Search results for "FINANCIAL MARKET"
showing 10 items of 198 documents
How Much Are We Willing To Lose in Cyberspace? On the Tail Risk of Scam in the Market for Initial Coin Offerings
2020
From an entrepreneurial perspective, Initial Coin Offering (ICO) has become an alternative way for attaining funding for business projects using the new evolving digital financial market for tokens. Unfortunately, the majority of all ICOs are subject to scam which casts doubt on this new innovative tool for acquiring funding. Using a unique intensively hand-collected data set covering more than 5000 ICOs which have been launched in the August 2014–December 2019 period, we could identify 1014 ICOs exhibiting data on raised funding whereof 576 turned out to be scams projects. The cumulative losses due to scam in the ICO market correspond to $10.12 billion which is 66% of our identified overal…
Haven on Earth? Dynamic Connections between Gold and Stock Markets in Turbulent Times
2017
We find that exogenous structural shocks caused by terrorist attacks, wars, political turmoil and gold market specific events have a strong role to play in the analysis of dynamic relationships between gold and stock market returns. Our main finding is that the interaction between the gold market and stock market is much tighter than previously observed. Especially some of the gold market specific shocks have long lasting impacts also on the financial markets. Also some events, which may have been miss-interpreted as minor shocks previously, have in fact had significant impacts on both stock and gold markets. Furthermore, the dynamic correlations between all the analyzed financial sectors i…
Poland Twenty Years With Market Economy
2010
This article presents the main factors behind the developement of the Polish economy since the introduction of a market economy twenty years ago. First there is a decription of how the privatisation process actually took place. Then is followed by some information about the development of a financial market, i.e. the banking sector. At the end there is a summary of some of the main factors behind the huge inflow of foreign investments to Poland during this period.
The effectiveness of several market integration measures when facing a market turmoil
2003
Many market integration measures are operationalized to compute their numerical values during a period characterized by the lack of stability and market turmoil. The results of the tests give their degree of effectiveness, and reveal that the measures based on the principles of asset valuation, versus statistical measures, more clearly yield the level of integration of financial markets. Besides, cross market arbitrage-linked measures and equilibrium models-linked measures provide complementary information and reflect different properties, and consequently, both types of measures may be useful in practice.
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…
High-Frequency Data
2010
We introduce some of the most common types of high-frequency financial data: tick-by-tick data, trade and quote data, order book data, and market member data. We describe the types of variables that are usually available in the most popular high-frequency financial databases. We discuss the issues related to the handling of these data, including cleaning protocols, timing issues, and issues related to data size. We then briefly consider the issues related to the stylized facts detected in the empirical analysis of high-frequency data. Specifically, we consider (i) the irregular temporal spacing of the events at high frequency and its relevance for the econometric modeling of financial varia…
Data Reporting: Market Structures and Regulatory Framework
2020
The European legislature has identified weaknesses in the functioning and transparency of financial markets as major shortcomings of the regulatory framework under MiFID I. The new MiFID II/MiFIR regime essentially addresses these identified deficits by means of three regulatory measures: First, it considerably extends the scope and increases the stringency of the obligations with regard to pre- and post-trade transparency with a view to improving the quality of pre- and post-trade transparency data. Second, it instigates a shift towards increased trading on regulated trading venues or on other regulated platforms (more extensive market regulation and trading obligations) and, third, it ext…
Regional banks in the global financial crisis: in search of new relationship models with local stakeholders
2017
The contribution attempts to find a confirmation of the theoretical statements presented by carrying out both a theoretical and an empirical analysis concerning credit institutions as a reference point for cooperative banks. We are referring to the so called 'popular banks' with their existing limits, compared with the rest of the Italian banking system, analysing the deposits, loans and bad debts in the years from 1995 to 2013; they have also proved to be more stable than the rest of the financial market during the last crisis (2008). Finally, in this era of globalisation it is highlighted how the regional bank model has to evolve by responding to the calls coming from the new competitive …
Anticipating bank distress in the Eurozone: An Extreme Gradient Boosting approach
2019
Abstract The banking sector plays a special role in the economy and has critical functions which are essential for economic stability. Hence, systemic banking crises disrupt financial markets and hinder global economic growth. In this study, Extreme Gradient Boosting, a state of the art machine learning method, is applied to identify a set of key leading indicators that may help predict and prevent bank failure in the Eurozone banking sector. The cross-sectional data used in this study consists of 25 annual financial ratio series for commercial banks in the Eurozone. The sample includes Eurozone listed failed and non-failed banks for the period 2006–2016. A number of early warning systems a…
Price-Time Priority and Pro Rata Matching in an Order Book Model of Financial Markets
2011
Using our recently introduced order book model of financial markets we analyzed two different matching principles for order allocation — price-time priority and pro rata matching. Price-time priority uses the submission timestamp which prioritizes orders in the book with the same price. The order which was entered earliest at a given price limit gets executed first. Pro rata matching is used for products with low intraday volatility of best bid and best ask price. Pro rata matching ensures constant access for orders of all sizes. We demonstrate how a multiagent-based model of financial market can be used to study microscopic aspects of order books.