Search results for "financial instruments and regulation"

showing 3 items of 3 documents

Calibration of optimal execution of financial transactions in the presence of transient market impact

2012

Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution strategy strongly depends on a careful modeling of market impact, i.e. how the price reacts to trades. In this paper we consider a recently introduced market impact model (Bouchaud et al., 2004), which has the property of describing both the volume and the temporal dependence of price change due to trading. We show how this model can be used to describe price impact also in aggregated trade time or in real time. We then solve analytically and calibrate wit…

Statistics and ProbabilityMathematical optimizationQuantitative Finance - Trading and Market MicrostructureStatistical Finance (q-fin.ST)Financial market Econophysics stochastic processesFinancial assetComputer scienceVolume (computing)Efficient frontierQuantitative Finance - Statistical FinanceStatistical and Nonlinear PhysicsRisk neutralTrading and Market Microstructure (q-fin.TR)FOS: Economics and businessOrder (exchange)Financial transactionfinancial instruments and regulation models of financial markets risk measure and managementTransient (computer programming)Statistics Probability and UncertaintyMarket impact
researchProduct

The adaptive nature of liquidity taking in limit order books

2014

In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling the persistence of the order flow with market efficiency is a subtle issue. A possible solution is provided by asymmetric liquidity, which states that the impact of a buy or sell order is inversely related to the probability of its occurrence. We empirically find that when the order flow predictability increases in one direction, the liquidity in the opposite side decreases, but the probability that a trade moves the price decreases significantly. While the…

Statistics and ProbabilityQuantitative Finance - Trading and Market MicrostructureStatistical Finance (q-fin.ST)Limit order book econophysics market efficiencyfinancial instruments and regulationAutocorrelationFinancial marketQuantitative Finance - Statistical FinanceStatistical and Nonlinear PhysicsProbability and statisticsTrading and Market Microstructure (q-fin.TR)Market liquidityFOS: Economics and businessFlow (mathematics)Order (exchange)risk measure and managementOrder bookEconomicsEconometricsmodels of financial marketStatistics Probability and UncertaintyPredictabilityStatistical and Nonlinear Physic
researchProduct

Empirical Study on the Relationship between the Cross-Correlation among Stocks and the Stocks' Volatility Clustering

2013

In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among stock's volatilities and the volatility clustering. Volatility clustering is related to the memory property of the volatility time-series and therefore to its predictability. Our results show that there exists a relationship between the level of predictability of any volatility time-series and the amount of its inter-dependence with other assets. In all considered cases, the more the asset is linked to other assets, the more its volatility keeps memory of …

financial instruments and regulation socio-economic networks stochastic processes clustering techniquesVolatility clusteringStochastic volatilityFinancial models with long-tailed distributions and volatility clusteringVolatility swapForward volatilityEconometricsVolatility smileEconomicsImplied volatilityVolatility risk premiumSettore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)SSRN Electronic Journal
researchProduct