... Mike Aitken Capital Markets Technologies Chair University of New South Wales mai@smarts.com.a... more ... Mike Aitken Capital Markets Technologies Chair University of New South Wales mai@smarts.com.au Niall Almeida Deutsche Bank AG niall.almeida@db.com ... at multiple prices. Ellul, Holden, Jain, and Jennings (2002) also investigate the Foucault proposition with a ...
ABSTRACT This paper investigates the intraday price volatility process in four Australian wholesa... more ABSTRACT This paper investigates the intraday price volatility process in four Australian wholesale electricity markets; namely New South Wales, Queensland, South Australia and Victoria. The data set consists of half-hourly electricity prices and demand volumes over the period January 1, 2002 to June 1, 2003. A range of processes including GARCH, RiskMetrics, normal Asymmetric Power ARCH or APARCH, Student APARCH and skewed Student APARCH are used to model the time-varying variance in prices and the inclusion of news arrival as proxied by the contemporaneous volume of demand, time-of-day, day-of-week and month-of-year effects as exogenous explanatory variables. The skewed Student APARCH model, which takes account of right skewed and fat tailed characteristics, produces the best results in all four markets. The results indicate significant innovation (ARCH effects) and volatility (GARCH effects) spillovers in the conditional standard deviation equation, even with market and calendar effects included. Intraday prices also exhibit significant asymmetric responses of volatility to the flow of information.
ABSTRACT We analyse the price discovery process in DJIA stocks before and after the full implemen... more ABSTRACT We analyse the price discovery process in DJIA stocks before and after the full implementation of Reg NMS in October 2007. The execution channels analysed are NYSE-ARCA, the traditional NYSE system, and NASDAQ. By comparing the changes in Hasbrouck's information share to changes in the Gonzalo-Granger common factor share, we derive implications for the impounding of permanent trends versus the chasing of liquidity-based transitory shocks in the various market centers. Our results show that post-Reg NMS, NASDAQ reduced its chasing of transitory shocks relative to NYSE, and ARCA more often quickly impounded permanent, information-based trends. We offer two different interpretations of information-based trading that arise naturally from these investigations, one involving valuation fundamentals and another involving trading desk assessments of the current state of the market.
ABSTRACT We investigate competition between traditional stock exchanges and new dark trading venu... more ABSTRACT We investigate competition between traditional stock exchanges and new dark trading venues using an important difference in regulatory treatment. Securities and Exchange Commission required minimum pricing increments constrain some stock spreads, causing large limit order queues. Dark pools allow some traders to bypass existing limit order queues with minimal price improvement. Using a regression discontinuity design, we find that spread constraints significantly weaken exchanges’ competitiveness. As more orders migrate to dark pools, the probability of subsequent order execution there increases, raising liquidity. The ability to circumvent time priority of displayed limit orders is one cause of the rapid rise in US equity market fragmentation.
Page 1. The Changing Role of the Lead Syndicate Member: Fixed Price versus Book Builds Frederick ... more Page 1. The Changing Role of the Lead Syndicate Member: Fixed Price versus Book Builds Frederick H.deB. Harris McKinnon Professor of Economics and Finance Babcock Graduate School of Management Wake Forest University ...
... Mike Aitken Capital Markets Technologies Chair University of New South Wales mai@smarts.com.a... more ... Mike Aitken Capital Markets Technologies Chair University of New South Wales mai@smarts.com.au Niall Almeida Deutsche Bank AG niall.almeida@db.com ... at multiple prices. Ellul, Holden, Jain, and Jennings (2002) also investigate the Foucault proposition with a ...
ABSTRACT This paper investigates the intraday price volatility process in four Australian wholesa... more ABSTRACT This paper investigates the intraday price volatility process in four Australian wholesale electricity markets; namely New South Wales, Queensland, South Australia and Victoria. The data set consists of half-hourly electricity prices and demand volumes over the period January 1, 2002 to June 1, 2003. A range of processes including GARCH, RiskMetrics, normal Asymmetric Power ARCH or APARCH, Student APARCH and skewed Student APARCH are used to model the time-varying variance in prices and the inclusion of news arrival as proxied by the contemporaneous volume of demand, time-of-day, day-of-week and month-of-year effects as exogenous explanatory variables. The skewed Student APARCH model, which takes account of right skewed and fat tailed characteristics, produces the best results in all four markets. The results indicate significant innovation (ARCH effects) and volatility (GARCH effects) spillovers in the conditional standard deviation equation, even with market and calendar effects included. Intraday prices also exhibit significant asymmetric responses of volatility to the flow of information.
ABSTRACT We analyse the price discovery process in DJIA stocks before and after the full implemen... more ABSTRACT We analyse the price discovery process in DJIA stocks before and after the full implementation of Reg NMS in October 2007. The execution channels analysed are NYSE-ARCA, the traditional NYSE system, and NASDAQ. By comparing the changes in Hasbrouck's information share to changes in the Gonzalo-Granger common factor share, we derive implications for the impounding of permanent trends versus the chasing of liquidity-based transitory shocks in the various market centers. Our results show that post-Reg NMS, NASDAQ reduced its chasing of transitory shocks relative to NYSE, and ARCA more often quickly impounded permanent, information-based trends. We offer two different interpretations of information-based trading that arise naturally from these investigations, one involving valuation fundamentals and another involving trading desk assessments of the current state of the market.
ABSTRACT We investigate competition between traditional stock exchanges and new dark trading venu... more ABSTRACT We investigate competition between traditional stock exchanges and new dark trading venues using an important difference in regulatory treatment. Securities and Exchange Commission required minimum pricing increments constrain some stock spreads, causing large limit order queues. Dark pools allow some traders to bypass existing limit order queues with minimal price improvement. Using a regression discontinuity design, we find that spread constraints significantly weaken exchanges’ competitiveness. As more orders migrate to dark pools, the probability of subsequent order execution there increases, raising liquidity. The ability to circumvent time priority of displayed limit orders is one cause of the rapid rise in US equity market fragmentation.
Page 1. The Changing Role of the Lead Syndicate Member: Fixed Price versus Book Builds Frederick ... more Page 1. The Changing Role of the Lead Syndicate Member: Fixed Price versus Book Builds Frederick H.deB. Harris McKinnon Professor of Economics and Finance Babcock Graduate School of Management Wake Forest University ...
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