Questions tagged [financial-markets]
The financial-markets tag has no usage guidance.
80
questions
0
votes
1
answer
109
views
Stock split and fractional shares
One of the main reasons for the stock split is liquidity. By increasing the number of shares, the new price will be half or one-third, depending on the split ratio.
Wouldn't it be possible to achieve ...
1
vote
2
answers
151
views
MM quotes replacement time in HFT
Market Makers quote on the minimum quote requirements of the market set by regulators, and they are also free to quote as they wish. In High Frequency Trading, when quotes are hit, MM will replace ...
0
votes
1
answer
44
views
Price Discovery in assets - Generalized Information Share (GIS) approach proposed by Donald Lien and Keshab Shrestha
I am interested in doing research in price discovery of assets. I came across a measure for price discovery, called the Generalized Information Share (GIS) approach proposed by Donald Lien and Keshab ...
0
votes
0
answers
58
views
Profit optimal algorithm for market clearing
There is a well known offline profit optimal algorithm for market clearing (matching buy-bids with sell-bids, visit for more details) which is based on bipartite weighted matching. This algorithm ...
3
votes
0
answers
79
views
FRTB - Federal Reserve vs Basel
The federal reserve has released its proposed Market Risk rules for Basel III.
https://www.federalreserve.gov/newsevents/pressreleases/bcreg20230727a.htm
Is anyone aware of any resource that compares ...
1
vote
1
answer
80
views
Conditions for market completeness
We know that a market is called complete if it is possible to replicate any future payoff trading in its securities. Is there an exhaustive list of requirements that when satisfied imply market ...
1
vote
1
answer
339
views
Assuming perfect liquidity
I encountered this phrase in the textbook by Hans Schumacher
For the purposes of this textbook, a mathematical model for a financial market consists of a specification of the joint evolution of ...
1
vote
0
answers
94
views
Market risk factor proxies examples [closed]
I am reading some corporate documentation, including the notion of market risk factor proxy. Could you provide some examples of risk factors and their proxies?
What I find obvious is the observable ON ...
1
vote
0
answers
100
views
Market value of futures [closed]
What is the market value of an (index) futures?
I guess the market value is either:
quantity * contract size * price
zero, if the daily unrealized PnL is ...
1
vote
0
answers
78
views
Understanding and calculating all the trading fees
I'm trying to make a simple script that calculates fees (commission, regulatory, exchange and others). Taking Fee Table from IBKR as an example I have a few questions:
Is "Value of Aggregate ...
0
votes
0
answers
34
views
How to predict what stage of business cycle we are currently in based off of unemployment indicators
I am trying to predict what part of the business cycle (Early, Mid, Late 1, Late 2) we are currently in by looking at unemployment indicators.
Qualitatively, I've reasoned that:
.
Early
Mid
Late 1
...
0
votes
0
answers
70
views
What could be a real-life example of sectors and instruments in a Financial Market in the context of this Portfolio Optimization Problem?
Recently I've been reading about mathematical models in finances and economics; however, I encountered this book chapter:
Nagurney, A. (1993). Financial Equilibrium. In: Network Economics: A ...
3
votes
1
answer
225
views
Interpreting the average correlation figure in Pozzi et al. (2013) paper
Has anyone read the paper "Spread of risk across financial markets:better to invest in the peripheries" by F. Pozzi, T. Di Matteo & T. Aste? If so, how do you interpret equation (1) in ...
0
votes
0
answers
76
views
Why "hedging motives" and "heterogeneous preferences" are explanation for "under diversification puzzle"?
Han et al. 2021 documented something relating to the "under diversification puzzle":
Standard explanations for under diversification include hedging motives
and heterogeneous preferences, ...
3
votes
1
answer
808
views
Inflation effect on FX rates
With UK's inflation surging to 3.2% as per the published figures today reported by the FT, it is interesting to ponder the effect of rising inflation on FX rates.
The article linked above points out ...