Search results for "Alternative trading system"
showing 7 items of 7 documents
Structural Reforms in Banking: The Role of Trading
2017
In the wake of the recent financial crisis, significant regulatory actions have been taken aimed at limiting risks emanating from trading in bank business models. Prominent reform proposals are the Volcker Rule in the U.S., the Vickers Report in the UK, and, based on the Liikanen proposal, the Barnier proposal in the EU. A major element of these reforms is to separate "classical" commercial banking activities from securities trading activities, notably from proprietary trading. While the reforms are at different stages of implementation, there is a strong ongoing discussion on what possible economic consequences are to be expected. The goal of this paper is to look at the alternative approa…
Insider Trading and Market Behaviour Around Takeover Announcements in the Spanish Market
2002
As microstructure models assume informational asymmetries among investors, the possibility of insider trading is a sound reason for liquidity suppliers to increase the bid-ask spread. In this way, the tested effect that takeover announcements have on target firm returns becomes a strong motive for trading with insider information. In this paper we firstly investigate whether liquidity suppliers value the possibility of trading with informed agents in this sort of event. We analyse the adverse selection cost from bid-ask spread behaviour around takeover announcements. We find that liquidity suppliers enlarge adverse selection cost suggesting that they value the possibility of facing to insid…
Where Has All the Trading Gone? A Network Approach to European Stock Exchanges and Alternative Trading Venue
2011
This paper investigates the network features of European trading venues by analyzing the behavior of simultaneously quoted stock. Equity trading venues include both regulated Stock Exchanges (SEs) and Alternative Trading Venues (ATVs) and these represent the nodes of our network. The connections among these nodes are determined by choices of investors to exploit various venues in which a stock may be traded. Using trading volume data of nearly 22,000 equities we use social network analysis to measure prestige and connectivity between the various trading venues between 2005 and 2009. We find that the evolution of ATVs (including multi-lateral trading venues BATS, Chi-X and Turquoise, as well…
Accounting for Emission Trading Schemes: A Still Open Debate
2014
AbstractEmission allowances form the common trading currency introduced by the European Emission Trading Scheme to cover the emission of greenhouse gases. This initiative forces companies to internalise environmental expenses, so that it has an impact on accounting practices. The aim of this note is to discuss some alternative views on how to record this economic transaction, which could help the International Accounting Standards Board to find an accepted proposal. Adopting a common approach would always be preferable to the current situation characterised by total discretion. Indeed relying on the business model as proposed by the Autorite des Normes Comptables and the European Financial …
Effects of Behavioural Finance on Emerging Capital Markets
2014
Abstract A recent common view of finance experts is that it is becoming increasingly difficult to understand how the economy as a whole works. Although the efficient market theory might be considered an ideal model enabling the interpretation of market behavior, it has begun to lose ground, and the rationality hypothesis failed to explain the excessive volatility of the returns and trading volume recorded on both developed capital markets and emerging ones. Adding the behavioral finance perspective to the equation can help us to understand better how market agents will react. In this article, we investigate the factors that may explain the trading volume evolution on two emerging capital ma…
Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
2011
We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants which are non-members. We find that (i) the volume distribution of off-book transactions has a significantly fatter tail than the one of on-book transactions, (ii) groups of members and non-members can be classified in categories according to their trading profile (iii) there is a strong anticorrelation between the daily inventory variation of a market member due to the on-book market transactions and inventory variation due to the off-book market transac…
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.