Optimizing a investment strategy based on market capacity

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

Study on price drifts before macro economic news

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

Does a CCP really reduce counterparty risk

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

The role of securities lending

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

Study on price pressure and liquidity providing

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.

 

The impact of trader behavior on option volatility

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.

Using web queries to predict equity volume

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 future of the Dutch equity market

EUMEDION 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.

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