Journal articles: 'Asset trading'

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Kissell, Robert. "Multi-Asset Trading Costs." Journal of Trading 8, no. 4 (September 30, 2013): 69–80. http://dx.doi.org/10.3905/jot.2013.8.4.069.

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Li, Jinfang. "Sentiment trading, informed trading and dynamic asset pricing." North American Journal of Economics and Finance 47 (January 2019): 210–22. http://dx.doi.org/10.1016/j.najef.2018.11.015.

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Li, Meng, Xuefeng Wang, and Fangfang Sun. "Pricing of Proactive Hedging European Option with Dynamic Discrete Position Strategy." Discrete Dynamics in Nature and Society 2019 (April 1, 2019): 1–11. http://dx.doi.org/10.1155/2019/1070873.

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Proactive hedging European option is an exotic option for hedgers in the options market proposed recently by Wang et al. It extends the classical European option by requiring option holders to continuously trade in underlying assets according to a predesigned trading strategy, to proactively hedge part of the potential risk from underlying asset price changes. To generalize this option design for practical application, in this study, a proactive hedging option with discrete trading strategy is developed and its pricing formula is deducted assuming the underlying asset price follows Geometric Fractional Brownian Motion. Simulation studies show that proactive hedging option with discrete trading strategy still enjoys strong price advantage compared to the classical European option for majority of parameter space. The observed price advantage is stronger when the underlying asset has more volatility or when the asset price follows closer to Geometric Brownian Motion. Additionally, we found that a higher frequency trading strategy has stronger price advantage if there is no trading cost. The findings in this research strongly facilitate the practical application of the proactive hedging option, making this lower-cost trading tool more feasible.

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Gavazza, Alessandro. "The Role of Trading Frictions in Real Asset Markets." American Economic Review 101, no. 4 (June 1, 2011): 1106–43. http://dx.doi.org/10.1257/aer.101.4.1106.

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This paper investigates how trading frictions vary with the thickness of the asset market by examining patterns of asset allocations and prices in commercial aircraft markets. The empirical analysis indicates that assets with a thinner market are less liquid—i.e., more difficult to sell. Thus, firms hold on longer to them amid profitability shocks. Hence, when markets for assets are thin, firms' average productivity and capacity utilization are lower, and the dispersions of productivity and of capacity utilization are higher. In turn, prices of assets with a thin market are lower and have a higher dispersion. (JEL A12, L11, L93)

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Ezzat, Heba M. "Disposition effect and multi-asset market dynamics." Review of Behavioral Finance 11, no. 2 (June 28, 2019): 144–64. http://dx.doi.org/10.1108/rbf-01-2018-0003.

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Purpose Asset pricing dynamics in a multi-asset framework when investors’ trading exhibits the disposition effect is studied. The purpose of this paper is to explore asset pricing dynamics and the switching behavior among multiple assets. Design/methodology/approach The dynamics of complex financial markets can be best explored by following agent-based modeling approach. The artificial financial market is populated with traders following two heterogeneous trading strategies: the technical and the fundamental trading rules. By simulation, the switching behavior among multiple assets is investigated. Findings The proposed framework can explain important stylized facts in financial time series, such as random walk price dynamics, bubbles and crashes, fat-tailed return distributions, absence of autocorrelation in raw returns, persistent long memory of volatility, excess volatility, volatility clustering and power-law tails. In addition, asset returns possess fractal structure and self-similarity features; though the switching behavior is only allowed among the asset markets. Practical implications The model demonstrates stylized facts of most real financial markets. Thereafter, the proposed model can serve as a testbed for policy makers, scholars and investors. Originality/value To the best of knowledge, no research has been conducted to introduce the disposition effect to a multi-asset agent-based model.

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Pagano, Marco. "Trading Volume and Asset Liquidity." Quarterly Journal of Economics 104, no. 2 (May 1989): 255. http://dx.doi.org/10.2307/2937847.

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Frijns, Bart, Thanh D. Huynh, Alireza Tourani-Rad, and P. Joakim Westerholm. "Institutional trading and asset pricing." Journal of Banking & Finance 89 (April 2018): 59–77. http://dx.doi.org/10.1016/j.jbankfin.2018.01.018.

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Asriyan, Vladimir, William Fuchs, and Brett Green. "Information Spillovers in Asset Markets with Correlated Values." American Economic Review 107, no. 7 (July 1, 2017): 2007–40. http://dx.doi.org/10.1257/aer.20151714.

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We study information spillovers in a dynamic setting with correlated assets owned by privately informed sellers. In the model, a trade of one asset can provide information about the value of other assets. Importantly, the information content of trading behavior is endogenously determined. We show that this endogeneity leads to multiple equilibria when assets are sufficiently correlated. The equilibria are ranked in terms of both trade volume and efficiency. The model has implications for policies targeting post-trade transparency. We show that introducing post-trade transparency can increase or decrease welfare and trading volume depending on the asset correlation, equilibrium being played, and the composition of market participants. (JEL D82, D83, G14, G18)

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Wardani, Pertiwi Puspa, Muhammad Abdi Akbar Idris, and Herman Sjahruddin. "ANALISIS PENGARUH RASIO KEUANGAN TERHADAP PERUBAHAN LABA PADA PT. ULTRA JAYA MILK INDUSTRI DAN TRADING COMPANY TBK." NIAGAWAN 9, no. 2 (July 7, 2020): 135. http://dx.doi.org/10.24114/niaga.v9i2.19039.

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Penelitian ini bertujuan untuk menguji pengaruh rasio keuangan yang ditunjukkan melalui debt to asset ratio, total assets turn over ratio, dan net profit margin terhadap perubahan laba pada PT. Ultra Jaya Milk Industri & Trading Company Tbk. Populasi dalam penelitian ini yaitu seluruh laporan keuangan PT. Ultra Jaya Milk Industry dan Trading Company, Tbk periode 2010-2018. Sampel penelitian menggunakan 9 tahun pengamatan, sehingga jumlah data yang digunakan adalah 9 Tahun x 4 triwulan = 36 sampel pengamatan. Alat analisis yang digunakan adalah software SPSS v.22. Hasil penelitian menunjukkan bukti bahwa debt to asset ratio dan net profit margin tidak berpengaruh terhadap perubahan laba, sedangkan total assets turn over ratio berpengaruh positif dan signifikan terhadap perubahan laba.Keywords: Debt to asset ratio, total assets turn over ratio, net profit margin, perubahan laba.

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Morscheck, Justin. "Overreaction in Trading." International Journal of Finance & Banking Studies (2147-4486) 7, no. 4 (May 10, 2019): 21–37. http://dx.doi.org/10.20525/ijfbs.v7i4.196.

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Using intraday trading data during the 2008 financial crisis, from the Standard and Poor’s Depository Receipt (SPDR) market, we test for evidence of the informational advantage of traders. In addition, we examine the effect of pricing error on trade price. If traders are rational, and have accurate information, they will only purchase an asset at a premium (discount) if they have reason to believe that the fundamental value of that asset will increase (decrease). Our results show that the trading price of the SPDR does not significantly predict the movement of underlying asset values. This finding is consistent with traders overreacting to disparities between price and underlying value during the financial crisis.

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Shanty, Armeita Maya, and Ari Prasetyo. "PENGARUH KINERJA PERUSAHAAN TERHADAP HARGA SAHAM SEKTOR PERDAGANGAN, JASA DAN INVESTASI YANG TERDAFTAR DI ISSI PERIODE 2012-2017." Jurnal Ekonomi Syariah Teori dan Terapan 5, no. 12 (June 19, 2019): 1051. http://dx.doi.org/10.20473/vol5iss201812pp1051-1069.

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This research aims to determine the effect of current ratio, total asset turnover, return on assets, debt to equity ratio, and earnings per share partially or simultaneously to stock prices of trade, services and investment sectors registered in ISSI for period 2012-2017. This research uses quantitative approach by using secondary data in the form of financial statements of stock of trading sector price, services dan investments registered in the ISSI in year 2012-2017. Regression result by using technique of panel data analysis with Eviews 10. The results of this study indicate that simultaneously variable of current ratio, total assets turn over, return on asset, debt to equity ratio, and earnings per share have significant effect to stock price of trading sector, services and investment registered in ISSI. Partially variable of current ratiohave positive and significant influence, total assets turn over have negative influence and not significant, return on asset have positive and significant influence, debt to equity ratio have negative and significant effect, earning per share have positive and significant effect to stock of trading sector price , services and investments registered in the ISSI period 2012-2017.

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Choi, Byungwook. "Overpriced Puts Puzzle in KOSPI 200 Options Market." Journal of Derivatives and Quantitative Studies 17, no. 3 (August 31, 2009): 23–65. http://dx.doi.org/10.1108/jdqs-03-2009-b0002.

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The purpose of this paper is to examine the argument that the put options traded in the exchanges are too high, compared to the asset prices based on the classical CAPM model, and thus the short position of the put option would make a significant profit from trading. In order to explore the earlier report, this paper, using the KOSPI 200 index options market price, estimates the historical rate of return on several option trading strategies such as naked option, protective put, covered call, straddle, and strangle. Secondly this paper compares the historical rates of return on the option trading strategies and Sharpe ratios with those generated by Monte-Carlo simulation and examines whether the historical option returns are inconsistent with Black-Scholes model, Jump-diffusion model, Stochastic Volatility model, or Stochastic Volatility with Jump model. Thirdly, this paper computes the optimal asset allocation ratio among the risk-free asset, risky assets, and option trading strategies in the viewpoint of rational investors who maximize the CRRA utility function. The results show that the historical returns on short position of ATM and OTM puts are too high to explain based on the classical CAPM, and the optimal allocation ratios among put, risky asset, and the risk-free asset are different from those derived using Monte-Carlo simulation.

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Liao, Chung-Chih. "Momentum Trading, Contrarian Trading and Smart Money Manipulation." International Business Research 10, no. 2 (December 23, 2016): 53. http://dx.doi.org/10.5539/ibr.v10n2p53.

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There are two commonly recognized anomalies in the stock market, namely short-run momentum and long-run reversals. Under these two financial market anomalies, there are two trading strategies – momentum trading and contrarian trading – that can be adopted for the purpose of making profits. We model an asset market in which momentum traders, contrarian traders and informed rational speculators make transactions. We discovered that under certain conditions, the self-profiting motive of informed speculators will lead to their price manipulation behaviors, and result in momentum and reversals phenomenon on the asset price. We also found that the scenario of the relative quantity of the two types of behavioral traders and their profit margins is similar to that of a minority game.

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SCOTTI, MASSIMO. "INSIDER TRADING UNDER DISCRETENESS." International Journal of Theoretical and Applied Finance 14, no. 05 (August 2011): 757–71. http://dx.doi.org/10.1142/s0219024911006528.

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This paper analyzes a version of the static Kyle's (1985) model of insider trading where both the distribution of the liquidation value of the risky asset and the distribution of the order flow of noise traders are discrete. We derive necessary and sufficient conditions for the existence of perfect Bayesian equilibria where the insider's strategy is increasing in the value of the asset, and show that such equilibria can be constructed if and only if the variance of the asset is not too extreme. The results in this paper are relevant in contexts where a discrete version of the static Kyle's (1985) model might be a convenient modelling choice.

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CARTEA, ÁLVARO, and SEBASTIAN JAIMUNGAL. "ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS." International Journal of Theoretical and Applied Finance 19, no. 06 (September 2016): 1650038. http://dx.doi.org/10.1142/s0219024916500382.

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We assume that the drift in the returns of asset prices consists of an idiosyncratic component and a common component given by a co-integration factor. We analyze the optimal investment strategy for an agent who maximizes expected utility of wealth by dynamically trading in these assets. The optimal solution is constructed explicitly in closed-form and is shown to be affine in the co-integration factor. We calibrate the model to three assets traded on the Nasdaq exchange (Google, Facebook, and Amazon) and employ simulations to showcase the strategy’s performance.

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Grob, Steve. "Trading in an Asset-Converged World." Journal of Trading 8, no. 4 (September 30, 2013): 66–68. http://dx.doi.org/10.3905/jot.2013.8.4.066.

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Han, Bing, and Alok Kumar. "Speculative Retail Trading and Asset Prices." Journal of Financial and Quantitative Analysis 48, no. 2 (March 1, 2013): 377–404. http://dx.doi.org/10.1017/s0022109013000100.

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AbstractThis paper examines the characteristics and pricing of stocks that are actively traded by speculative retail investors. We find that stocks with high retail trading proportion (RTP) have strong lottery features and they attract retail investors with strong gambling propensity. Furthermore, these stocks tend to be overpriced and earn significantly negative alpha. The average monthly return differential between the extreme RTP quintiles is −0.60%. This negative RTP premium is stronger among stocks that have lottery features or arelocated in regions where people exhibit stronger gambling propensity. Collectively, these results indicate that speculative retail trading affects stock prices.

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Bhushan, Ravi. "Trading Costs, Liquidity, and Asset Holdings." Review of Financial Studies 4, no. 2 (April 1991): 343–60. http://dx.doi.org/10.1093/rfs/4.2.343.

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Chiu, Jonathan, and Thorsten V. Koeppl. "Blockchain-Based Settlement for Asset Trading." Review of Financial Studies 32, no. 5 (April 4, 2019): 1716–53. http://dx.doi.org/10.1093/rfs/hhy122.

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Aziz, Jahangir. "Discretionary Trading and Asset Price Volatility." IMF Working Papers 95, no. 104 (1995): 1. http://dx.doi.org/10.5089/9781451947922.001.

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Maguire, Frances. "Cross-asset trading and risk management." Derivatives Use, Trading & Regulation 11, no. 3 (December 1, 2005): 263–67. http://dx.doi.org/10.1057/palgrave.dutr.1840023.

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Levine, David K. "Asset trading mechanisms and expansionary policy." Journal of Economic Theory 54, no. 1 (June 1991): 148–64. http://dx.doi.org/10.1016/0022-0531(91)90110-p.

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GRÉGOIRE, PHILIPPE. "INSIDER TRADING AND VOLUNTARY DISCLOSURE." International Journal of Theoretical and Applied Finance 11, no. 02 (March 2008): 143–62. http://dx.doi.org/10.1142/s0219024908004750.

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We set up a model to study the voluntary disclosure of information by insiders of publicly traded companies. We consider a trading framework as in [14] with many assets and one insider per asset. There is one discretionary liquidity trader who can allocate his trades across the different assets and many noise traders who trade with equal intensity in all assets. Before trade begins, insiders can disclose information in order to attract the discretionary liquidity trades. We show that if the level of noise trading is above a certain threshold, then there is an equilibrium where all insiders do not disclose any information. Below this threshold, equilibria are such that some information is always revealed by insiders. We also find that the greater the number of assets, the smaller the intensity of noise trading must be in order to induce insiders to disclose some information, and we find that insiders reveal all their information when the intensity of noise trading approaches zero.

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Luo, Jiang, and Avanidhar Subrahmanyam. "Asset pricing when trading is for entertainment." Review of Behavioral Finance 11, no. 2 (June 28, 2019): 220–64. http://dx.doi.org/10.1108/rbf-04-2018-0042.

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Purpose High levels of turnover in financial markets are consistent with the notion that trading, like gambling, yields direct utility to some agents. The purpose of this paper is to show that the presence of these agents attenuates covariance risk pricing and volatility, and implies a negative relation between volume and future returns. Since psychological literature indicates that the desirability of a gamble arises from the ex ante volatility of the outcome, the authors propose that agents derive greater utility from trading more volatile stocks. These stocks earn lower average returns in equilibrium, although the risk premium on the market portfolio is positive. The authors then consider a dynamic setting where agents’ utility from trading increases when they make positive profits in earlier rounds (e.g. due to an endowment effect). This leads to “bubbles,” i.e. disproportionate jumps in asset returns as a function of past prices, higher volume in up markets relative to down markets, as well as a leverage effect, wherein down markets are followed by higher volatility than up markets. Design/methodology/approach Analytical. Findings The presence of gamblers attenuates covariance risk pricing and volatility, and implies a negative relation between volume and future returns. If gamblers prefer more volatile stocks, these stocks earn lower average returns in equilibrium. If agents’ utility from trading increases when they make positive profits in earlier rounds (e.g. to an endowment effect), this leads to higher volume and lower volatility in up markets relative to down markets. Originality/value No paper has previously modeled agents who derive direct utility from trading.

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Lindberg, Carl. "Pairs Trading with Opportunity Cost." Journal of Applied Probability 51, no. 01 (March 2014): 282–86. http://dx.doi.org/10.1017/s0021900200010238.

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Pairs trading is a trading strategy which is used very frequently in the financial industry. An investment opportunity arises when the spread between two assets, which historically have exhibited autoregressive behavior, deviates from its recent history. In this case, the investor takes a long position in the asset which is expected to outperform going forward and finances this by taking a short position in the other one. If the spread converges, the investor can close both positions to generate a profit. We model the spread between two assets as an Ornstein-Uhlenbeck process and assume a constant opportunity cost. We then study the optimal liquidation strategy for an investor who wants to optimize profit in excess of the opportunity cost. Including this cost is important from an applied perspective, as the performance of any investment is always evaluated relative to the performance of the opportunity set.

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Lindberg, Carl. "Pairs Trading with Opportunity Cost." Journal of Applied Probability 51, no. 1 (March 2014): 282–86. http://dx.doi.org/10.1239/jap/1395771429.

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Pairs trading is a trading strategy which is used very frequently in the financial industry. An investment opportunity arises when the spread between two assets, which historically have exhibited autoregressive behavior, deviates from its recent history. In this case, the investor takes a long position in the asset which is expected to outperform going forward and finances this by taking a short position in the other one. If the spread converges, the investor can close both positions to generate a profit. We model the spread between two assets as an Ornstein-Uhlenbeck process and assume a constant opportunity cost. We then study the optimal liquidation strategy for an investor who wants to optimize profit in excess of the opportunity cost. Including this cost is important from an applied perspective, as the performance of any investment is always evaluated relative to the performance of the opportunity set.

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Chellathurai, Thamayanthi, and Thangaraj Draviam. "Markowitz principles for multi-period portfolio selection problems with moments of any order." Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 464, no. 2092 (January 15, 2008): 827–54. http://dx.doi.org/10.1098/rspa.2007.1911.

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The multi-period portfolio selection problem is formulated as a Markowitz mean–variance optimization problem in terms of time-varying means, covariances and higher-order and intertemporal moments of the asset prices. The crux lies in expressing the number of shares of any particular asset to be transacted on any future trading date, which is a non-anticipative process, as a polynomial of the changes in the discounted prices of all the risky assets. This results in the expected return of the portfolio being dependent on not only the means of the asset prices, but also the higher-order and intertemporal moments, and its variance being dependent on not only the second-order moments, but also the higher-order and intertemporal moments. As illustrations, we study the portfolio selection problems including the discrete version of the Merton problem. It is shown numerically that the efficient frontier obtained from Markowitz's discrete multi-period formulation coincides with that from Merton's continuous-time formulation when the number of rebalancing periods is ‘large’. The effects of dynamic trading, in particular volatility pumping, in comparison with a static single-period model are measured by a non-dimensional number, Dyn( P ) ( P , number of trading periods), which quantifies the relative gain due to dynamic trading. It is sufficient to rebalance the portfolio a few times in order to get more than 95% of the gain due to continuous trading.

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Apostolou, Dimitris, Gregory Mentzas, Andreas Abecker, Wolfgang Maas, Panos Georgolios, and Kostas Kafentzis. "Challenges and directions in knowledge asset trading." Intelligent Systems in Accounting, Finance and Management 13, no. 1 (2005): 1–15. http://dx.doi.org/10.1002/isaf.224.

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Pape, Bernd. "Asset allocation and multivariate position based trading." Journal of Economic Interaction and Coordination 2, no. 2 (July 19, 2007): 163–93. http://dx.doi.org/10.1007/s11403-007-0021-3.

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Ábrahám, Árpád, and Eva Cárceles-Poveda. "Endogenous trading constraints with incomplete asset markets." Journal of Economic Theory 145, no. 3 (May 2010): 974–1004. http://dx.doi.org/10.1016/j.jet.2009.10.006.

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Espino, Emilio, and Thomas Hintermaier. "Asset trading volume in a production economy." Economic Theory 39, no. 2 (October 16, 2007): 231–58. http://dx.doi.org/10.1007/s00199-007-0290-z.

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Cao, H. Henry, and Dongyan Ye. "Transaction Risk, Derivative Assets, and Equilibrium." Quarterly Journal of Finance 06, no. 01 (February 15, 2016): 1650001. http://dx.doi.org/10.1142/s2010139216500014.

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We describe a rational expectations model in which there is not only asymmetric information about payoffs but also asymmetric information about the preference, proportion and precision of private information of investors. We define this payoff-irrelevant risk as transaction risk, which is described by market state variables unrelated to payoffs. When derivative assets are introduced, the prices of the derivative assets can reveal information about transaction risk. Due to the informational role of derivative-asset prices, introducing derivative assets can increase social welfare and the price of the underlying asset even though no investors are trading in these derivative assets.

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Qin, Lu, and Hongquan Zhu. "Efficiency of heterogeneity measures: an asset pricing perspective." China Finance Review International 5, no. 4 (November 16, 2015): 371–85. http://dx.doi.org/10.1108/cfri-02-2015-0013.

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Purpose – The purpose of this paper is to identify the effective measures for heterogeneity and to uncover the relationship between investor heterogeneity and stock returns. Design/methodology/approach – The paper employs dispersion in analysts’ earnings forecasts and unexpected trading volume as proxies of heterogeneity. Portfolio strategies and Fama-Macbeth regression are used to uncover the relationship between the two proxies and stock returns in the Chinese A-share market. Findings – The result indicates that stock returns are significantly related to unexpected trading volume, i.e., higher unexpected trading volume implies higher stock returns now but lower future stock returns. In contrast, there is no statistically significant relationship between analysts’ forecast dispersion and stock returns. Originality/value – The findings suggest that unexplained trading volume is an effective measure for investor heterogeneity in the Chinese A-share market.

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Muhammad Hidayat, Yulia Efni, Andewi Rokhmawati. "PENGARUH TOTAL ASSET TURNOVER, DEBT TO EQUITY RATIO, CASH FLOW TERHADAP RETURN SAHAM DENGAN TRADING VOLUME ACTIVITY SEBAGAI VARIABEL INTERVENING (STUDI PADA PERUSAHAAN PLANTATION YANG TERDAFTAR DI BEI PERIODE 2016 – 2017)." Jurnal Ilmiah Akuntansi dan Finansial Indonesia 2, no. 1 (October 31, 2018): 41–52. http://dx.doi.org/10.31629/jiafi.v2i1.1276.

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Penelitian ini bertujuan untuk menguji dampak pengaruh total asset turnover, debt to equity ratio, cash flow terhadap return saham dengan trading volume activity sebagai variabel intervening. Populasi pada penelitian ini adalah seluruh perusahaan plantation yang terdaftar di Bursa Efek Indonesia periode 2016 dan 2017. Jumlah sampel terdiri dari 14 perusahaan yang ditentukan dengan metode purposive sampling. Penelitian ini melakukan pengujian analisis jalur dengan menggunakan program SPSS Versi 21. Hasil penelitian menunjukkan bahwa total asset turnover berpengaruh terhadap trading volume activity. Debt to equity ratio dan trading volume activity berpengaruh terhadap return saham. Trading Volume Activity tidak dapat memediasi atau menjadi variabel intervening antara total asset turnover, debt to equity ratio dan cash flow terhadap return saham.

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Chelley-Steeley, Patricia, Brian Kluger, James Steeley, and Paul Adams. "Trading Patterns and Market Integration in Overlapping Experimental Asset Markets." Journal of Financial and Quantitative Analysis 50, no. 6 (December 2015): 1473–99. http://dx.doi.org/10.1017/s0022109015000563.

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AbstractThis paper examines trading patterns and market integration using laboratory asset markets. Our markets are designed to approximately correspond to the trading day for stocks cross-listed in markets in Europe and North America. Some of our markets feature timing restrictions so that participants cannot trade across markets except during a fully integrated overlap period. Comparison of markets with and without timing restrictions shows that restrictions reduce trading activity and shift transactions to the overlap period. When asset values are extreme, price discovery can be impeded when trading restrictions exist. The measurement of liquidity suggests that trading restrictions increase overall spreads.

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MARQUET, INE, and WIM SCHOUTENS. "CONIC CPPIs." International Journal of Theoretical and Applied Finance 21, no. 02 (March 2018): 1850012. http://dx.doi.org/10.1142/s0219024918500127.

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Constant proportion portfolio insurance (CPPI) is a structured product created on the basis of a trading strategy. The idea of the strategy is to have an exposure to the upside potential of a risky asset while providing a capital guarantee against downside risk with the additional feature that in case the product has since initiation performed well more risk is taken while if the product has suffered mark-to-market losses, the risk is reduced. In a standard CPPI contract, a fraction of the initial capital is guaranteed at maturity. This payment is assured by investing part of the fund in a riskless manner. The other part of the fund’s value is invested in a risky asset to offer the upside potential. We refer to the floor as the discounted guaranteed amount at maturity. The percentage allocated to the risky asset is typically defined as a constant multiplier of the fund value above the floor. The remaining part of the fund is invested in a riskless manner. In this paper, we combine conic trading in the above described CPPIs. Conic trading strategies explore particular sophisticated trading strategies founded by the conic finance theory i.e. they are valued using nonlinear conditional expectations with respect to nonadditive probabilities. The main idea of this paper is that the multiplier is taken now to be state dependent. In case the algorithm sees value in the underlying asset the multiplier is increased, whereas if the assets is situated in a state with low value or opportunities, the multiplier is reduced. In addition, the direction of the trade, i.e. going long or short the underlying asset, is also decided on the basis of the policy function derived by employing the conic finance algorithm. Since nonadditive probabilities attain conservatism by exaggerating upwards tail loss events and exaggerating downwards tail gain events, the new Conic CPPI strategies can be seen on the one hand to be more conservative and on the other hand better in exploiting trading opportunities.

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Tsyrennikov, Viktor. "Heterogeneous Beliefs, Wealth Distribution, and Asset Markets with Risk of Default." American Economic Review 102, no. 3 (May 1, 2012): 156–60. http://dx.doi.org/10.1257/aer.102.3.156.

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We study asset markets and wealth dynamics in the economy with heterogeneous beliefs and risk of default. Agents can trade a full set of Arrow securities but are allowed to default on their delivery promises. Financial markets rationally subject agents to the endogenous “no-default” borrowing limits. Because of the rich menu of financial assets traded in the market speculation opportunities are plentiful. Financial wealth is volatile and the endogenous borrowing limits are always active. Variance of the asset returns is amplified. The asset trading volume is substantial and volatile.

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JARROW, ROBERT. "A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES." International Journal of Theoretical and Applied Finance 20, no. 08 (December 2017): 1750053. http://dx.doi.org/10.1142/s0219024917500534.

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This paper derives an equilibrium capital asset pricing model (CAPM) in a market with trading constraints and asset price bubbles. The asset price processes are general semimartingales including Markov jump-diffusion processes as special cases, and the trading constraints considered include short sale restrictions, borrowing constraints, and margin requirements, among others. We derive a generalized intertertemporal CAPM and consumption CAPM for these markets. The implications for empirical testing are that additional systematic risk factors will exist in a market with trading constraints and price bubbles as contrasted with an otherwise equivalent unconstrained market with no price bubbles.

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Tayal, Chetan, and Lalitha V.P. "Unsupervised Learning for Pairs Trading in the National Stock Exchange of India." Journal of University of Shanghai for Science and Technology 23, no. 06 (June 17, 2021): 1068–82. http://dx.doi.org/10.51201/jusst/21/05396.

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Pairs Trading is a widely known and used market-neutral trading strategy that utilizes the concept of statistical arbitrage. It is based on the idea of mean-reverting time series and relies on the spread between two assets to demonstrate that property to buy an asset at a relatively undervalued price and an asset at a relatively overvalued price. This allows investors to manage risk if the market moves strongly in only one direction by making money on one side of the bet. The main challenge of pairs trading is selecting pairs that have an actual underlying relationship and their spread has real statistical significance. In this paper, we present the use of machine learning, specifically unsupervised clustering to construct our search space for pair selection and compare it against a traditional way of selecting pairs. We see that not only are we able to pick out more profitable pairs, these pairs are also less volatile and have less exposure to the market.

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Chatterjee, Swarn. "Effect of False Confidence on Asset Allocation Decisions of Households." International Journal of Finance & Banking Studies (2147-4486) 3, no. 1 (January 19, 2016): 1. http://dx.doi.org/10.20525/.v3i1.166.

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<p>This paper investigates whether false confidence, as characterized by a high level of personal mastery and a low level of intelligence (IQ), results in frequent investor trading and subsequent investor wealth erosion across time. Using the National Longitudinal Survey (NLSY79), change in wealth and asset allocation across time is modeled as a function of various behavioral, socio-economic and demographic variables drawn from prior literature. Findings of this research reveal that false confidence is indeed a predictor of trading activity in individual investment assets, and it also has a negative impact on individual wealth creation across time.</p>

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Chatterjee, Swarn. "Effect of False Confidence on Asset Allocation Decisions of Households." International Journal of Finance & Banking Studies (2147-4486) 3, no. 1 (July 21, 2019): 01–11. http://dx.doi.org/10.20525/ijfbs.v3i1.166.

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This paper investigates whether false confidence, as characterized by a high level of personal mastery and a low level of intelligence (IQ), results in frequent investor trading and subsequent investor wealth erosion across time. Using the National Longitudinal Survey (NLSY79), change in wealth and asset allocation across time is modeled as a function of various behavioral, socio-economic and demographic variables drawn from prior literature. Findings of this research reveal that false confidence is indeed a predictor of trading activity in individual investment assets, and it also has a negative impact on individual wealth creation across time.

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Zhang, Xitong, He Zhu, and Jiayu Zhou. "Shoreline: Data-Driven Threshold Estimation of Online Reserves of Cryptocurrency Trading Platforms." Proceedings of the AAAI Conference on Artificial Intelligence 34, no. 01 (April 3, 2020): 1194–201. http://dx.doi.org/10.1609/aaai.v34i01.5472.

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With the proliferation of blockchain projects and applications, cryptocurrency exchanges, which provides exchange services among different types of cryptocurrencies, become pivotal platforms that allow customers to trade digital assets on different blockchains. Because of the anonymity and trustlessness nature of cryptocurrency, one major challenge of crypto-exchanges is asset safety, and all-time amount hacked from crypto-exchanges until 2018 is over $1.5 billion even with carefully maintained secure trading systems. The most critical vulnerability of crypto-exchanges is from the so-called hot wallet, which is used to store a certain portion of the total asset of an exchange and programmatically sign transactions when a withdraw happens. Whenever hackers managed to gain control over the computing infrastructure of the exchange, they usually immediately obtain all the assets in the hot wallet. It is important to develop network security mechanisms. However, the fact is that there is no guarantee that the system can defend all attacks. Thus, accurately controlling the available assets in the hot wallets becomes the key to minimize the risk of running an exchange. However, determining such optimal threshold remains a challenging task because of the complicated dynamics inside exchanges. In this paper, we propose Shoreline, a deep learning-based threshold estimation framework that estimates the optimal threshold of hot wallets from historical wallet activities and dynamic trading networks. We conduct extensive empirical studies on the real trading data from a trading platform and demonstrate the effectiveness of the proposed approach.

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Daniel, Kent, and David Hirshleifer. "Overconfident Investors, Predictable Returns, and Excessive Trading." Journal of Economic Perspectives 29, no. 4 (November 1, 2015): 61–88. http://dx.doi.org/10.1257/jep.29.4.61.

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The last several decades have witnessed a shift away from a fully rational paradigm of financial markets toward one in which investor behavior is influenced by psychological biases. Two principal factors have contributed to this evolution: a body of evidence showing how psychological bias affects the behavior of economic actors; and an accumulation of evidence that is hard to reconcile with fully rational models of security market trading volumes and returns. In particular, asset markets exhibit trading volumes that are high, with individuals and asset managers trading aggressively, even when such trading results in high risk and low net returns. Moreover, asset prices display patterns of predictability that are difficult to reconcile with rational-expectations–based theories of price formation. In this paper, we discuss the role of overconfidence as an explanation for these patterns.

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Dunis, Christian L., and Jia Miao. "Optimal trading frequency for active asset management: Evidence from technical trading rules." Journal of Asset Management 5, no. 5 (February 2005): 305–26. http://dx.doi.org/10.1057/palgrave.jam.2240149.

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Anhar, Adetya, Ade Kania Ningsih, and Puspita Nurul S. "Pembangunan Sistem Informasi Manajemen Aset pada PT. Bahtera Metalindo." Prosiding Seminar Nasional Riset Information Science (SENARIS) 1 (September 30, 2019): 62. http://dx.doi.org/10.30645/senaris.v1i0.8.

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PT. Bahtera Metalindo is a company engaged in general trading and services except legal and tax services. In improving company performance, activities carried out in PT. Bahtera Metalindo Management of assets at PT. Ark MetalIndo is not going well, PT. Bahtera MetalIndo does not have a database that makes it easy for companies to store asset data and trace assets. Use of assets at PT. Bahtera Metalindo is still using office applications such as word processing and step processing. This problem often causes asset management at PT. Metal Ark It is difficult to know the condition of good assets, damaged or lost and the recording of stock of fixed assets and smooth assets often occur and the economic life of assets owned by the company is not well organized. With the existence of a computerized asset management system, the company can manage asset data and display data that has been grouped from recording the use of assets to the company and can monitor asset data used by employees who are in PT. Ark MetalIndo. Based on these problems, this study builds an asset management information system at PT. Bahtera Metalindo which can help with problems that exist in the company. The output of this research is a system that is implemented in software to perform asset data processing and can monitor asset data in helping business processes that exist at PT. Bahtera Metalindo.

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Guerrieri, Veronica, and Robert Shimer. "Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality." American Economic Review 104, no. 7 (July 1, 2014): 1875–908. http://dx.doi.org/10.1257/aer.104.7.1875.

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We develop a dynamic equilibrium model of asset markets with adverse selection. There exists a unique equilibrium in which better quality assets trade at higher prices but with a lower price-dividend ratio in less liquid markets. Sellers of high-quality assets signal quality by accepting a lower trading probability. We show how the distribution of sellers' private information affects an asset's price and liquidity, how a change in that distribution can cause a fire sale and a flight to quality, and how asset purchase and subsidy programs may raise prices and liquidity and reverse the flight to quality. (JEL D82, G12)

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Titman, Sheridan, K. C. John Wei, and Feixue Xie. "Market Development and the Asset Growth Effect: International Evidence." Journal of Financial and Quantitative Analysis 48, no. 5 (September 30, 2013): 1405–32. http://dx.doi.org/10.1017/s0022109013000495.

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AbstractA number of studies of U.S. stock returns document what is referred to as the investment or asset growth effect. Specifically, firms that increase investment or total assets subsequently earn lower risk-adjusted returns. This study finds substantial cross-country differences in the asset growth effect. In particular, the asset growth effect is stronger in countries with more developed financial markets, but it does not seem to be associated with corporate governance or the costs of trading. Overall, the evidence is consistent with a q-theory where financial market development captures either managers’ willingness or ability to align investment expenditures to the cost of capital, but it is inconsistent with the hypothesis that the asset growth effect is due to bad governance and overinvestment.

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Sartono, R. Agus. "TRADING BEHAVIOR AND ASSET PRICING UNDER HETEROGENEOUS EXPECTATIONS." Gadjah Mada International Journal of Business 7, no. 1 (June 12, 2005): 15. http://dx.doi.org/10.22146/gamaijb.5567.

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This research models trading behavior and examines the impact of heterogeneous expectations on asset prices. We extend Kyle’s (1985) one-period model to two-period model. The model shows that the informed trader takes into account not only the private information but also the pricing function. The price is an increasing function of the volatility of the asset value and decreasing in the volatility of uninformed traders’ demand. The costly information acquisition has an impact on the optimum demand but it has no direct impact on the price.We find the market depth is a linear function of the volatility of the uninformed traders and a weighted average of the total error variance of information. The depth is also decreasing in the volatility of the cash flow innovations. This argument is in line with the second finding, when the volatility of cash flow innovations increases, the value of risky asset becomes more volatile, and as a result the bigger are the advantages of having private information. Our research raises some questions for further investigation. We indirectly assume that the informed traders make a profit at the expense on the uninformed traders. The question is why the uninformed traders willing to face losses? What happen if there are n informed traders who have diverse information?

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Zigrand, Jean‐Pierre. "Rational Asset Pricing Implications from Realistic Trading Frictions." Journal of Business 78, no. 3 (May 2005): 871–92. http://dx.doi.org/10.1086/429647.

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Yang, Chunpeng, and Liyun Zhou. "Investor trading behavior, investor sentiment and asset prices." North American Journal of Economics and Finance 34 (November 2015): 42–62. http://dx.doi.org/10.1016/j.najef.2015.08.003.

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Journal articles on the topic 'Asset trading'

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