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Sunday, August 9, 2020 | History

1 edition of Discretionary trading and asset price volatility. found in the catalog.

Discretionary trading and asset price volatility.

Discretionary trading and asset price volatility.

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Published by International Monetary Fund in Washington, D.C .
Written in English


Edition Notes

Includes bibliographical references.

SeriesIMF working paper -- WP/95/104
ContributionsInternational Monetary Fund.
The Physical Object
Paginationiii, 29 p. ;
Number of Pages29
ID Numbers
Open LibraryOL16676624M

Discretionary Trading is decisions made at the discretion of the portfolio manager. The discretionary portfolio manager, investor, or trader, could follow a rules-based method, but ultimately the discretionary trader is making the decisions of what to buy or sell, when, and how much. Discretionary trading and investing definitions and examples from other sources: Discretionary Trading seeks. Earnings Volatility, Cash Flow Volatility, and Informed Trading. 1. Introduction. In this paper I investigate whether earnings that are smoother or more volatile than cash flows provide or garble information for market participants. It is well understood that accounting.

Systematic global macro programs use proprietary trading models to generate returns. This is also true for an increasing number of other hedge fund strategies, such as statistical arbitrage, convertible arbitrage, volatility arbitrage, mortgage arbitrage andFile Size: KB. A Practical Guide to Swing Trading by Larry Swing 2 About the book Who should read this book • If you (like many investors) are disenchanted with buy-and-hold investing, swing trading may be right for you. Even if you invested in great companies, it is likely that the value of .

  How Systematic, Algorithmic Trading Impacts Stocks, And How To Benefit From This Understanding High-Frequency Trading, Stock Volatility, and Price Discovery (December ).   A volatility shock for the history books sparked historic selling across systematic and discretionary funds, despite extraordinary monetary and fiscal measures. With implied and realized price.


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Discretionary trading and asset price volatility Download PDF EPUB FB2

"Practical, engaging, and concise, Euan Sinclair's Volatility Trading remains the best book I have seen about options trading from the practitioner's standpoint.

A far cry from the standard textbook treatment, Sinclair's discussion of practical topics such as trade sizing, exit criteria, and P&L management―peppered with relevant trading /5(26).

In Volatility Trading, Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your everyday option trading an accessible, straightforward approach.

He guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation/5(24). Discretionary Trading and Asset Price Volatility.

By Jahangir Aziz. Abstract. The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues Author: Jahangir Aziz.

book. An example of order book is shown in Fig. The order book shows how buyers (on the left side) are willing to buy the security at a lower price and sellers (on the right side) are willing to sell it at a higher price1.

The trading parties wait in line for a matching order, and until that order arrives, the security does not have a single Cited by: 2. Binary options trading is an options strategy that utilizes a fairly simple precept: it's all about anticipating whether an underlying asset will rise above a certain price point, at a certain time.

It sounds easy enough but trading binary options effectively is something of an art, and while the rewards can be great, so can the risks. ˙(t) is the volatility of asset returns W(t) a is standard Brownian motion The key result of Black-Scholes-Merton replication framework and risk-neutral valuation is: There exists a trading strategy in the underlying asset with the dynamic weight (s) such that the terminal payo u(S(T)) of theFile Size: 3MB.

Time dependent volatility • Given the market prices of European call options with different maturities (all have the strike prices ofcurrent asset price is and short-term interest rate over the period is flat at %).

maturity 1-month 3-month 7-month Value Implied volatility File Size: KB. A discretionary account is sometimes referred to as a managed account; many brokerage houses require client minimums (such as $,) to be eligible for this service, and usually pay between 1 percent and 2 percent a year of assets under management (AUM) in fees.

funds, which led to volatility becoming an asset class in its own right. New volatility products such as volatility swaps and variance swaps were created, and a decade later futures on volatility indices gave investors listed instruments to trade volatility.

In this we chapter shall concentrate on option trading. A discretionary trader might justify trading a trend following method or a mean-reversion/reversal method based on his or her "personality".

This is nonsensical to the money managers I speak with. It's like saying that I'm right handed, so I'll only take right turns in my car. Discretionary trading is decision-based trading (the trader decides which trades to make based on current market conditions), and system trading is rule-based trading (the trading system decides which trades to make, regardless of current conditions).

Both discretionary trading and system trading Author: Adam Milton. The chapters on options and volatility together constitute 50% of the book, the slightly longer chapter on volatility concentrating on the dynamic properties the two volatility surfaces the implied and the local volatility surfaces that accompany an option pricing model, with particular reference to hedging.

Global Macro Trading: Profiting in a New World Economy (Bloomberg Financial) by Greg Gliner: Global Macro Trading is an indispensable guide for traders and investors who want to trade Global Macro – it provides Trading Strategies and overviews of the four asset classes in Global Macro which include equities, currencies, fixed income and commodities.

This book is about trading volatility. More specifically, it is about using options to make trades that are primarily dependent on the range of the underlying instrument rather thanitsdirection. Before discussing technicalities, I give a brief description of my trading philosophy.

In trading, as in most things, it is necessary to have generalFile Size: 3MB. Again, we can dig a little deeper and find issues with the simple definition of volatility as risk (and this is a subject I covered in my book in some depth), but the core understanding—that a more volatile asset could cover a much wider range of prices—is important.

Even with this, there is a problem. Volatility. Over the long term, stock market volatility is about 20% a year, and % a month. The market typically moves upward over time in small increments.

Any deviation in the price of a stock from this expected pattern, either up or down, is the volatility factor. The Appendix presents the detailed variable definitions. Table 2 presents the descriptive statistics for our measures of year-ahead accruals and year-ahead capital expenditures, our measures of expected volatility, operating cycle, and the control variables.

Panel A reports the descriptive statistics on the variables. The mean (median) year-ahead working capital accruals is () and the Cited by: 9.

P/B Ratio The price-to-book value (P/B) ratio is a fundamental measure used to determine if an investment is valued appropriately. The book value of a company is a measure of how much a company's assets are worth assuming the company's debts are paid off.

The quantile regressions indicate the price or volatility levels at which the dynamics of price spikes and price volatility change (or whether the dynamics estimated in Tables and are robust for all price and volatility levels). In the price spike equation, the effects of oil prices, speculative futures trading, and supply shocks are Cited by: Thus, a larger volume of discretionary liquidity trading in the security market inevitably leads to greater price volatility.

Conclusion. Our work demonstrates that discretionary liquidity trading affects market liquidity and information production in very different ways than indicated by research with a fixed liquidity trading Author: Xia Liu, Xia Liu, Shancun Liu, Zhen Qi, Chunhui Wen. Lecture Notes: Volatility Trading Strategies 1 Volatility Trading Strategies As previously explained, volatility is essentially the risk aspect of the market.

It is the perception of risk that is fisecuritizedflin the time value component of an option premium. The volatility can be implied in the options priceFile Size: 97KB.Trading Volatility provides specialized data, analytics and insight to help self-directed investors improve their portfolio performance by including volatility derivatives as an asset class.

You can learn more about our investing strategy on our Strategy page.Recent studies show that volatility risks signi cantly a ect asset prices and the macroecon-omy.1 In the data, asset market volatility can be directly captured by the volatility index (VIX).

Calculated from the cross-section of S&P option prices, the VIX index provides a risk-neutral forecast of the aggregate index volatility over the next Cited by: 8.