Exchange Traded Funds by Edu Pristine

Author of lecture Exchange Traded Funds

Edu Pristine

Customer reviews

Excerpts from the accompanying material

... sent an order to sell a total of 75,000 e-mini contracts (approx. $4.1 billion notional) through a broker algorithm with an intention to hedge an existing equity position. The trader specified an upper limit on the amount sold as ...

... It is also worth noting that the majority of ETPs (897 names) are listed on ARCA. Maximum Drawdown. Maximum Drawdown (M) represents the largest price declines in the afternoon of May 6, 2010 and is calculated as: Flags. Each trade in the Trade and Quote Data (TAQ) is tagged with one or ...

... 1 is the volume share of the venue with the highest market share; C2 is the volume share of the two largest venues combined, etc., with C1 < C2 < C3. The volume Herfindahl index for a stock on day t is defined as: where is the volume share of venue k on day t. ...

... For ETPs, however, the mean frequency ISO is 0.40 on May 6 v/s an average of 0.21 in the month before. Top venue share and volume Herfindahl indexes are negatively related to volume. Quote fragmentation index does ...

... is computed to arrive at an overall market concentration statistic for the day. This mean individual stock concentration is more or less constant during 1994-2003 period when the index value was 0.752. By Sep 2011, the statistic was approx. 0.306. On May 6, 2010, the quote Herfindahl index ...

... of intermarket sweep orders over 20 days prior to May 6, 2010. ETP: an indicator variable if asset type is an exchange-traded product ...

... fragmentation for stocks whose primary exchange is the NYSE than those listed on other venue. Across stocks, as capitalization increases the volume Herfindahl index declines. ...

... dollar weighted proportion of volume. ETP: Dummy variable taking the value one if the asset is an ETP and zero otherwise ui is a stochastic error term. ...

... Considering first the models with volume fragmentation alone, the coefficient is negative in the control period which implies that more fragmented stocks experienced greater drops. Results confirm that volume and quote fragmentation are different economic phenomena. Quote fragmentation is an important ...

... Market structure may matter more in times of stress. Recent Debates. Uniform mechanisms across exchanges to curb extreme price volatility. Clearer guidelines for intermarket order ...

... Questions: 1.Which of the following is ...

... different economic phenomena." True or False? ...

... and volume Herfindahl indexes are strongly negatively related to volume which is consistent with ...

... greater use of intermarket sweep orders? A. Small cap ...