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

Provisions of the partnership act, Provisions of the Partnership Act In...

Provisions of the Partnership Act In the event of absence of a partnership agreement/deed or in the event of ambiguity therein, the provisions to the partnership Act will apply

Prepare the necessary journal entries in 2013, Berg Company adopted a stock...

Berg Company adopted a stock-option plan on November 30, 2013, that provided that 73,200 shares of $5 par value stock be designated as available for the granting of options to offi

Prepare a statement of revenues - deferral method, Prepare a statement of r...

Prepare a statement of revenues - deferral method: Wise Owls, an NFPO, began operations at the beginning of 20X1 to provide free tutoring and homework assistance, as well as a

Khyber bank, how we write a literature review

how we write a literature review

Simulate the robot on a computer, Assuming the robot is placed on track at ...

Assuming the robot is placed on track at the packing station facing away from the station) the robot traverses the entire track. During this step, the robot will follow a left-hand

Example of annuity, Assume Mr. Ram deposits Rs. 10,000 annually in a bank f...

Assume Mr. Ram deposits Rs. 10,000 annually in a bank for 5 years, at 10 percent compound interest rate. Compute the value of this series of deposits on the end of five years by as

Perpetual inventory system, In this type of system store balances are recor...

In this type of system store balances are recorded and computed after all receipt and issue. The main focus of this system is to make obtainable details regarding the quantity and

Compute the present value, Q. Compute the present value? The offer for...

Q. Compute the present value? The offer for the manufacturing rights is for a ten-year period. Annual after-tax cash flow after Year 4 = $660000 Present value of this c

Activity-based costing (abc), Activity-Based Costing (ABC) An accounti...

Activity-Based Costing (ABC) An accounting method that assigns identifiable costs and allocates common costs to definite product lines or business fragments Also known as pro

Journalize, wrote check to purchase law books for 2500 what 2 accounts

wrote check to purchase law books for 2500 what 2 accounts

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