ideological debate has developed on the process of integrating legal relations that is established from agricultural production to its placing on the market. The extent of the field of investigation, its limits and boundaries affect areas of relevance that affect related sectors with still ambiguous and undefined contours (agrobusiness, agri-food and agro-industrial). The characteristics of the agri-food industry, its differences from agro-industrial, its discipline are always disputed; and even now the legislation and authoritative and distinguished scholars deny…
Causalities between CO2, electricity, and other energy variables during phase I and phase II of the EU ETS
2010
The topic of this article is the analysis of the interplay between daily carbon, electricity and gas price data with the European Union Emission Trading System (EU ETS) for CO2 emissions. In a first step we have performed Granger causality tests for Phase I of the EU ETS (January 2005 until December 2007) and the first year of Phase II of the EU ETS (2008). The analysis includes both spot and forward markets—given the close interactions between the two sets of markets. The results show that during Phase I coal and gas prices, through the clean dark and spark spread, impacted CO2 futures prices, which in return Granger caused electricity prices. During the first year of the Phase II, the sho…
Volatility transmission in the CO<inf>2</inf> and energy markets
2009
The main consequence of the launch, in 2005, of the European Union Emission Trading Scheme (EU ETS) has been the establishment of a price for carbon emissions. Thus, major energy producers in Europe are now aware of the impact of their polluting activities. The interest in analysing the carbon markets from a financial point of view has exponentially increased since the launch of the EU ETS. However, no research articles have focused their attention on the volatility transmission between CO 2 and energy markets. The aim of this paper is to fill this gap in the literature. Specifically, our particular interest is to examine whether or not conditional volatility is transmitted across those mar…
Cambios en el comercio exterior de los países del este. La difícil reinserción en Europa
1999
Changes in the foreign trade of the countries of the East. The difficult assimilation into Europe. The direction of the trading lines of the post-communist countries has been modified by the political and economical changes of the countries of the East of Europe, the dismantling of the COMECON, as well as by the disintegration of the USSR and the detente in the international relationships. During the forty years that the COMECON was prevailing, that region centred its attention on the USSR, but nowadays the East looiks at the West, concretaly at the European Union and more exactly at Germany. The composition of the imports and exports reveals the marked dependence on Central and Eastern Eur…
Notations et écarts de rentabilité : le marché français avant l'euro
2003
The main task of this paper is to confront two classical measures of default risk of the issuer, the rating and the spread. The first is attributed by agencies specialized in this activity (Standard and Poor's or Moody's) while the second results directly from the market price of the bond. This article studies this link over a period of two years for about forty French denominated bonds. Two measures of the spread are used and the results obtained show the very partial consideration of this information by the investors on the French bond market.
HFT-järjestelmien tehokkuuden parantaminen
2016
Teknologian kehittyminen on avannut uusia liiketoimintamahdollisuuksia myös finanssialalle. Automatisoitu arvopaperikaupankäynti on vakiinnuttanut asemansa arvopaperimarkkinoilla ja yritykset etsivät yhä parempia tapoja saavuttaa kaupankäyntietuja muihin kaupankävijöihin nähden. Automatisoidussa arvopaperikaupankäynnissä nopeuden on nähty olevan kaupankäynnissä eduksi, jolloin markkinamuutoksiin voidaan reagoida ennen muita kaupankävijöitä. Alan yritykset ovatkin ryhtyneet niin sanottuun nopeuskilpailuun ja pyrkivät tehostamaan kaupankäyntijärjestelmiään. Nopeasta automatisoidusta arvopaperikaupankäynnistä voidaan käyttää lyhennettä HFT (High Frequency Trading). Tämän kirjallisuuskatsauksee…
Wpływ handlu zagranicznego Unii Europejskiej na rzeczywistą emisję CO2
2016
Emisja CO2 jest problemem globalnym. Oznacza to, że walka tylko części krajów w tym obszarze niewiele zmienia. Celem niniejszego artykułu jest próba ukazania rzeczywistego poziomu emisji CO2 w UE, jak również wpływ wymiany handlowej Unii na emisję CO2 u jej głównych partnerów handlowych. Badanie zostało przeprowadzone na grupie 20 głównych partnerów handlowych UE i samej Unii. Rzeczywisty poziom emisji CO2 uzyskano przez zastosowanie wskaźnika emisji rzeczywistej. Jego wielkość uwzględnia transfer CO2 w produktach i usługach eksportowych, a także importowanych przez poszczególne kraje. W wyniku jego zastosowania okazało się, że rzeczywisty poziom emisji CO2 w badanych krajach jest znacznie …
Customer satisfaction within a large scale retail trading group: research design and control
2010
Even in contexts where Customer Management techniques are not very advanced, the need for relations with customers is as strong as to suggest expensive ad hoc researches able to simultaneously measure the satisfaction levels, to detect the eventual inadequacy of selling actions, to investigate the relations of customers with competitors. This is why the Grande Migliore Group in Palermo commissioned a research from the University of Palermo. The research was made in year 2008 at 10 Grande Migliore shops in Palermo and in other Western Sicily towns. The multipurpose nature of the research and the features of the customers population suggested the adoption of an ad hoc research design, the fea…