Costs in executing an investment strategy are non linear; the larger a strategy is, the more expensive it becomes to execute (due to liquidity). In this study by the Toulouse School of Economics, the authors research how to measure this capacity and find the optimal equilibrium.
Read the full study here
In this study, conducted by the NYU, researchers looked at macr-economic news from the US and see the effect in indices and Treasury futures. They concluded that in many cases, the market moves 'in the right direction' of the news in the 30 minutes ahead of the news. This could either come from 'superior' predictions or from leakage of the news
Read the full study here
In this study, published in March 2015, the researchers ask themselves if a CCP is the go-to answer to mitigate counterparty risk.
The short answer is no. In some cases, a CCP is not beneficial for the users but it is done to suit the risk aversion of the regulators. This would explain why the OTC IRS market would not be moving towards a CCP if it would not be required to.
The study is conducted by Peter Zimmerman of the NY Federal Reserve and Rodney Garratt of the University of Oxford.
Read the full article here
This study, conducted by the Swiss Financial Institute of the University of Lugano, explores Filtered Historical Simulation to estimate the potential losses a CCP would face in case of a multiple default.
Click here for the study
There are many advantages to passive investing. One of the lesser studied advantages is the money that can be earned in securties lending. This study, performed by Blocher & Whaley of the Vanderbilt University outlines it advantages and its effects it has on the choices made by passive investors.
Read the full study here
In this study, professor Albert Menkveld studies the dark pools and the different forms in which they appear.
Bringing your volume to a dark pool, reduces your costs but there is a trade-off. It takes longer to execute. Read the full paper here
In an on-going study, Professor Albert Menkveld of the VU in Amsterdam studied the risk that 'crowded trades' i.e. transactions where the users of the CCP all find themselves on the same side pose to the CCP.
Read the full study here
It's nice when providers of academic research have their own blog to outline and summarize their papers. Albert Menkveld, professor in Finance at the VU in Amsterdam has a let's say "Zen" designed blog and saves us the trouble of writing a long article ourselves. So click here for the abstract from the blog and in there, the related study.
ETF are set to continue their growth. PWC published a study in Feb 2015 geared towards asset managers to outline the growth, its challenges and opportunities.
Click here for the full study
This is a 2014 study conducted by the Chienhsin University. They conducted an empirical study on the impact of trader types (retail investors, institutional investors, market makers) on the option volatility pricing on the index option (TXO) traded on TAIFEX. Some of the findings are pretty obvious (institutional investors make better decisions than retail investors), but it is an interesting study to determine if an adjustment in volatlilty pricing is warranted depending on the nature of trading activity. The study also explores the (possible) added value of market makers in an index product.
Click here for the study.
In a 2012 study conducted by Yahoo, researchers found a correlation between web queries and related equity volumes on exchanges. The research fits well with other studies conducted to discover patterns in social media to predict market movements.
Read the full study at: http://www.plosone.org/article/fetchObject.action?uri=info:doi/10.1371/journal.pone.0040014&representation=PDF
The financial transaction tax has been in force in Italy since 2013. In this 2014 study from the University of Duisburg, the effects of this FTT were studied
Read MoreIn this 2014 study, Xihao Li looked at the German Xetra market to see the effects of HFT trading.
Read MoreIn this 2009 study done on behalf of the Federal Reserve, the researched studied the effects of algorithmic trading on the foreign exchange markets
Read More"Fooling some people all of the time. The Inefficient Performance and Persistence
of Commodity Trading Advisors."
In this Yale study from 2014, the researchers question the value of CTA's.
Read MoreEUMEDION represents the interests of Institutional Investors in the fields of Corporate Governance and sustainability. In 2014 they published a position paper that looked into the opportunities and challenges for the Dutch equity market from that perspective. The paper is in Dutch and a translation is not available. Either have fun with Google Translate or call us for a price on doing a professional translation.
Read MoreIn 2014, IOSCO (International Organisation of Security Commissions) published this report on the recovery of financial markets infrastructures. This outlines how a.o. CCP's should be set up to withstand stress situations
Read MoreIn 2012, Professor Sir John Beddington concluded a study on the usage of technology on financial markets from an international perspective on behalf of the UK office of Science. With over 150 academic contributors it forms a good basis to see where technology is leading us
Read MoreDue to regulatory demands OTC products have been moving towards the CCP. This study digs deeper into the effects of this move
Read MoreBroker/Dealer is a Bennington BV Initiative
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