High-Frequency Trading and 2010 Flash CrashYoshi S.
High-frequency trading involves using computer algorithms to analyze market data and make trades within microseconds. It has grown significantly since the 2000s due to advances in technology that allow for extremely low latency trading. In 2010, the Tokyo Stock Exchange introduced a new system that reduced latency to 2 milliseconds, enabling high-frequency traders to dominate trading, executing over 1,000 orders per second and accounting for 72% of trades. While high-frequency trading provides benefits like increased liquidity and narrower spreads, it is also criticized for strategies like front-running that see order flows and trade based on that information.
Progetto ideato per impostare e realizzare in azienda un percorso di crescita basato sulla fiducia che miri al cuore delle relazioni personali ed organizzative: Leadership e Fiducia si integrano sistematicamente per ottenere un concreto sviluppo delle risorse umane in un quadro di efficacia organizzativa.
This document provides an overview of treasury management functions including integrated treasury, front office, mid office, and back office responsibilities. It also summarizes various money market instruments like certificates of deposit, commercial paper, treasury bills, and call money markets. Key concepts around treasury risk management like CRR, SLR, yield curves, and VaR are defined. Foreign exchange rate quotations and principles are also briefly covered.
Impact of Valuation Adjustments (CVA, DVA, FVA, KVA) on Bank's Processes - An...Andrea Gigli
The talk hold in London on September 10th at the 5th Annual XVA Forum on Funding, Capital and Valuation. It covered some implications of Valuation Adjustments like CVA, DVA, FVA and KVA (XVAs) in the Pricing of Derivatives, Data Model Definition, Risk Management, Accounting, Trade Workflow processing.
This document provides an overview of key rules and changes under the Fundamental Review of the Trading Book (FRTB). Some key points:
- Banks must choose between the standardized approach or internal models approach for calculating market risk capital requirements. All banks must also calculate requirements using the standardized approach.
- Internal model approvals will now be done at the trading desk level rather than bank level. Additional eligibility criteria are introduced for using internal models.
- The internal models approach replaces VaR and SVaR with a single expected shortfall measure with an ever expanding historical window. It also introduces requirements to capture liquidity and diversification risks.
- The standardized approach introduces sensitivities-based and default risk charges
High-Frequency Trading and 2010 Flash CrashYoshi S.
High-frequency trading involves using computer algorithms to analyze market data and make trades within microseconds. It has grown significantly since the 2000s due to advances in technology that allow for extremely low latency trading. In 2010, the Tokyo Stock Exchange introduced a new system that reduced latency to 2 milliseconds, enabling high-frequency traders to dominate trading, executing over 1,000 orders per second and accounting for 72% of trades. While high-frequency trading provides benefits like increased liquidity and narrower spreads, it is also criticized for strategies like front-running that see order flows and trade based on that information.
Progetto ideato per impostare e realizzare in azienda un percorso di crescita basato sulla fiducia che miri al cuore delle relazioni personali ed organizzative: Leadership e Fiducia si integrano sistematicamente per ottenere un concreto sviluppo delle risorse umane in un quadro di efficacia organizzativa.
This document provides an overview of treasury management functions including integrated treasury, front office, mid office, and back office responsibilities. It also summarizes various money market instruments like certificates of deposit, commercial paper, treasury bills, and call money markets. Key concepts around treasury risk management like CRR, SLR, yield curves, and VaR are defined. Foreign exchange rate quotations and principles are also briefly covered.
Impact of Valuation Adjustments (CVA, DVA, FVA, KVA) on Bank's Processes - An...Andrea Gigli
The talk hold in London on September 10th at the 5th Annual XVA Forum on Funding, Capital and Valuation. It covered some implications of Valuation Adjustments like CVA, DVA, FVA and KVA (XVAs) in the Pricing of Derivatives, Data Model Definition, Risk Management, Accounting, Trade Workflow processing.
This document provides an overview of key rules and changes under the Fundamental Review of the Trading Book (FRTB). Some key points:
- Banks must choose between the standardized approach or internal models approach for calculating market risk capital requirements. All banks must also calculate requirements using the standardized approach.
- Internal model approvals will now be done at the trading desk level rather than bank level. Additional eligibility criteria are introduced for using internal models.
- The internal models approach replaces VaR and SVaR with a single expected shortfall measure with an ever expanding historical window. It also introduces requirements to capture liquidity and diversification risks.
- The standardized approach introduces sensitivities-based and default risk charges
Limiti del modello Black-Scholes-Merton e vantaggi del metodo Monte Carlo: an...Matteo Evangelisti
Nel lavoro svolto viene studiato sia a livello teorico sia a livello pratico, grazie all'osservazione di opzioni sull'indice S&P 500 (13 strikes call per la durata di un anno), il modello BSM. Nel far questo si sono evidenziati soprattutto i limiti e le approssimazioni caratterizzanti la valutazione dello strumento derivato in questione.
Nella seconda parte invece, si introduce un metodo numerico (Metodo Monte Carlo) usato come supporto all'approccio analitico prima introdotto. Si mostra come grazie a particolari metodologie per la generazione di numeri "casuali", tecniche di riduzione della varianza e numeri a bassa discrepanza (Metodo quasi-Monte Carlo), si raggiunge un'elevata precisione nel pricing dell'opzione riducendo di fatto le difficoltà presenti nella valutazione degli strumenti presenti nei mercati OTC.
Conference on Option Trading Techniques - Option Trading StrategiesQuantInsti
This presentation was delivered by QuantInsti founders Rajib Ranjan Borah & Nitesh Khandelwal at a conference on 'Options Trading Techniques' organized in Bangkok on 6-October-2014. This event was organized by 'Stock Exchange of Thailand', ' Thailand Futures Exchange', 'FlexTrade' and supported by 'QuantInsti'.
The presentation looks at various categories of strategies that could be traded using options - for e.g. usage of option derivatives as a methodology to express viewpoint on volatility, correlation between index components, etc, etc.
This presentation was a part of a series of presentations delivered by Rajib Ranjan Borah and Nitesh Khandelwal to a gathering of around 150 Thai traders. The rest of the presentations in the conference included the following topics:
i) Option Derivative Fundamentals
ii) Option Trading Strategies
iii) Managing Option Portfolios - lower and higher order derivatives
iv) Global Option Trading Landscapes
This document discusses equity swaps, which allow two parties to exchange cash flows from different assets. Specifically, it can involve exchanging cash flows from an equity index for those from a short-term interest rate benchmark. Equity swaps provide benefits like managing portfolio risk, taking long or short positions synthetically, and aligning investments with risk appetite. As an example, a fund manager may receive equity index returns and pay a floating rate linked to LIBOR in an equity swap trade with a bank dealer seeking to reduce equity exposure. The swap spread is set so the present values of cash flows from both sides are equal at inception.
1) Analytical Value-at-Risk (VaR) is a model used to estimate potential losses in a portfolio over a specific time period and confidence level under normal market conditions. It provides a single number that summarizes the risk of the portfolio.
2) The document provides an overview of how to calculate Analytical VaR for a single asset, a portfolio of two assets, and a portfolio of n assets. It involves estimating parameters like the mean, standard deviation, and correlations and applying them to the VaR formula.
3) Key parameters that can be adjusted in the VaR calculation include the confidence level, holding period, and volatility model used to estimate risk. The document discusses some advantages
The document discusses the cost of capital and components used to calculate the weighted average cost of capital (WACC). It covers sources of long-term capital firms use, after-tax costs of different components, and whether the analysis should focus on historical or current marginal costs. The key points are:
1) Firms use long-term debt, preferred stock, common stock, retained earnings, and new common stock as sources of long-term capital.
2) WACC is calculated using the costs of each capital component weighted by the firm's target capital structure.
3) The analysis should focus on current marginal costs, like today's costs, for decisions involving raising new capital.
Limiti del modello Black-Scholes-Merton e vantaggi del metodo Monte Carlo: an...Matteo Evangelisti
Nel lavoro svolto viene studiato sia a livello teorico sia a livello pratico, grazie all'osservazione di opzioni sull'indice S&P 500 (13 strikes call per la durata di un anno), il modello BSM. Nel far questo si sono evidenziati soprattutto i limiti e le approssimazioni caratterizzanti la valutazione dello strumento derivato in questione.
Nella seconda parte invece, si introduce un metodo numerico (Metodo Monte Carlo) usato come supporto all'approccio analitico prima introdotto. Si mostra come grazie a particolari metodologie per la generazione di numeri "casuali", tecniche di riduzione della varianza e numeri a bassa discrepanza (Metodo quasi-Monte Carlo), si raggiunge un'elevata precisione nel pricing dell'opzione riducendo di fatto le difficoltà presenti nella valutazione degli strumenti presenti nei mercati OTC.
Conference on Option Trading Techniques - Option Trading StrategiesQuantInsti
This presentation was delivered by QuantInsti founders Rajib Ranjan Borah & Nitesh Khandelwal at a conference on 'Options Trading Techniques' organized in Bangkok on 6-October-2014. This event was organized by 'Stock Exchange of Thailand', ' Thailand Futures Exchange', 'FlexTrade' and supported by 'QuantInsti'.
The presentation looks at various categories of strategies that could be traded using options - for e.g. usage of option derivatives as a methodology to express viewpoint on volatility, correlation between index components, etc, etc.
This presentation was a part of a series of presentations delivered by Rajib Ranjan Borah and Nitesh Khandelwal to a gathering of around 150 Thai traders. The rest of the presentations in the conference included the following topics:
i) Option Derivative Fundamentals
ii) Option Trading Strategies
iii) Managing Option Portfolios - lower and higher order derivatives
iv) Global Option Trading Landscapes
This document discusses equity swaps, which allow two parties to exchange cash flows from different assets. Specifically, it can involve exchanging cash flows from an equity index for those from a short-term interest rate benchmark. Equity swaps provide benefits like managing portfolio risk, taking long or short positions synthetically, and aligning investments with risk appetite. As an example, a fund manager may receive equity index returns and pay a floating rate linked to LIBOR in an equity swap trade with a bank dealer seeking to reduce equity exposure. The swap spread is set so the present values of cash flows from both sides are equal at inception.
1) Analytical Value-at-Risk (VaR) is a model used to estimate potential losses in a portfolio over a specific time period and confidence level under normal market conditions. It provides a single number that summarizes the risk of the portfolio.
2) The document provides an overview of how to calculate Analytical VaR for a single asset, a portfolio of two assets, and a portfolio of n assets. It involves estimating parameters like the mean, standard deviation, and correlations and applying them to the VaR formula.
3) Key parameters that can be adjusted in the VaR calculation include the confidence level, holding period, and volatility model used to estimate risk. The document discusses some advantages
The document discusses the cost of capital and components used to calculate the weighted average cost of capital (WACC). It covers sources of long-term capital firms use, after-tax costs of different components, and whether the analysis should focus on historical or current marginal costs. The key points are:
1) Firms use long-term debt, preferred stock, common stock, retained earnings, and new common stock as sources of long-term capital.
2) WACC is calculated using the costs of each capital component weighted by the firm's target capital structure.
3) The analysis should focus on current marginal costs, like today's costs, for decisions involving raising new capital.
The document summarizes key concepts from chapters 6-14 of a finance textbook on risk and return, time value of money, bonds, stock and their valuation, cost of capital, capital budgeting, and cash flow estimation. It defines terms like expected rate of return, risk measures like standard deviation and beta, bond and stock valuation models, weighted average cost of capital (WACC), net present value (NPV), internal rate of return (IRR), modified IRR, free cash flow, and operating cash flow. Formulas for concepts like time value of money, yield to maturity, dividend discount model, security market line, and cost of debt are also presented.
The document summarizes key concepts from chapters 6-14 of a finance textbook on risk and return, time value of money, bonds, stock and their valuation, cost of capital, capital budgeting, and cash flow estimation. It defines terms like expected rate of return, risk measures like standard deviation and beta, bond and stock valuation models, weighted average cost of capital, net present value, internal rate of return, modified internal rate of return, and cash flow terms like operating cash flow, free cash flow, EBIT, and more. Formulas and calculator instructions are provided for computing many of these concepts.
This document summarizes key concepts from chapters 6-13 of a finance textbook on risk and return, bonds, stocks, and capital budgeting. It defines rate of return, expected rate of return, risk/standard deviation, beta coefficient, correlation, security market line, time value of money, yield to maturity, dividend discount model for stocks, weighted average cost of capital (WACC), net present value (NPV), internal rate of return (IRR), and modified IRR (MIRR). Formulas are provided for calculating these concepts.
The document summarizes key concepts from chapters 6-14 of a finance textbook on risk and return, time value of money, bonds, stock and their valuation, cost of capital, capital budgeting, and cash flow estimation. It defines terms like expected rate of return, risk measures like standard deviation and beta, bond and stock valuation models, weighted average cost of capital, net present value, internal rate of return, modified internal rate of return, and cash flow terms like operating cash flow, free cash flow, EBIT, and more. Formulas and calculator instructions are provided for computing many of these concepts.
The document summarizes key concepts from chapters 6-14 of a finance textbook relating to risk and return, time value of money, bonds, stock valuation, cost of capital, capital budgeting, and cash flow estimation. It defines terms like expected rate of return, risk measures like standard deviation and beta, bond and stock valuation methods, weighted average cost of capital (WACC), net present value (NPV), internal rate of return (IRR), modified IRR, payback period, and cash flow items like net operating working capital, operating cash flow, and free cash flow. Formulas and calculator instructions are provided for computing many of these concepts.
Southwest Airlines' mission is to provide high quality customer service with warmth, friendliness and company spirit. The airline was founded to take advantage of deregulation and provide low-cost intrastate service in Texas. Over time, Southwest expanded its routes and grew rapidly while maintaining low fares and a focus on customer satisfaction. The airline industry is highly competitive, with airlines competing on factors like fares, service, flight frequency and reacting quickly to competitors. The future holds both opportunities for Southwest to continue growing but also challenges from rising fuel costs and more competition.
9. 5. World , National , Regional and Local Market: ตลาดซึ่งแบ่งขอบเขตการดำเนินงาน ของบริษัทต่าง ๆ เช่น ถ้ากู้ยืมเงินในต่างประเทศจะ ดำเนินธุรกิจใน world markets
15. 2. สถาบันการเงิน Business Savers Investment Banking House Business Savers Financial Intermediary Business Savers Securities (Stocks or Bonds) Dollars Stocks Bonds Dollars Dollars Dollars Dollars Business , Securities Intermediary , s Securities
18. 3. ตลาดหลักทรัพย์ Organized Security Exchanges Over - the - Counter Market : OTC
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22. 5. ระดับของอัตราดอกเบี้ย กำหนดโดย อุปสงค์ อุปทาน k A = 10 8 0 Dollars % S 1 D 1 D 2 k A = 12 Dollars D 1 S 1 % Market A : Low - Risk Securities Interest Rate , k Market B : High - Risk Securities Interest Rate , k 0
23. k = k* + IP + DRP + LP + MRP 6. องค์ประกอบอัตราดอกเบี้ยของตลาด
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25. k RF = k * + IP = อัตราดอกเบี้ยของหลักทรัพย์รัฐบาล ( rate of interest on treasury securities ) DRP = ส่วนชดเชยความเสี่ยงจากการไม่สามารถชำระ หนี้ได้ตามกำหนด ( default risk premium ) LP = ส่วนชดเชยความเสี่ยงจากสภาพคล่อง ( liquidity premium ) MRP = ส่วนชดเชยความเสี่ยงจากระยะเวลาครบกำหนด ไถ่ถอน ( maturity risk premium )
37. 8. ปัจจัยที่กำหนดรูปร่างของ Yield Curve พันธบัตรรัฐบาล k T = k t * + IP t + MRP t พันธบัตรเอกชน k Ct = k t * + IP t + MRP t + DRP t + LP t
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39. Treasury Yield Curve 0 3 6 9 1 15 30 Years to Maturity Interest Rate (%) Real risk-free rate Inflation premium Maturity risk premium คาดว่าภาวะเงิน เฟ้อจะลดลง
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41. Illustrating the relationship between corporate and Treasury yield curves 0 5 10 15 0 1 5 10 15 20 Years to Maturity Interest Rate (%) 5.2% 5.9% 6.0% Treasury Yield Curve BB-Rated AAA-Rated
42. How does the volume of corporate bond issues compare to that of Treasury securities? Recently, the volume of investment grade corporate bond issues has overtaken Treasury issues. ‘ 95 ‘96 ‘97 ‘98 ‘99 600 450 300 150 Gross U.S. Treasury Issuance (in blue) Investment Grade Corporate Bond Issuance (in red) Billions of dollars