Market microstructure and electronic trading, Financial Accounting

Assignment Help:

1. You (Exchange) have just filled an order and notified involved traders of their fills. Next you must tell the world about this trade.

Suppose you flip a coin. You flip a coin every second. Once you flip heads, you (Exchange) send your message ("Trade Done") to your friend (Tape Broadcaster). Your friend flips a coin until heads. Then the message ("Trade Done") is sent to the Tape.

Plot the probability of each number of tails Exchange and Tape Broadcaster get (together) before the message is sent to the Tape. You may simulate the results or find the theoretically correct answer.

2. What economic incentives exist to reduce the time for a message to get sent to the Tape?

3. Apply the models of Chacko, Jurek, and Stafford (2008) - aka Torre (1997) - and Almgren, Thum, Hauptmann, and Li (2005) to estimate the impact of the following trades. Use the parameters on page 1278 (of the Chacko et al. JF article) to estimate the impact in basis points

(bp) for a trade of:

(a) $1MM of a $250MM firm with 5MM shares outstanding? $10MM?

(b) $1MM of a $900MM firm with 50MM shares outstanding? $10MM?

(c) $1MM of a $1.5BB firm with 75MM shares outstanding? $10MM?

(d) $1MM of a $4BB firm with 200MM shares outstanding? $10MM?

(e) $1MM of a $16BB firm with 1BB shares outstanding? $10MM?

You may write on one of two topics. Use full sentences and convincing arguments to express your view. I will grade the essays based on how convincing, polished, and succinct they are. (Forego five fancy phrases when six short words will suffice.)

Agree or disagree with one of these statements. Write two to four pages in 12-point font.

Statement 1: "Market microstructure is the latest fad. The issues we've covered may be relevant now but are strictly mechanical concerns and will be irrelevant in fifty years time."

Statement 2: "For any trading strategy, a good trader must constantly be 'in the market' if she expects to make money. If you are not trading, you are wasting your time; go do something productive."


Related Discussions:- Market microstructure and electronic trading

Gathering Financial Information and Analysis, Many hospitals are classified...

Many hospitals are classified as not-for-profit (NFP). The presentation of for-profit (FP) financial statements differs in several respects from NFP accounting. You will probably w

Terms of trade, Terms of Trade Doe Ltd must negotiate agreed terms of tr...

Terms of Trade Doe Ltd must negotiate agreed terms of trade with its customers in order to encourage prompter payment. These terms of trade may tender discounts for early paymen

What are the u.s. tax consequences of this liquidation for w, 1. Finco is a...

1. Finco is a wholly owned Finnish manufacturing subsidiary of Winco, a domestic corporation that manufactures and markets residential window products throughout the world. Winco h

Consolidated balance sheet-group accounts, CONSOLIDATED BALANCE SHEET T...

CONSOLIDATED BALANCE SHEET The consolidated balance sheet involves adding assets and liabilities of the subsidiary to those of the holding company while excluding inter-company

Explain relationship between interest rate and bond price, 1. Would export ...

1. Would export businesses prefer a rising or declining dollar? Would it be the same for a European tourist on a budget and visiting the Grand Canyon? Explain your answer. 2. Wh

Prepare general journal entries, Assessment Criteria: Student work will ...

Assessment Criteria: Student work will generally be assessed in terms of the following criteria: 1. Preparation of correct journal entries. 2. Accumulation of journal entr

Determine the npv of future cash flows, While many people know that Sonora,...

While many people know that Sonora, Mexico is a beautiful vacation spot, it is also a large furniture manufacturing location in North America. Guillermo Navallez made furniture for

What type of an asset is goodwill, What kinds of risks does a firm like Ama...

What kinds of risks does a firm like Amazon.com face with respect to safeguarding its assets? What types of controls do you think it already has in place to minimize these risks? G

HELP!!, Calculate the DuPont Model, given the following information: cash=$...

Calculate the DuPont Model, given the following information: cash=$16,080; accounts receivable= $9,500; prepaid = $3,150; supplies =$675; equipment =$25,200; accumulated depreciati

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd