Sample records for nasdaq stock market
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-12-14
...-Regulatory Organizations; NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of a Proposed... that on November 28, 2011, The NASDAQ Stock Market LLC (``NASDAQ'' or ``Exchange'') filed with the... equities business on the NASDAQ Stock Market LLC are not subject to the fees in Rule 7003(b...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-02-24
...-Regulatory Organizations; NASDAQ Stock Market, LLC; Notice of Filing of Proposed Rule Change To Amend The..., 2011, The NASDAQ Stock Market LLC (``NASDAQ'' or ``Exchange'') filed with the Securities and Exchange... The NASDAQ Stock Market LLC proposes to amend the By-Laws of its parent corporation, The NASDAQ OMX...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-04-30
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of..., The NASDAQ Stock Market LLC (``NASDAQ'' or the ``Exchange'') filed with the Securities and Exchange..., including the Nasdaq Market Center, the FINRA/NASDAQ Trade Reporting Facility, and FINRA's OTCBB Service...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-05-17
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Remove Pilot Restrictions From NASDAQ's Qualified Market Maker and NBBO Setter...\\ thereunder, notice is hereby given that on May 1, 2013, The NASDAQ Stock Market LLC (``NASDAQ'' or ``Exchange...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-06-11
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Update the NASDAQ Options Market Message Traffic Mitigation Rule June 5, 2012...\\ thereunder, notice is hereby given that, on May 29, 2012, The NASDAQ Stock Market LLC (``NASDAQ'') filed with...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-08-09
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of a...,\\2\\ notice is hereby given that, on July 26, 2013, The NASDAQ Stock Market LLC (``NASDAQ'' or..., Section 6 (Series of Options Contracts Open for Trading) of the rules of the NASDAQ Options Market (``NOM...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-10-22
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Approving a Proposed Rule Change To Assume... Authority and Supervision September 30, 2013. On July 31, 2013, The NASDAQ Stock Market LLC (``NASDAQ'' or...) Manipulation patterns that monitor solely NASDAQ activity, including patterns that monitor the Exchange's...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-11-27
... 2, 2012, The NASDAQ Stock Market LLC (``NASDAQ'' or ``Exchange'') filed with the Securities and... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-68279; File No. SR-NASDAQ-2012-117] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Designation of Longer Period for Commission...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-04-19
... simultaneously trade different asset classes within the same strategy. Because cash equities and options markets...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of a... April 1, 2013, The NASDAQ Stock Market LLC (``NASDAQ'' or ``Exchange'') filed with the Securities and...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-12-08
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of...\\ notice is hereby given that on November 22, 2011, The NASDAQ Stock Market LLC (``NASDAQ'' or the... the proposal, market participants will be given the additional options of (1) assigning a group...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-08-29
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Eliminate Market Maker Pre-Opening Obligations on NOM August 23, 2012. Pursuant to... is hereby given that on August 10, 2012, The NASDAQ Stock Market LLC (``NASDAQ'' or ``Exchange...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-06-05
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of... is hereby given that on May 22, 2012, The NASDAQ Stock Market LLC (``NASDAQ'' or ``Exchange'') filed... Order Fee,\\3\\ aimed at reducing inefficient order entry practices of certain market participants that...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-04-26
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Granting Accelerated Approval of Proposed Rule... 20, 2010. I. Introduction On March 11, 2010, The NASDAQ Stock Market LLC (``Nasdaq'' or ``Exchange.... Strike prices for ETF options are permitted in $1 or greater intervals where the strike price is $200 or...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-12-08
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of... 29, 2011, The NASDAQ Stock Market LLC (the ``Exchange'' or ``NASDAQ'') filed with the Securities and... Options Market (``NOM'') to eliminate from its rules two order types and two data feeds that are not in...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-04-09
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Relating to Pricing for Option Orders Routed to Away Markets April 1, 2010. Pursuant...\\ notice is hereby given that on March 25, 2010, The NASDAQ Stock Market LLC (``NASDAQ'' or ``Exchange...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-08-14
... market center. LIST is a routing strategy that is used by firms that wish for their orders to participate...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of a... hereby given that on August 5, 2013, The NASDAQ Stock Market LLC (``NASDAQ'' or ``Exchange'') filed with...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-08-06
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-62605; File No. SR-NASDAQ-2010-068] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Approving a Proposed Rule Change to Establish a Revenue Sharing Program With Correlix, Inc. July 30, 2010. On June 8, 2010, The NASDAQ Stock Market LLC (``NASDAQ'' or the ``Exchange'') filed wit...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-08-13
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-62663; File No. SR-NASDAQ-2010-077] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Approving a Proposed Rule Change Relating to Pricing for Direct Circuit Connections August 9, 2010. On June 21, 2010, The NASDAQ Stock Market LLC (``NASDAQ'' or the ``Exchange'') filed with the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-02-21
... from NASDAQ Rule 2460 (Payment for Market Making). Accordingly, the Commission, pursuant to Section 19...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Designation of a Longer Period for... Market Quality Program February 14, 2013. On December 7, 2012, The NASDAQ Stock Market LLC (``Exchange...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-12-17
... they remain in effect until executed or the end of either regular market hours at 4:00 p.m. or the end...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of...\\ thereunder, notice is hereby given that on November 29, 2013, The NASDAQ Stock Market LLC (``NASDAQ'' or...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-10-12
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of... hereby given that on September 27, 2012, The NASDAQ Stock Market LLC (``NASDAQ'' or the ``Exchange... uniform registration form changes; (2) electronic fingerprint processing; (3) Web EFT TM , which allows...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-09-27
...-Regulatory Organizations; the NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of... is hereby given that on September 9, 2013, The NASDAQ Stock Market LLC (``NASDAQ'' or the ``Exchange.../or Professional liquidity based on increasing percentages of total industry customer equity and ETF...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-07-02
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Designation of a Longer Period for Commission Action on Proposed Rule Change To Establish ``Benchmark Orders'' Under NASDAQ Rule 4751(f) June 26, 2012. On May 1, 2012, The NASDAQ Stock Market LLC (``NASDAQ'' or ``Exchange'') filed with the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-10-22
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend Its Schedule of Fees and Credits Applicable to Execution and Routing of... is hereby given that on September 27, 2013, The NASDAQ Stock Market LLC (``NASDAQ'' or ``Exchange...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-09-30
...-Regulatory Organizations; the NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of a... 12, 2013, The NASDAQ Stock Market LLC (``NASDAQ'' or ``Exchange'') filed with the Securities and... compute the numerator in the calculation of percentage of total industry customer equity and ETF option...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-12-31
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of...\\ notice is hereby given that on December 17, 2012, The NASDAQ Stock Market LLC (``NASDAQ'' or the... Equity Technical Update 2012-31 ( http://www.nasdaqtrader.com/TraderNews.aspx?id=ETU2012-31 ). Because...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-07-25
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-67468; File No. SR-NASDAQ-2012-062] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Approving a Proposed Rule Change To Modify Its Corporate Governance Rules July 19, 2012. I. Introduction On May 17, 2012, The NASDAQ Stock Market LLC...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-08-16
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing of a Proposed Rule Change to Assume... NASDAQ Stock Market LLC (``NASDAQ'' or the ``Exchange'') filed with the Securities and Exchange...: Manipulation patterns that monitor solely NASDAQ activity, including patterns that monitor the Exchange's...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-12-21
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Granting Approval of Proposed Rule Change To... Select Markets December 15, 2011. I. Introduction On August 30, 2011, The NASDAQ Stock Market LLC... Global and Global Select Markets. The proposed rule change was published in the Federal Register on...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-04-05
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of... 19b-4 thereunder,\\2\\ notice is hereby given that on March 23, 2012, The NASDAQ Stock Market LLC...-market price stability. Pegged Orders are orders that, once entered, adjust in price automatically, in...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-12-05
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of... November 22, 2011, The NASDAQ Stock Market LLC (``Exchange''), filed with the Securities and Exchange... open orders, use of routing strategies and liquidity code designation. The data provided by QView will...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-12-14
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-68395; File No. SR-NASDAQ-2012-134] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change for the NASDAQ Options Market (``NOM'') With Respect to the Authority of the Exchange or Nasdaq Options Services LLC (``NOS'') To...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-10-21
... market value of publicly held shares for common stock on the Capital Market range from $5 million to $15...-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Granting Approval to a Proposed Rule Change To Modify the Eligibility Criteria for the Second Compliance Period for a Bid Price Deficiency on the Nasdaq...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-02-23
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of... Information Outside of Nasdaq Market Hours February 16, 2010. Pursuant to Section 19(b)(1) of the Securities...-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change Nasdaq proposes to...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-03-31
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing of Proposed Rule Change To Establish Strike Price Intervals and Trading Hours for Options on Index-Linked Securities March 23, 2010. Pursuant... 19b-4 thereunder,\\2\\ notice is hereby given that on March 11, 2010, The NASDAQ Stock Market LLC...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-03-03
... liquidity.\\6\\ Nasdaq seeks to encourage continued market making on NOM and to attract additional market making by establishing this new fee schedule. To receive NOM Market Maker pricing, the firm must be...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-01-14
.... Introduction On June 18, 2010, The NASDAQ Stock Market LLC (``Nasdaq'' or the ``Exchange'') filed with the... trading on Nasdaq when the price of a security moves quickly over a short period of time, will exacerbate...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-15
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-65063; File No. SR-NASDAQ-2011-110] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Regarding a Clerical Change to NASDAQ Options Market Rules August 9, 2011. Pursuant to Section 19(b)(1) of the Securities Exchange...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-10-01
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Order Granting Accelerated... Rule 19b-4 thereunder,\\2\\ notice is hereby given that on September 14, 2010, The NASDAQ Stock Market... voting on the election of a member of the board of directors of an issuer (except for a vote with respect...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-08-14
... Underlying Securities) of the NASDAQ Options Market rules.\\11\\ Additionally, the Target Component's and the...\\ Additionally, the Target Component's and the Benchmark Component's trading volume (in all markets in which the...-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Approving a Proposed Rule Change Relating to the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-03-14
... troubling trend of reduced participation in the equity markets by individual investors, and that nearly 30... different asset classes within a single strategy. NASDAQ also notes that cash equities and options markets...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-05-10
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-69521; File No. SR-NASDAQ-2013-071] Self... Proposed Rule Change To Amend NASDAQ Rule 4763 May 6, 2013. Pursuant to Section 19(b)(1) of the Securities..., 2013, The NASDAQ Stock Market LLC (``NASDAQ'' or ``Exchange'') filed with the Securities and Exchange...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-07-01
... Nasdaq Short Sale Volume and Monthly Short Sale Transaction Service and Related Fees June 25, 2010. I. Introduction On April 26, 2010, The NASDAQ Stock Market LLC (``Nasdaq'') filed with the Securities and Exchange...\\ and Rule 19b-4 thereunder,\\2\\ a proposed rule change to establish the Nasdaq Short Sale Volume and...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-07-05
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-69892] Order Exempting Market Makers Participating in NASDAQ Stock Market LLC's Market Quality Program From Section 11(d)(1) of the Securities Exchange Act of 1934 and Rule 11d1-2 Thereunder June 28, 2013. On March 13, 2013, the Securities and Exchange Commission (``Commission'') approved a...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-11-27
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-70915; File No. SR-NASDAQ-2013-140] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Modify NASDAQ Connectivity Options and Fees November 21, 2013. Pursuant to Section...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-05-24
... from NASDAQ Rule 2460 (Payment for Market Making). Accordingly, the Commission, pursuant to Section 19...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Designation of a Longer Period for Commission Action on Proposed Rule Change, as Modified by Amendment No. 1 Thereto, To Establish the Market...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-09-16
... Global Select Markets (``Eligible Switches''). \\4\\ A company transferring from the OTCBB or Pink Sheets...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing of Proposed Rule Change To Describe Complimentary Services That Are Offered to Certain New Listings on NASDAQ's Global and Global Select Markets...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-03-29
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-69233; File No. SR-NASDAQ-2013-028] Self... NASDAQ Stock Market LLC (``Exchange'' or ``NASDAQ'') filed with the Securities and Exchange Commission (``Commission''), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \\1\\ and Rule 19b...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-02-05
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-61446; File No. SR-NASDAQ-2009-077] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Approving Proposed Rule Change To Modify the Procedures Followed When a Listed Company Falls Below Certain Listing Requirements January 29, 2010. I. Introduction On August 17, 2009, The NASDAQ...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-05-16
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-66964; File No. SR-NASDAQ-2012-057] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing of Proposed Rule Change With Respect to the Authority of NASDAQ or NASDAQ Execution Services To Cancel Orders When a Technical or System Issue Occurs and To Describe the Operation of...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-12-27
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-71167; File No. SR-NASDAQ-2013-160] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Modify the Definition of ``System Securities'' in NASDAQ Rule 4751 December 20, 2013. Pursuant to Section 19(b)(1) of the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-05-05
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing of Proposed Rule Change to Adopt... Nasdaq proposes to adopt additional listing requirements for a company that has become public through a... 20, 2010). In response to these concerns, Nasdaq staff has, over the past year, adopted heightened...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-24
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-65159; File No. SR-NASDAQ-2011-118] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Change the Name and Modify the Contents of the NASDAQ Ouch BBO Feed August 18, 2011. Pursuant to Section 19(b)(1) of the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-02-18
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-63906; File No. SR-NASDAQ-2011-024] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Establish and Adopt Fees for the New Short Sale Monitor Service and Nasdaq Data Add-On February 14, 2011. Pursuant to Section...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-10-08
...-Regulatory Organizations; NASDAQ Stock Market LLC; Order Approving a Proposed Rule Change To Adopt a..., Section 1 (Definitions) of the rules of the Nasdaq Options Market (``NOM'') to adopt a definition of... business days. This is similar to the process of other options exchanges that have adopted a Professional...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-06-28
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-64724; File No. SR-NASDAQ-2011-085] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Adopt a Market Order Timer June 22, 2011. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act''),\\1\\ and...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-03-21
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-69151; File No. SR-NASDAQ-2013-033] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change to Extend the Pre-Market Hours of the Exchange to 4:00 a.m. EST March 15, 2013. Pursuant to Section 19(b)(1) of the Securities...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-04-12
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-69341; File No. SR-NASDAQ-2013-048] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Granting Accelerated Approval of a Proposed Rule... in a Limit State or Straddle State, and unlike normal circumstances, may not be a true reflection of...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-05-05
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-64312; File No. SR-NASDAQ-2011-053] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Adopt an Order Price Protection Feature Correction In notice document 2011-9971...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-10-18
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-65381; File No. SR-NASDAQ-2011-128] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Relating to Customer Rebates To Add Liquidity September 22, 2011. Correction In notice...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-11-16
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Designation of Longer Period for Commission Action on Proceedings to Determine Whether to Approve or Disapprove Proposed Rule Change To Establish... proposed rule change to establish various ``Benchmark Orders'' under NASDAQ Rule 4751(f). The proposed rule...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-09-16
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-70361; File No. SR-NASDAQ-2013-114] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of... 7015(g), and the Schedule of Fees and Rebates Under Rule 7018(a) September 10, 2013. Pursuant to...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-01-16
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-68519; File No. SR-NASDAQ-2012-143] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change Relating to Extension of the Exchange's Penny Pilot Program and Replacement of Penny...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-18
...,\\2\\ notice is hereby given that on August 2, 2011, The NASDAQ Stock Market LLC (``NASDAQ'') filed... to solicit comments on the proposed rule change from interested persons. \\1\\ 15 U.S.C. 78s(b)(1). \\2... Acceptable Trade Range is set for $0.05 and the following quotations are posted in all markets: Away Exchange...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-12-03
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-70945; File No. SR-NASDAQ-2013-142] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of... the Securities Exchange Act of 1934 (``Act''),\\1\\ and Rule 19b-4 thereunder,\\2\\ notice is hereby given...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-07-28
... Adopt a Risk Monitor Mechanism July 22, 2011. I. Introduction On June 1, 2011, The NASDAQ Stock Market...,\\2\\ a proposed rule change to adopt a new risk monitor mechanism. The proposed rule change was... (``Notice''). II. Description of the Proposed Rule Change NASDAQ proposes to adopt new Chapter VI, Section...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-12-30
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-71173; File No. SR-NASDAQ-2013-156] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of.... Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \\1\\ and Rule 19b-4 thereunder...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-12-18
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-71060; File No. SR-NASDAQ-2013-151] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of.... Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act''),\\1\\ and Rule 19b-4 thereunder...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-10-25
... Relating to the Listing and Trading of Shares of the WisdomTree Global Corporate Bond Fund of the WisdomTree Trust October 19, 2012. I. Introduction On August 15, 2012, The NASDAQ Stock Market LLC (``Nasdaq... proposed rule change to list and trade the shares (``Shares'') of the WisdomTree Global Corporate Bond Fund...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-03-22
... contained in Rule 5250(b)(2) that a company must issue a press release announcing the receipt of an audit... Rules. Nasdaq noted in its Notice, however, that if a company fails to include the audit opinion in its...-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Granting Approval of Proposed Rule Change To...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-02-17
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-63900; File No. SR-NASDAQ-2011-026] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Offer Additional Routing Option February 14, 2011. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'')...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-12-27
... SECURITIES AND EXCHANGE COMMISSION [Release No. 71158; File No. SR-NASDAQ-2013-158] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Relating to Acceptable Trade Range December 20, 2013. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act''),\\1...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-02-12
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-68847; File No. SR-NASDAQ-2013-016] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change for the Purpose of Amending Rule 7014(g) February 6, 2013. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (`...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-07-17
... Securities Exchange Act of 1934 (``Act''),\\1\\ and Rule 19b-4 \\2\\ thereunder, notice is hereby given that on... solicit comments on the proposed rule change from interested persons. \\1\\ 15 U.S.C. 78s(b)(1). \\2\\ 17 CFR... Change The NASDAQ Stock Market LLC proposes to modify Chapter XV, Section 2, governing pricing for NASDAQ...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-03-13
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-69058; File No. SR-NASDAQ-2013-039] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Replace the Current Mid-Point Test Applied to the Definition of Theoretical Price March 7, 2013. Pursuant to Section 19(b)(1)...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-05-10
... introduce a new order type to assist Market Makers with their market making requirements under NOM rules..., Market Makers will continue to be able to submit orders to fulfill their two-sided market making...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-02-23
... Securities Exchange Act of 1934 (``Act''),\\1\\ and Rule 19b-4 thereunder,\\2\\ notice is hereby given that on... on the proposed rule change from interested persons. \\1\\ 15 U.S.C. 78s(b)(1). \\2\\ 17 CFR 240.19b-4... Change The NASDAQ Stock Market LLC proposes to modify Chapter XV, Section 2, governing pricing for NASDAQ...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-12-15
... last-sale price disseminated by a network processor over a five-minute rolling period measured...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Extend the Pilot Period of the Trading Pause for Individual Stocks Contained in the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-07-25
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Designation of Longer Period for Commission Action on Proceedings To Determine Whether To Approve or Disapprove Proposed Rule Change To Link Market... Rule 19b-4 thereunder,\\2\\ a proposed rule change to discount certain market data fees and increase...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-08-15
... to react to the execution (an effect known as ``market impact'' or ``information leakage''). As a...' shares will avoid the deleterious effect of market impact discussed above and result in overall faster...-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Approving a Proposed Rule Change To Amend Rule...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-06-29
... participants to react to the execution (an effect known as ``market impact'' or ``information leakage''). As a... available shares and routing to other venues' shares will avoid the deleterious effect of market impact...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing of Proposed Rule Change To Amend Rule...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-01-29
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Designation of Longer Period for Commission Action on Proceedings To Determine Whether To Approve or Disapprove Proposed Rule Change To Amend Rule...,\\2\\ a proposed rule change to amend Exchange Rule 4626--Limitation of Liability (``accommodation...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-05-16
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Approving Proposed Rule Change To Modify Chapter... Commission received no comment letters regarding the proposal. This order approves the proposed rule change... for imbalance and indicative data dissemination; (4) clarify when an Order Imbalance Indicator is...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-12-19
...-Located Clients December 12, 2012. On October 10, 2012, The NASDAQ Stock Market LLC (``Exchange'' or... change to establish fees for new optional wireless connectivity for co-located clients. The proposed rule... connectivity for co-located clients. [[Page 75230
-
Impact of stock market structure on intertrade time and price dynamics.
Ivanov, Plamen Ch; Yuen, Ainslie; Perakakis, Pandelis
2014-01-01
We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations. Specifically, we find that, compared to NYSE stocks, stocks registered on the NASDAQ exhibit significantly stronger correlations in their transaction timing on scales within a trading day. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing on scales within a trading day, indicating influences of market structure. We also report a persistent decrease in correlation strength of intertrade times with increasing average intertrade time and with corresponding decrease in companies' market capitalization-a trend which is less pronounced for NASDAQ stocks. Surprisingly, we observe that stronger power-law correlations in intertrade times are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of intertrade times and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ markets, we demonstrate that the stronger correlations we find in intertrade times for NASDAQ stocks are associated with stronger correlations in absolute price returns and with higher volatility, suggesting that market structure may affect price behavior through information contained in transaction timing. These findings do not support the hypothesis of universal scaling behavior in stock dynamics that is independent of company characteristics and stock market structure. Further, our results have implications for utilising transaction timing
-
Impact of Stock Market Structure on Intertrade Time and Price Dynamics
Ivanov, Plamen Ch.; Yuen, Ainslie; Perakakis, Pandelis
2014-01-01
We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations. Specifically, we find that, compared to NYSE stocks, stocks registered on the NASDAQ exhibit significantly stronger correlations in their transaction timing on scales within a trading day. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing on scales within a trading day, indicating influences of market structure. We also report a persistent decrease in correlation strength of intertrade times with increasing average intertrade time and with corresponding decrease in companies' market capitalization–a trend which is less pronounced for NASDAQ stocks. Surprisingly, we observe that stronger power-law correlations in intertrade times are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of intertrade times and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ markets, we demonstrate that the stronger correlations we find in intertrade times for NASDAQ stocks are associated with stronger correlations in absolute price returns and with higher volatility, suggesting that market structure may affect price behavior through information contained in transaction timing. These findings do not support the hypothesis of universal scaling behavior in stock dynamics that is independent of company characteristics and stock market structure. Further, our results have implications for utilising transaction timing
-
Impact of Stock Market Structure on Intertrade Time and Price Dynamics
NASA Astrophysics Data System (ADS)
Yuen, Ainslie; Ivanov, Plamen Ch.
2005-08-01
The NYSE and NASDAQ stock markets have very different structures and there is continuing controversy over whether differences in stock price behaviour are due to market structure or company characteristics. As the influence of market structure on stock prices may be obscured by exogenous factors such as demand and supply, we hypothesize that modulation of the flow of transactions due to market operations may carry a stronger imprint of the internal market mechanism. We analyse times between consecutive transactions (ITT) for NYSE and NASDAQ stocks, and we relate the dynamical properties of the ITT with those of the corresponding price fluctuations. We find a robust scale-invariant temporal organisation in the ITT of stocks which is independent of individual company characteristics and industry sector, but which depends on market structure. We find that stocks registered on the NASDAQ exhibit stronger correlations in their transaction timing within a trading day, compared with NYSE stocks. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing within a trading day, after the move, suggesting influences of market structure. Surprisingly, we also observe that stronger power-law correlations in the ITT are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of ITT and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ, we demonstrate that the higher correlations we find in ITT for NASDAQ stocks are matched by higher correlations in absolute price returns and by higher volatility, suggesting that market structure may affect price behaviour through information contained in transaction timing.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-04-12
... pertains to anti- money laundering compliance programs.\\3\\ In SR-FINRA-2009-039,\\4\\ FINRA adopted: (1) NASD...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of... the person(s) whose activities he or she is testing (e.g., anti-retaliation procedures); (3) to the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-02-08
... Rules.\\12\\ Under these rules, a company must include the audit opinion in its annual report, without...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing of Proposed Rule Change To Modify the... Securities Exchange Act of 1934 (``Act''),\\1\\ and Rule 19b-4 thereunder,\\2\\ notice is hereby given that on...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-03-13
...-Regulatory Organizations; the NASDAQ Stock Market LLC; Notice of Filing of Proposed Rule Change To Adopt... Proposed Rule Change The Exchange proposes to adopt a new Chapter V, Section 3(d)(iii) to provide for how... 1. Purpose The Exchange proposes to adopt Chapter V, Section 3(d)(iii) \\3\\ to provide for how the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-01-20
...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing of Proposed Rule Change To Adopt an... Commission (``Commission'') the proposed rule change as described in Items I and II below, which Items have... rule change from interested persons. \\1\\ 15 U.S.C. 78s(b)(1). \\2\\ 17 CFR 240.19b-4. I. Self-Regulatory...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-12-28
... Substance of the Proposed Rule Change NASDAQ proposes to modify Chapter XV, entitled ``Options Pricing,'' governing pricing for NASDAQ members using the NASDAQ Options Market (``NOM''), NASDAQ's facility for... modify Chapter XV, entitled ``Options Pricing,'' at Section 3 entitled ``NASDAQ Options Market--Access...
-
Comparable Stocks, Boundedly Rational Stock Markets and IPO Entry Rates
Chok, Jay; Qian, Jifeng
2013-01-01
In this study, we examine how initial public offerings (IPO) entry rates are affected when stock markets are boundedly rational and IPO firms infer information from their counterparts in the market. We hypothesize a curvilinear relationship between the number of comparable stocks and initial public offerings (IPO) entry rates into the NASDAQ Stock Exchange. Furthermore, we argue that trading volume and changes in stock returns partially mediates the relationship between the number of comparable stocks and IPO entry rates. The statistical evidence provides strong support for the hypotheses. PMID:23690924
-
Comparable stocks, boundedly rational stock markets and IPO entry rates.
Chok, Jay; Qian, Jifeng
2013-01-01
In this study, we examine how initial public offerings (IPO) entry rates are affected when stock markets are boundedly rational and IPO firms infer information from their counterparts in the market. We hypothesize a curvilinear relationship between the number of comparable stocks and initial public offerings (IPO) entry rates into the NASDAQ Stock Exchange. Furthermore, we argue that trading volume and changes in stock returns partially mediates the relationship between the number of comparable stocks and IPO entry rates. The statistical evidence provides strong support for the hypotheses.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-04-09
... proposes to modify Chapter XV, Options Pricing, Section 2, of the Options Rules portion of the NASDAQ Rulebook governing pricing for NASDAQ members using The NASDAQ Options Market (``NOM''), NASDAQ's facility... certain Customer Routing Fees to recoup costs incurred by the Exchange in routing to away markets. While...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-11-07
..., 2013, the issuer of each class of securities that is an ADR listed on [The] the Nasdaq Capital Market... each class of securities that is an ADR listed on the Nasdaq Capital Market shall pay to Nasdaq an...
-
Damped oscillations in the ratios of stock market indices
NASA Astrophysics Data System (ADS)
Wu, Ming-Chya
2012-02-01
A stock market index is an average of a group of stock prices with weights. Different stock market indices derived from various combinations of stocks may share similar trends in certain periods, while it is not expected that there are fixed relations among them. Here we report our investigations on the daily index data of Dow Jones Industry Average (DJIA), NASDAQ, and S&P500 from 1971/02/05 to 2011/06/30. By analyzing the index ratios using the empirical mode decomposition, we find that the ratios NASDAQ/DJIA and S&500/DJIA, normalized to 1971/02/05, approached and then retained the values of 2 and 1, respectively. The temporal variations of the ratios consist of global trends and oscillatory components including a damped oscillation in 8-year cycle and damping factors of 7183 days (NASDAQ/DJIA) and 138471 days (S&P500/DJIA). Anomalies in the ratios, corresponding to significant increases and decreases of indices, only appear in the time scale less than an 8-year cycle. Detrended fluctuation analysis and multiscale entropy analysis of the components with cycles less than a half-year manifest a behavior of self-adjustment in the ratios, and the behavior in S&500/DJIA is more significant than in NASDAQ/DJIA.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-06-25
... directly with Correlix to use their RaceTeam latency measurement service for the NASDAQ Market Center. NASDAQ will not bill or contract with any Correlix RaceTeam customer directly. \\3\\ If approved, this...] proposed in SR-NASDAQ-2009-069 [sic]. Pricing for the Correlix RaceTeam product for the NASDAQ market...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-02-07
... to systems operated by NASDAQ, including the Nasdaq Market Center, the FINRA/NASDAQ Trade Reporting... front-end system for low volume users. NASDAQ proposes to increase the monthly fee assessed for greater... using any facility or system that NASDAQ operates or controls, and it does not unfairly discriminate...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-05-19
... Change NASDAQ proposes to modify pricing for NASDAQ members using the NASDAQ Market Center. NASDAQ will... Exchange (``NYSE''), NASDAQ is making minor modifications to its pricing schedule for the routing of orders... using the STGY, SCAN, SKNY, SKIP, or DOTI routing strategies to either add liquidity or execute at the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-02-01
... listed on the Nasdaq Capital Market or the Nasdaq Global Market may request from Nasdaq a written... modify the fee in connection with such a request. Today, a company is required to submit a non-refundable... Reference Room, 100 F Street, NE., Washington, DC 20549, on official business days between the hours of 10 a...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-08-01
... voluntary accommodation policy for claims arising from system difficulties that Nasdaq experienced during... and members that Nasdaq's system difficulties caused objective, discernible harm, and the type and... made by market participants related to systems malfunctions or errors of the Nasdaq Market Center...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-09-09
... of Substance of the Proposed Rule Change NASDAQ proposes to modify pricing for NASDAQ members using... its pricing schedule for routing and execution of quotes/orders through the NASDAQ Market Center of... entering Directed Orders sent to NASDAQ OMX PSX. The current charge of $0.0027 reflects a premium of $0...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-06-15
... the Proposed Rule Change NASDAQ proposes to modify pricing for NASDAQ members using the NASDAQ Market... Statutory Basis for, the Proposed Rule Change 1. Purpose NASDAQ is making modifications to its pricing... for orders using the TFTY routing strategy that execute at the NYSE from $0.0017 per share executed to...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-05-14
... systems operated by NASDAQ, including the Nasdaq Market Center, the FINRA/NASDAQ Trade Reporting Facility... using any facility or system which the Exchange operates or controls. All similarly situated members are...) for use of VTE terminals. A VTE terminal is a basic front- end user interface used by NASDAQ members...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-10-24
... Proposed Rule Change Relating to the Establishment of a Direct Market Data Product, NASDAQ Options Trade... establish a direct market data product, NASDAQ Options Trade Outline (``NOTO''). The text of the proposed.... Purpose The purpose of the proposed rule change is to establish the NOTO market data product. NOTO is a...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-03-15
... Proposed Rule Change Relating to Pricing for Option Orders Routed to Away Markets March 5, 2010. Pursuant... into NOM but routed to and executed on away markets (``routing fees''). When NASDAQ began trading... executions on away markets at the time was to pass-through to NASDAQ members the actual fees assessed by away...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-05-16
... Proposed Rule Change Relating to Penny Pilot Options and Non-Penny Pilot Options May 10, 2013. Pursuant to... ``Options Pricing,'' at Section 2 governing pricing for NASDAQ members using the NASDAQ Options Market (``NOM''), NASDAQ's facility for executing and routing standardized equity and index options...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-08-28
... Proposed Rule Change To Amend Chapter VII, Section 6 of the Rules of the NASDAQ Options Market To Permit... to amend Chapter VII, Section 6 (Market Maker Quotations) of the rules of the NASDAQ Options Market... purpose of this proposed rule change is to amend Chapter VII, Section 6 of the rules of NOM to permit the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-11-16
... pricing for NASDAQ members using the NASDAQ Options Market (``NOM''), NASDAQ's facility for executing and... recoup costs that the Exchange incurs for routing and executing certain orders in equity options to the International Securities Exchange, LLC (``ISE''). The Exchange's Pricing Schedule at Chapter XV, Section 2(4...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-12-14
... against its members. (2) NASDAQ is redesignating Rule 3060 (Influencing or Rewarding Employees of Others...-027). (3) NASDAQ is redesignating Rule 3090 (Transactions Involving Nasdaq Employees) as Rule 2070A.\\7... national market system, and, in general, to protect investors and the public interest. The proposed changes...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-26
... Proposed Rule Change NASDAQ proposes to extend the pilot period of Rule 4753(c), NASDAQ's ``Volatility... approved, a limit up/limit down mechanism to address extraordinary market volatility, is approved. The text... to address extraordinary market volatility, is approved [six months after the date of Commission...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-03-12
... the application, entry and annual fees currently charged to issuers listed on the Nasdaq Global and Nasdaq Global Select Markets, as well as the fee for written interpretations of Nasdaq listing rules. The.... Markham, Jr., Roger Myers, and Stephen Ryerson, Holme Roberts & Owen LLP (writing on behalf of Business...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-06-23
... on Nasdaq-100 Index[supreg] Tracking Stock (``QQQ SM '') \\5\\--to which, Phlx believes, SPY options...\\, Nasdaq-100[supreg], Nasdaq-100 Index[supreg], Nasdaq[supreg], and Nasdaq-100 Index Tracking Stock SM , are trademarks or service marks of The Nasdaq Stock Market, Inc. In particular, Phlx represents that...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-06-29
... of Depth-of-Book Data June 25, 2012. Pursuant to Section 19(b)(1) of the Securities Exchange Act of... Enterprise License fee for Non-Professional Subscribers of certain NASDAQ Depth-of-Book market data. NASDAQ will implement the proposed revised fee on July 1, 2012. * * * * * 7023. NASDAQ Depth-of-Book Data (a...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-04-04
... Industry Regulatory Authority, Inc.; International Securities Exchange LLC; The NASDAQ Stock Market LLC... Whether To Disapprove Proposed Rule Changes Relating to Trading Halts Due to Extraordinary Market.... (``FINRA''), International Securities Exchange LLC (``ISE''), The NASDAQ Stock Market LLC (``Nasdaq...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-02-17
... market participants, NASDAQ believes that this increase in distribution is attributable in part to the...-professional user of NASDAQ proprietary data. In addition to increased administrative flexibility, enterprise... believes that capping fees in this manner creates goodwill with broker-dealers and increases transparency...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-07-08
... using the NASDAQ Information Exchange (``QIX'') protocol,\\7\\ (ii) Financial Information Exchange (``FIX'') trading ports,\\8\\ and (iii) ports using other trading telecommunications protocols.\\9\\ Beginning July 1... because market participants may readily adjust their order routing practices, NASDAQ believes that the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-07-03
... contracted directly with Correlix to use its RaceTeam latency measurement service for the NASDAQ Market... Correlix RaceTeam offering,\\3\\ and thereafter approved codification in NASDAQ's rules of fees imposed by..., to foster cooperation and coordination with persons engaged in regulating, clearing, settling...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-01-17
... Report regarding a Nasdaq security through the NasdaqTrader.com Web site shall be determined in... improvement of web functionality and the inclusion of supplementary equity information, but has not increased... dark pools and electronic communication networks (``ECNs''). Each SRO market competes to produce...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-09-03
... (March 26, 2013) (SR-Phlx-2013-28) (notice of filing and immediate effectiveness implementing MDS on PSX...) (notice of filing and immediate effectiveness implementing MDS on BX) (the ``BX MDS filing''). No other... effectiveness implementing MDS on NASDAQ) (the ``NASDAQ MDS filing''). Other markets have also implemented a...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-11-26
... . NASDAQ has safeguards in place to protect the market from inadvertent entry of large orders. Each member that requests connectivity through an order entry port is required to specify the maximum order size... and procedures in place to ensure the proper entry and monitoring of orders entered into NASDAQ...
-
17 CFR 242.103 - Nasdaq passive market making.
Code of Federal Regulations, 2014 CFR
2014-04-01
... 17 Commodity and Securities Exchanges 4 2014-04-01 2014-04-01 false Nasdaq passive market making... Regulation M § 242.103 Nasdaq passive market making. (a) Scope of section. This section permits broker-dealers to engage in market making transactions in covered securities that are Nasdaq securities without...
-
17 CFR 242.103 - Nasdaq passive market making.
Code of Federal Regulations, 2013 CFR
2013-04-01
... 17 Commodity and Securities Exchanges 3 2013-04-01 2013-04-01 false Nasdaq passive market making... Regulation M § 242.103 Nasdaq passive market making. (a) Scope of section. This section permits broker-dealers to engage in market making transactions in covered securities that are Nasdaq securities without...
-
17 CFR 242.103 - Nasdaq passive market making.
Code of Federal Regulations, 2012 CFR
2012-04-01
... 17 Commodity and Securities Exchanges 3 2012-04-01 2012-04-01 false Nasdaq passive market making... Regulation M § 242.103 Nasdaq passive market making. (a) Scope of section. This section permits broker-dealers to engage in market making transactions in covered securities that are Nasdaq securities without...
-
17 CFR 242.103 - Nasdaq passive market making.
Code of Federal Regulations, 2010 CFR
2010-04-01
... 17 Commodity and Securities Exchanges 3 2010-04-01 2010-04-01 false Nasdaq passive market making... Regulation M § 242.103 Nasdaq passive market making. (a) Scope of Section. This section permits broker-dealers to engage in market making transactions in covered securities that are Nasdaq securities without...
-
17 CFR 242.103 - Nasdaq passive market making.
Code of Federal Regulations, 2011 CFR
2011-04-01
... 17 Commodity and Securities Exchanges 3 2011-04-01 2011-04-01 false Nasdaq passive market making... Regulation M § 242.103 Nasdaq passive market making. (a) Scope of Section. This section permits broker-dealers to engage in market making transactions in covered securities that are Nasdaq securities without...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-10-17
... book data for the NASDAQ Market Center Execution System. NASDAQ has also implemented these capped/flat..., there is no economic basis for regulating maximum prices for one of the joint products in an industry in... publishing proprietary book data on the Internet. Second, because a single order or transaction report can...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-02-22
... Proposed Rule Change To Modify Fees for Members Using the NASDAQ Market Center and To Correct a... (``Commission'') the proposed rule change as described in Items I, II, and III below, which Items have been...\\ NASDAQ has designated this proposal as establishing or changing a due, fee, or other charge, which...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-01-25
... Proposed Rule Change To Impose a Quarterly Maximum on the Listing of Additional Shares Fees Payable by... Terms of Substance of the Proposed Rule Change Nasdaq proposes to impose a quarterly maximum on the.... 5910. The NASDAQ Global Market (a) No change. (b) Additional Shares (1)-(5) No change. (6) The maximum...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-12-19
... also hopes to encourage greater use of its Closing Cross through this pricing incentive. NASDAQ further notes that the New York Stock Exchange (``NYSE'') currently offers general pricing incentives to members... changes to relocate the placement of the definitions of ``MPID'' and ``Consolidated Volume'' in Rule 7018...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-02-04
... on the book solely for the purpose of modifying the marking of a sell order as long, short, or short... not affect the priority of the order on the book. Except as provided in Rule 4761, all other... size of the order) does not cause the order to lose priority on the NASDAQ Market Center book. NASDAQ...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-09
...-based market making interface on its options trading platform (``NOM''). Market makers use this... in order to offer an additional market making interface choice to NASDAQ market makers. The proposed bulk-quoting market making interface will be used by market makers to submit and update their...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-09-16
... Stock Exchange, Inc.; EDGA Exchange, Inc.; EDGX Exchange, Inc.; International Securities Exchange LLC; The NASDAQ Stock Market LLC; National Stock Exchange, Inc.; New York Stock Exchange LLC; NYSE Amex LLC...''), NASDAQ OMX BX, Inc. (``BX''), Chicago Board Options Exchange, Incorporated (``CBOE''), Chicago Stock...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-03-28
... compensate members and their customers for the categories of loss defined in the [accommodation] [p]roposal... Nasdaq Rule 4626(b)(3)(F). \\111\\ See id. \\112\\ See supra note 25 (defining ``customer compensation... Nasdaq Market Center is absorbed by the member, or the member sponsoring the customer, that entered the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-03-15
... Proposed Rule Change To Clarify the Maximum Time Afforded to a Market Maker To Meet Its Market Making.... * * * * * 4619. Withdrawal of Quotations and Passive Market Making (a)-(f) No change. (g) A Nasdaq Market Maker... market making obligations under Rule 4613. * * * * * II. Self-Regulatory Organization's Statement of the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-06-23
... making markets on NOM. Anti-internalization processing is available only to market makers and only on an... interest from the same firm when performing the same market making function. \\4\\ See, e.g., NASDAQ Rule... public customers. Options market makers generally do not display customer orders in market making...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-09-06
... LLC; Stock Clearing Corporation of Philadelphia; Order Approving Proposed Rule Changes With Respect to the Amendment of the By-Laws of The NASDAQ OMX Group, Inc. August 30, 2012. I. Introduction On June 20... amendment of the by-laws (the ``NASDAQ OMX By-Laws'') of The NASDAQ OMX Group, Inc. (``NASDAQ OMX''), the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-01-15
... Exchange incurs for routing and executing certain orders in equity options to away markets. The Exchange proposes to amend Routing Fees for the following away markets: BATS Exchange, Inc. (``BATS''), BOX Options... NASDAQ OMX PHLX LLC (``Phlx''). These away markets amended their transaction fees and the Exchange...
-
Multifractals in Western Major STOCK Markets Historical Volatilities in Times of Financial Crisis
NASA Astrophysics Data System (ADS)
Lahmiri, Salim
In this paper, the generalized Hurst exponent is used to investigate multifractal properties of historical volatility (CHV) in stock market price and return series before, during and after 2008 financial crisis. Empirical results from NASDAQ, S&P500, TSE, CAC40, DAX, and FTSE stock market data show that there is strong evidence of multifractal patterns in HV of both price and return series. In addition, financial crisis deeply affected the behavior and degree of multifractality in volatility of Western financial markets at price and return levels.
-
Mood and the market: can press reports of investors' mood predict stock prices?
Cohen-Charash, Yochi; Scherbaum, Charles A; Kammeyer-Mueller, John D; Staw, Barry M
2013-01-01
We examined whether press reports on the collective mood of investors can predict changes in stock prices. We collected data on the use of emotion words in newspaper reports on traders' affect, coded these emotion words according to their location on an affective circumplex in terms of pleasantness and activation level, and created indices of collective mood for each trading day. Then, by using time series analyses, we examined whether these mood indices, depicting investors' emotion on a given trading day, could predict the next day's opening price of the stock market. The strongest findings showed that activated pleasant mood predicted increases in NASDAQ prices, while activated unpleasant mood predicted decreases in NASDAQ prices. We conclude that both valence and activation levels of collective mood are important in predicting trend continuation in stock prices.
-
Panic, slash, or crash-Do black swans flap in stock markets?
NASA Astrophysics Data System (ADS)
Chen, Dar-Hsin; Huang, Han-Lin
2018-02-01
Stock transaction data typically present a time series that exhibits a somewhat confusing trend, making it difficult to issue any form of crisis warning. This study employs Fourier spectrum analysis to clearly show manic and irrational investors chasing prices. When clustering generates an enormous amount of unstable power, the result is a stock market collapsing into a danger area that can be taken as a warning signal. We thus take the Dow Jones Index as a typical stock market and employ daily data from 1994-2015. This study finds the investors' purchasing power through certain thresholds, analyses the performance characteristics of the spectrum, and denotes when a stock market is in a most serious crisis stage and in a second most serious correction stage. The result of our study indicates that the warning signal accurately measures a stock market crash that can be applicable to the Dow Jones Index, Nasdaq Index, and Germany ADX Index and to the emerging markets of Bovespa Index (Brazil) and Shanghai Index (China). Furthermore, this study provides a quantitative reference concerning the depth of market crashes.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-07-17
... proposed MQP would be a program designed to promote market quality in certain securities listed on NASDAQ... contain the specific quantitative listing requirements for listing on the Global Select, Global Market... pilot (for comparative purposes), volume metrics, NBBO bid/ask spread differentials, LMM participation...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-02-05
... transaction fees for Broker-Dealers and Firms. NASDAQ OMX BX, Inc., (``BX''), International Securities Exchange, LLC (``ISE'') and NYSE Arca, Inc. (``NYSE Arca'') also charge Broker-Dealer transactions at the... to the market and regulatory requirements\\7\\ which normally do not apply to other market participants...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-10-07
... to amend Chapter VII, Section 6, Market Maker Quotations, to provide that respecting in-the-money...-money series, which is the spread in the underlying security in the primary market. NASDAQ believes that...-money option is particularly constrained by a quote spread parameter requirement that does not take into...
-
Mood and the Market: Can Press Reports of Investors' Mood Predict Stock Prices?
Scherbaum, Charles A.; Kammeyer-Mueller, John D.
2013-01-01
We examined whether press reports on the collective mood of investors can predict changes in stock prices. We collected data on the use of emotion words in newspaper reports on traders' affect, coded these emotion words according to their location on an affective circumplex in terms of pleasantness and activation level, and created indices of collective mood for each trading day. Then, by using time series analyses, we examined whether these mood indices, depicting investors' emotion on a given trading day, could predict the next day's opening price of the stock market. The strongest findings showed that activated pleasant mood predicted increases in NASDAQ prices, while activated unpleasant mood predicted decreases in NASDAQ prices. We conclude that both valence and activation levels of collective mood are important in predicting trend continuation in stock prices. PMID:24015202
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-05-21
... To Permit BX Options To Accept Inbound Options Orders From NASDAQ OMX PHLX LLC and NASDAQ Options... to permit the BX Options System to accept inbound options orders routed by Nasdaq Options Services LLC (``NOS'') from NASDAQ OMX PHLX LLC (``Phlx'') and The NASDAQ Stock Market LLC's NASDAQ Options...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-09-27
... market makers to engage in passive market making or to enter stabilizing bids pursuant to Nasdaq Rules... used by Market Makers to engage in passive market making or to enter stabilizing bids pursuant to... approved text of Rule 4613 that have moved so as group the proposed market making standard sections...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-01-10
... borne out by the performance of the market. In May 2008, the Internet portal Yahoo! began offering its... portal Yahoo! continues to disseminate only the BATS last sale product, Google disseminates only NASDAQ's...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-03-06
... Relating to the Listing and Trading of Shares of the Emerging Markets Corporate Bond Fund of the WisdomTree... change to list and trade the shares (``Shares'') of the WisdomTree Emerging Markets Corporate Bond Fund (``Fund'') of the WisdomTree Trust (``Trust'') under Nasdaq Rule 5735. The proposed rule change was...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-07-09
... performance of the market. In May 2008, the internet portal Yahoo! began offering its Web site viewers real... products that must be obtained in tandem. For example, while Yahoo! and Google now both disseminate NASDAQ...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-04-02
... performance of the market. In May 2008, the internet portal Yahoo! began offering its Web site viewers real... products that must be obtained in tandem. For example, while Yahoo! and Google now both disseminate NASDAQ...
-
The overnight effect on the Taiwan stock market
NASA Astrophysics Data System (ADS)
Tsai, Kuo-Ting; Lih, Jiann-Shing; Ko, Jing-Yuan
2012-12-01
This study examines statistical regularities among three components of stocks and indices: daytime (trading hour) return, overnight (off-hour session) return, and total (close-to-close) return. Owing to the fact that the Taiwan Stock Exchange (TWSE) has the longest non-trading periods among major markets, the TWSE is selected to explore the correlation among the three components and compare it with major markets such as the New York Stock Exchange (NYSE) and the National Association of Securities Dealers Automated Quotation (NASDAQ). Analysis results indicate a negative cross correlation between the sign of daytime return and the sign of overnight return; possibly explaining why most stocks feature a negative cross correlation between daytime return and overnight return [F. Wang, S.-J. Shieh, S. Havlin, H.E. Stanley, Statistical analysis of the overnight and daytime return, Phys. Rev. E 79 (2009) 056109]. Additionally, the cross correlation between the magnitude of returns is analyzed. According to those results, a larger magnitude of overnight return implies a higher probability that the sign of the following daytime return is the opposite of the sign of overnight return. Namely, the predictability of daytime return might be improved when a stock undergoes a large magnitude of overnight return. Furthermore, the cross correlations of 29 indices of worldwide markets are discussed.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-05-06
...-025, The NASDAQ Stock Market LLC (``NASDAQ Exchange'') sought and received Commission approval to...-Regulatory Organizations; Boston Stock Exchange Clearing Corporation; Notice of Filing and Immediate... hereby given that on April 9, 2010, the Boston Stock Exchange Clearing Corporation (``BSECC'') filed with...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-09-26
... believe that NASDAQ's ``joint products'' theory is fundamentally flawed, and cannot support the conclusion... joint products ``platform competition theory'' is flawed as a matter of economics, because order... functioning of the national market system or result in predatory prices, or threaten to injure competition...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-05-06
...-025, The NASDAQ Stock Market LLC (``NASDAQ Exchange'') sought and received Commission approval to... requirements apply to elections of directors and were not amended. Each share of common stock has one vote,\\8...-Regulatory Organizations; Stock Clearing Corporation of Philadelphia; Notice of Filing and Immediate...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-10-22
... review functions focused on: (1) Manipulation patterns that monitor solely BX activity, including patterns that monitor the opening and closing crosses on The NASDAQ Stock Market LLC (``NASDAQ'') and...
-
Scale-free avalanche dynamics in the stock market
NASA Astrophysics Data System (ADS)
Bartolozzi, M.; Leinweber, D. B.; Thomas, A. W.
2006-10-01
Self-organized criticality (SOC) has been claimed to play an important role in many natural and social systems. In the present work we empirically investigate the relevance of this theory to stock-market dynamics. Avalanches in stock-market indices are identified using a multi-scale wavelet-filtering analysis designed to remove Gaussian noise from the index. Here, new methods are developed to identify the optimal filtering parameters which maximize the noise removal. The filtered time series is reconstructed and compared with the original time series. A statistical analysis of both high-frequency Nasdaq E-mini Futures and daily Dow Jones data is performed. The results of this new analysis confirm earlier results revealing a robust power-law behaviour in the probability distribution function of the sizes, duration and laminar times between avalanches. This power-law behaviour holds the potential to be established as a stylized fact of stock market indices in general. While the memory process, implied by the power-law distribution of the laminar times, is not consistent with classical models for SOC, we note that a power-law distribution of the laminar times cannot be used to rule out self-organized critical behaviour.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-10-06
... amending Section 11 to include a definition of ``System routing table,'' defined as the proprietary process... Locked and Crossed Market Rules. \\3\\ Nasdaq has previously defined the term ``System routing table'' in... better value is the essence of a well-functioning competitive marketplace. The Exchange also believes...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-10-19
... market participants that the program is experimental and that NASDAQ may choose not to continue the... not only the costs of the data distribution infrastructure, but also the costs of designing... infrastructure--that have risen. The same holds true for execution services; despite numerous enhancements to...
-
How Random is the Walk: Efficiency of Indian Stock and Futures Markets
NASA Astrophysics Data System (ADS)
Basu, Udayan Kumar
Time series of prices of stock and its rates of return has been one of the major areas of study in Econophysics. The price of a stock depends on a number of factors as well as information related thereto, and how quickly and effectively the price of a stock assimilates all such information decides the efficiency of the stock market. Instead of individual stocks, people often study the behaviour of stock indices to get a feel of the market as a whole, and the outcomes of such studies for the Dow Jones Industrial Average (DJIA), the Nasdaq Index and the S & P 500 Index have been listed in a number of articles. In this context, it has also been argued that for a market to be considered sufficiently liquid, correlation between successive price movements and rates of return should be insignificant, because any significant correlation would lead to an arbitrage opportunity that is expected to be rapidly exploited and thus washed out. The residual correlations are those little enough not to be profitable for strategies due to imperfect market conditions. Unless transaction costs or slippages or any other impediment exists, leading to some transactional inefficiency, arbitrages would take place to bring back the markets to a stage of insignifficant correlations [1, 2].
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-04-18
... proposes to amend the Exchange's Pricing Schedule at Section VII, C to update FINRA fees to mirror the text... its Pricing Schedule at Section VII, C entitled ``FINRA Fees'' to mirror the rules of the NASDAQ Stock... in the Pricing Schedule with text similar to that of NASDAQ Stock Market Rule 7003(a)(1)--(5) \\3\\ and...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-12-06
... Proposed Rule Change To Eliminate Exchange Direct Orders November 30, 2011. Pursuant to Section 19(b)(1) of... (``Commission'') a proposal for the NASDAQ Options Market (``NOM'') to eliminate Exchange Direct Orders... Direct Orders from its rules. The Exchange proposes to eliminate this order type, effective November 30...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-06-24
... Proposed Rule Change Relating to Extension of the Exchange's Penny Pilot Program and Replacement of Penny... NASDAQ Options Market (``NOM'') to extend through December 31, 2013, the Penny Pilot Program in options classes in certain issues (``Penny Pilot'' or ``Pilot''), and to change the date when delisted classes may...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-09-19
... amend NASDAQ's schedule of execution fees and rebates under Rule 7018(a). As a general matter, the... in dark pools. Securities Exchange Act Release No. 61358 (January 14, 2010), 75 FR 3594 (January 21... market structure issues, including high frequency trading and un- displayed, or ``dark,'' liquidity. See...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-02-03
..., Chief Executive Officer, Direct Edge to Florence E. Harmon, Deputy Secretary, Commission (the ``Direct Edge Letter''). The commenter suggested that the proposed rule change should be suspended and that the... daily volume of 12 million shares or more of liquidity provided through the NASDAQ Market Center in all...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-07-12
... Modified by Amendment No. 1 Thereto, Relating to the WisdomTree Global Corporate Bond Fund and the WisdomTree Emerging Markets Corporate Bond Fund July 8, 2013. I. Introduction On May 17, 2013, The NASDAQ...-4 thereunder,\\2\\ a proposed rule change relating to the WisdomTree Global Corporate Bond Fund...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-12-23
... Proposed Rule Change Relating to Extension of the Exchange's Penny Pilot Program and Replacement of Penny... the rules of the NASDAQ Options Market (``NOM'') to extend through June 30, 2014, the Penny Pilot Program in options classes in certain issues (``Penny Pilot'' or ``Pilot''), and to change the date when...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-08
... Proposed Rule Change To Modify Fees for Members Using the NASDAQ Market Center August 2, 2011. Pursuant to...'') filed with the Securities and Exchange Commission (the ``Commission'') the proposed rule change as... publishing this notice to solicit comments on the proposed rule change from interested persons. \\1\\ 15 U.S.C...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-11-23
... Expanding the Short Term Option Series Program November 17, 2011. I. Introduction On September 28, 2011, The...,\\2\\ a proposed rule change to expand the Short Term Option Program (``Program'') to allow the NASDAQ Options Market (``NOM'' or ``Exchange'') to: (1) Select up to 30 option classes on which Short Term Option...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-02-09
... correlation observed by NASDAQ between levels of liquidity provided during pre-market hours and levels... extra rebate with respect to all displayed liquidity provided through a designated MPID that executes at... Execution Ratio'' for the month is less than 10. The PMI Execution Ratio is defined as the ratio of (A) the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-09-22
... Relating to the National Quotation Dissemination Service September 16, 2010. I. Introduction On August 2... receive the National Quotation Dissemination Service (``NQDS'') from $50 to $10. The proposed rule change... contains the best bid and offer quotation of each registered market maker quoting in NASDAQ-listed...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-09-02
... investor concerns. The link between failure to comply with the bid price requirement and failure to meet... market system, and, in general, to protect investors and the public interest. The proposed rule change is... address instances of noncompliance with Nasdaq's price requirement and would not adversely affect...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-04-24
... fee assessed by the away market. With respect to Customer orders that are routed to NASDAQ OMX BX, Inc..., to increase the fixed fee from $0.11 to $0.15 per contract.\\7\\ The Exchange currently does not recoup... per contract. \\7\\ The Exchange is not proposing to amend Non-Customer Routing Fees or Routing Fees for...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-03-08
... accordance with a sliding scale that takes account of overall market volumes during the month. Specifically... consolidated volume is 8 billion or fewer shares per day during the month. Effective March 1, 2011, NASDAQ will... Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \\1\\ and Rule 19b-4 thereunder,\\2\\ notice...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-04-13
... Proposed Rule Change To Modify Fees for Members Using the NASDAQ Market Center April 7, 2011. Pursuant to... Securities and Exchange Commission (``Commission'') the proposed rule change as described in Items I, II, and... solicit comments on the proposed rule change from interested persons. \\1\\ 15 U.S.C. 78s(b)(1). \\2\\ 17 CFR...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-08-29
... NASDAQ to provide BX members the same reciprocity that the BX rule provides today. \\5\\ See NASDAQ Rules... believes that same reciprocity should be granted to BX members desiring to become NASDAQ members. The rules...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-09-05
... the Listing and Trading of Shares of the WisdomTree Global Corporate Bond Fund of the WisdomTree Trust... of the WisdomTree Global Corporate Bond Fund (``Fund'') of the WisdomTree Trust (``Trust'') under...) (SR-NASDAQ-2012-004) (order approving listing and trading of WisdomTree Emerging Markets Corporate...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-05-13
....25 $0.25 $0.25 $0.25 Fee for Removing $0.35 $0.45 $0.45 $0.45 Liquidity IWM, QQQQ, SPY Rebate to Add... executes in the Nasdaq Options Market shall be $0.45 per executed contract. (2)-(3) No Change. (4) Fees for... SPY options to $0.30 per executed contract.\\6\\ The fee to remove liquidity in these options will...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-03-10
... of the Proposed Rule Change NASDAQ proposes to modify pricing for NASDAQ members using the NASDAQ... Statutory Basis for, the Proposed Rule Change 1. Purpose NASDAQ is making minor modifications to its pricing... the fee for members using the STGY, SCAN, SKNY, SKIP, or DOTI routing strategies.\\3\\ For orders using...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-07-03
... the Authority of NASDAQ or NASDAQ Execution Services To Cancel Orders When a Technical or Systems...'') to cancel orders when a technical or systems issue occurs and to describe the operation of an error... causes NASDAQ or NES to cancel orders, if NASDAQ or NES determines that such action is necessary to...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-02-04
... Exchange proposes to clarify Nasdaq Rule 7023 to make clear that Historical ModelView information will be available via NasdaqTrader.com and that references to the Historical TotalView data product will be deleted... text of the proposed rule change is available from Nasdaq's Web site at http://nasdaq.cchwallstreet.com...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-01-17
... system protocol, to the NASDAQ matching engine or to the NASDAQ router as needed to complete the... Order application to the order entry gateway of NASDAQ's matching engine, but the amount of time gained... proposal represents another example of the blurring borders between exchanges and broker-dealers, and...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-08-22
... Proposed Rule Change To Remove the Expired Pilot Under Rule 4753(c) From the NASDAQ Rule Book August 16... ``Volatility Guard'') from the NASDAQ rule book. NASDAQ will remove the rule text 30 days after the filing date... proposing to remove the expired pilot under Rule 4753(c) from the rule book. On June 18, 2010, NASDAQ filed...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-18
...., International Securities Exchange LLC, The NASDAQ Stock Market LLC, New York Stock Exchange LLC, NYSE Amex LLC... Pause Pilot rules of the Markets to include all remaining NMS stocks (``Phase III Securities'').\\9\\ The... Organizations; National Stock Exchange, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-19
... individual stock trading pause pursuant to the Pause Pilot on the primary listing market and those..., The NASDAQ Stock Market LLC, New York Stock Exchange LLC, NYSE Amex LLC, NYSE Arca, Inc., National...-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate Effectiveness of...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-02-03
... Stockholders' Agreement Between the NASDAQ OMX Group, Inc. and Investor AB January 27, 2011. Pursuant to... Investor AB, a corporation organized under the laws of Sweden (``Investor Stockholders' Agreement''). The... and Investor AB also entered into the Investor Stockholders' Agreement, relating to 8 million shares...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-17
...., International Securities Exchange LLC, The NASDAQ Stock Market LLC, New York Stock Exchange LLC, NYSE Amex LLC... Amend the Clearly Erroneous Rule in Light of Changes to the Single Stock Trading Pause Process August 11... continue to operate in the same manner after changes to the single stock trading pause process are...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-11-12
... Connection testing [using current Nasdaq access protocols] during the normal operating hours of the NTF; No Charge--For Idle Connection testing [using current Nasdaq access protocols]; $333/hour--For Active Connection testing [using current Nasdaq access protocols] at all times other than the normal operating hours...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-08-01
... and BONO Port fees will be assessed to non-NOM Participants and NOM Participants. * * * * * The text... NASDAQ ITCH to Trade Options (``ITTO'') \\4\\ ports to non-NOM Participants and NOM Participants for... options equivalent of the NASDAQ Basic data feed offered for equities under NASDAQ Rule 7047. See Chapter...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-12-12
... such, NASDAQ believes it is appropriate to treat these companies the same as domestic companies for... from most of NASDAQ's corporate governance requirements under Rule 5615(a)(3), a foreign company that... exemption from many of NASDAQ's corporate governance rules. While the proposed $7,500 per year fee would...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-04-11
... price improving orders, and then are eligible to access non-price improving liquidity on the NASDAQ book.... For Type 2 Retail Orders that execute against non-price improving orders on the NASDAQ book, NASDAQ... investment intentions, they promote price discovery and dampen volatility. Accordingly, their presence in the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-08
... Proposed Rule To Amend Fees Assessed for Use of NASDAQ Pre-Trade Risk Management August 3, 2011. Pursuant... Risk Management (``PRM'') and to make a minor technical correction. NASDAQ will implement the amended... in italics; proposed deletions are in brackets. 7016. Nasdaq Risk Management (a) No change. (b) Users...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-04-13
... for, the Proposed Rule Change 1. Purpose NASDAQ is making modifications to its pricing schedule for... venue. The change is designed to ensure that NASDAQ does not lose money on trade executions, as is... will eliminate circumstances in which NASDAQ loses money on order executions by paying a rebate that is...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-07-03
... series of scenarios, and the set has accreted new scenarios from year to year as NASDAQ's system and the... rule manual. NASDAQ has determined to approach contingency planning differently than in the past, and... occurs, NASDAQ will at the earliest possible time communicate to members and the public its determination...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-01-09
... Proposed Rule Change To Modify Fees for the Trading and Compliance Data Package January 3, 2012. Pursuant... reports available to member firms via NasdaqTrader.com Trading and Compliance Data Package under NASDAQ... deletions are in brackets. 7021. NasdaqTrader.com Trading and Compliance Data Package Fee The charge to be...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-02-04
... proposed rule change is available from NASDAQ's website at http://nasdaq.cchwallstreet.com , at NASDAQ's... Authority have the necessary systems capacity to handle the additional traffic associated with the listing...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-01-16
... its order flow on Nasdaq, and create both real-time and historical reports of such order flow. Members... OUCH ports on the Nasdaq system in real-time, analyze the latency of messages sent to the Nasdaq system... provides a subscribing member firm with real-time order latency and analytical tools to measure the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-05-12
... Proposed Rule Change To Amend Rules 9552, 9554 and 9559 To Conform NASDAQ's Rules to Recent Changes to the..., 9554 and 9559 to conform NASDAQ's rules to recent changes to the rules of the Financial Industry... NASDAQ's rules to recent changes made to corresponding FINRA rules, which will promote the application of...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-09-04
... Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act''),\\1\\ notice is hereby given that on... prepared primarily by Nasdaq. Nasdaq filed the proposed rule change pursuant to Section 19(b)(3)(A) of the... Rule Change Nasdaq proposes to modify Rule 5210(c) related to the Direct Registration System (``DRS...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-18
... trading pause process during periods of extraordinary market volatility as a pilot in S&P 500 Index stocks... Exchange LLC, The NASDAQ Stock Market LLC, New York Stock Exchange LLC, NYSE Amex LLC, NYSE Arca, Inc... Organizations; Chicago Stock Exchange, Inc.; Notice of Filing of Proposed Rule Change To Amend Article 20, Rule...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-01-22
....] * * * * * 2262. Disclosure of Control Relationship with Issuer Nasdaq Members shall comply with FINRA Rule 2262... corresponding FINRA rules. This filing addresses NASDAQ Rule 2240 entitled ``Disclosure of Control Relationship... Distribution.'' NASDAQ Rule 2262 makes reference to NASD 2240 entitled ``Disclosure of Control Relationship...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-05-24
... imbalance at the end of a trading pause, Nasdaq may delay the re-opening of a security. Nasdaq will issue a notification if it cannot resume trading for a reason other than a significant imbalance. Price moves under... Period, Nasdaq detects an [liquidity] order imbalance in the security, Nasdaq will extend the Display...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-12-31
...: ``Immediate family member' means a person's spouse, parents, children and siblings, whether by blood, marriage... to the Amendment of the By-Laws of its Parent Corporation, The NASDAQ OMX Group, Inc. December 21... by-laws of its parent corporation, The NASDAQ OMX Group, Inc. (``NASDAQ OMX'' or the ``Corporation...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-10-17
... NASDAQ Last Sale product, set forth in NASDAQ Rule 7039. In May 2008, the internet portal Yahoo! began... products that must be obtained in tandem. For example, while the internet portal Yahoo! continues to...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-06-28
....'' Second, NASDAQ replacing existing paragraph (C)(4) of Rule 11890, entitled ``Numerical Guidelines... NASDAQ to deviate from the Numerical Guidelines contained in paragraph (C)(1) (other than under limited... provides flexibility to NASDAQ to use different Numerical Guidelines or Reference Prices in various...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-04-10
... believes that it is reasonable to charge a $0.0001 per share markup on such routed orders as a means of..., and accordingly, it is equitable for NASDAQ to charge members a markup for making use of NASDAQ's...
-
2007-07-24
for many high-volume stocks of CRS-3 1 William H. Christie and Paul H. Schultz, “Did NASDAQ Market Makers Implicitly Collude?,” Journal of Economic...abandoned, and spreads for several major stocks fell by about half.1 Some other examples of transparency in financial markets suggested transparency lowered...losses. CRS-34 67 For a more detailed description of the structure of modern financial markets, see Hans R. Stoll, “Electronic Trading in Stock
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-12-16
... requirements for compensation committee members, certain relevant factors, including the ``source of... consulting, advisory or other compensatory fee from the company or any subsidiary thereof. \\8\\ See Nasdaq... the past few months, however, Nasdaq has received feedback from listed companies and others that the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-06-27
... where Item 407(a)(3) of Regulation S-K requires specific disclosures of any transactions, relationships... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-64713; File No. SR-NASDAQ-2011-082] Self... Proposed Rule Change to Align Certain Disclosure Requirements in Nasdaq's Corporate Governance Rules with...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-10-22
... due, NASDAQ's experience is that the company's plan often requires detailed analysis by staff to...)(A)(iii) [sic]. NASDAQ's experience is that these types of deficiencies often arise unexpectedly from events outside the control of the company, such as the death or resignation of a director. Further...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-02-03
... 30 seconds. Once triggered, NASDAQ institutes a formal trading halt during which time NASDAQ systems... time was appropriate because, among other things, the additional time would ensure that the Commission... with the Act. Comments may be submitted by any of the following methods: Electronic Comments Use the...
-
77 FR 38421 - Listing Standards for Compensation Committees
Federal Register 2010, 2011, 2012, 2013, 2014
2012-06-27
..., International Securities Exchange, NASDAQ OMX BX (formerly the Boston Stock Exchange), The NASDAQ Stock Market... hand, the NASDAQ Stock Market (``Nasdaq'') does not mandate that a listed issuer have a compensation... Markets Inc. (``Better Markets''), CFA, Georg Merkl (``Merkl''), National Association of Corporate...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-12-23
... settlement, adjust, retain priority for, or otherwise correctly process an order, Quote/Order, message, or... Directors of NASDAQ OMX an analysis of the total value of eligible claims. FINRA has provided the required analysis. The provision further requires that Nasdaq will file with the Commission a rule proposal setting...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-06-19
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-69755; File No. SR-NASDAQ-2013-070] Self... (``Exchange'' or ``NASDAQ'') filed with the Securities and Exchange Commission (``Commission''), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \\1\\ and Rule 19b-4 thereunder,\\2\\ a...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-03-20
...-NASDAQ-2013-041 (March 1, 2013). \\10\\ ``Total Volume'' is defined as Customer, Professional, Firm, Broker... participation in NASDAQ by members that represent retail customers.\\3\\ For purposes of the proposed new tiers and credits, a Designated Retail Order would be defined as an agency or riskless principal \\4\\ order...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-03-08
... Proposed Rule Change To Eliminate Erroneous Citations From Rule 9557 March 1, 2010. Pursuant to Section 19... Change Nasdaq is proposing to eliminate erroneous citations found under Rule 9557. The text of the... Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose Nasdaq is proposing to eliminate...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-04-17
... 70857 (Nov. 27, 2012). \\7\\ See Letter from Stephen Matthews, Senior Associate General Counsel, NASDAQ.... 13, 2013. See Letter from Jeffrey S. Davis, Vice President and Deputy General Counsel, NASDAQ OMX.... O'Neill, Deputy Secretary . [FR Doc. 2013-08974 Filed 4-16-13; 8:45 am] BILLING CODE 8011-01-P ...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-10-20
... Proposed Rule Change To Modify Interpretation of Rule 4120(a)(11) October 14, 2011. Pursuant to Section 19... Proposed Rule Change NASDAQ proposes to modify its interpretation of Rule 4120(a)(11) regarding at what... NASDAQ is modifying its interpretation and practices related to certain language contained in Rule 4120(a...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-11-02
... Proposed Rule Change To Modify Prices for Co-Location Services October 27, 2010. Pursuant to Section 19(b... Proposed Rule Change NASDAQ proposes to change to modify [sic] pricing for co-location services NASDAQ will... proposing to modify its fee schedule \\5\\ for co- location services.\\6\\ These modifications are summarized...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-10-27
... Proposed Rule Change To Codify Prices for Co-Location Services October 21, 2010. Pursuant to Section 19(b... the Proposed Rule Change NASDAQ proposes to change to codify pricing for co-location services NASDAQ... Commission approved an initial fee schedule of existing fees for the Exchange's co-location services.\\3\\ This...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-10-31
... Proposed Rule Change To Modify the Description of the Nasdaq Daily Share Volume Service October 25, 2011... Basis for, the Proposed Rule Change 1. Purpose This proposal pertains to the Nasdaq Daily Share Volume... the share volume information provided. Thus, the rule change will make it clear that the Service is...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-04-19
... deficiency from Nasdaq is required to make a public announcement by filing a Form 8-K, where required by SEC... the deficiency is based. However, note that in the case of a deficiency related to the requirement to... electronic disclosure submission system available at www.nasdaq.net , except in emergency situations when...
-
Web search queries can predict stock market volumes.
Bordino, Ilaria; Battiston, Stefano; Caldarelli, Guido; Cristelli, Matthieu; Ukkonen, Antti; Weber, Ingmar
2012-01-01
We live in a computerized and networked society where many of our actions leave a digital trace and affect other people's actions. This has lead to the emergence of a new data-driven research field: mathematical methods of computer science, statistical physics and sociometry provide insights on a wide range of disciplines ranging from social science to human mobility. A recent important discovery is that search engine traffic (i.e., the number of requests submitted by users to search engines on the www) can be used to track and, in some cases, to anticipate the dynamics of social phenomena. Successful examples include unemployment levels, car and home sales, and epidemics spreading. Few recent works applied this approach to stock prices and market sentiment. However, it remains unclear if trends in financial markets can be anticipated by the collective wisdom of on-line users on the web. Here we show that daily trading volumes of stocks traded in NASDAQ-100 are correlated with daily volumes of queries related to the same stocks. In particular, query volumes anticipate in many cases peaks of trading by one day or more. Our analysis is carried out on a unique dataset of queries, submitted to an important web search engine, which enable us to investigate also the user behavior. We show that the query volume dynamics emerges from the collective but seemingly uncoordinated activity of many users. These findings contribute to the debate on the identification of early warnings of financial systemic risk, based on the activity of users of the www.
-
Web Search Queries Can Predict Stock Market Volumes
Bordino, Ilaria; Battiston, Stefano; Caldarelli, Guido; Cristelli, Matthieu; Ukkonen, Antti; Weber, Ingmar
2012-01-01
We live in a computerized and networked society where many of our actions leave a digital trace and affect other people’s actions. This has lead to the emergence of a new data-driven research field: mathematical methods of computer science, statistical physics and sociometry provide insights on a wide range of disciplines ranging from social science to human mobility. A recent important discovery is that search engine traffic (i.e., the number of requests submitted by users to search engines on the www) can be used to track and, in some cases, to anticipate the dynamics of social phenomena. Successful examples include unemployment levels, car and home sales, and epidemics spreading. Few recent works applied this approach to stock prices and market sentiment. However, it remains unclear if trends in financial markets can be anticipated by the collective wisdom of on-line users on the web. Here we show that daily trading volumes of stocks traded in NASDAQ-100 are correlated with daily volumes of queries related to the same stocks. In particular, query volumes anticipate in many cases peaks of trading by one day or more. Our analysis is carried out on a unique dataset of queries, submitted to an important web search engine, which enable us to investigate also the user behavior. We show that the query volume dynamics emerges from the collective but seemingly uncoordinated activity of many users. These findings contribute to the debate on the identification of early warnings of financial systemic risk, based on the activity of users of the www. PMID:22829871
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-10-12
... using a Nasdaq Workstation or Weblink ACT 2.0 user account. Member firms subscribing to the ACT Reject... Workstation and Weblink ACT 2.0 user account selected for subscription to the ACT Reject Scan service. Nasdaq..., per month. Use of the ACT Reject Scan service is voluntary and the subscription fee will be imposed on...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-08-09
... designated by the entering party, without checking the NASDAQ book. If unexecuted, the order (or unexecuted... respect to BX and NYSE. The fee level is consistent with NASDAQ's long-standing practice of charging a..., regardless of the activity level of the member, the listing venue of the security, or the venue to which the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-08-02
... Proposed Rule Change To Modify the Post-Only Order Type on NOM July 27, 2012. Pursuant to Section 19(b)(1... Proposed Rule Change NASDAQ proposes to add an additional feature to the Post-Only Order type on the NASDAQ... called Post-Only Order.\\3\\ Thereafter, the Exchange amended the order type and delayed implementation...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-02-05
... NYSE or NYSE Amex opening or closing processes. DOT orders do not check the NASDAQ book prior to... thereafter check the NASDAQ book for available shares and are then converted into SCAN or STGY orders... book and destinations on the DOTI System routing table and then are sent to NYSE or NYSE Amex. Such...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-04-08
... Proposed Rule Change To Eliminate a Fee for Use of FIX and OUCH Trading Ports for Testing April 2, 2013... of the Proposed Rule Change NASDAQ proposes to eliminate fees under Rules 7015(b) and (g), which are..., the Proposed Rule Change 1. Purpose NASDAQ is proposing to amend Rules 7015(b) and (g) to eliminate...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-08-23
... Proposed Rule Change To Delete Rule 4770 in Its Entirety and To Eliminate a Related Reference From the... entirety from the NASDAQ rulebook and to also eliminate a reference to Rule 4770 from Rule 4751(f)(13). The... Proposed Rule Change 1. Purpose NASDAQ is proposing to eliminate Rule 4770 in its entirety. Rule 4770 sets...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-03-01
... C2 Options Exchange, Inc. (``C2''). The text of the proposed rule change is available on the Exchange... Rules in order to recoup costs applicable to the C2 Options Exchange, Inc. (``C2'') that the Exchange... NASDAQ OMX PHLX LLC (``PHLX'') and NASDAQ OMX BX, Inc. (``BX Options'') and a $0.11 per contract fixed...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-05-04
... Stock Market, LLC To Amend the By-Laws of The NASDAQ OMX Group, Inc. April 27, 2010. Pursuant to Section... is hereby given that on April 9, 2010, The NASDAQ Stock Market LLC (the ``NASDAQ Exchange'') filed... By-Laws to make improvements in its governance. In SR-NASDAQ-2010-025, The NASDAQ Stock Market LLC...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-03-08
... Locator is accessed through the NASDAQ Workstation or Weblink ACT 2.0 and is offered for a fee of $750 per... Locator is an add on tool to the NASDAQ Workstation and Weblink ACT 2.0 that assists a member firm that is... Volatility (the ``Plan'').\\3\\ The Plan provides a limit up/limit down mechanism designed to prevent trades in...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-12-12
... Investment Officer, Vanguard, dated May 3, 2012; and Letter from Leonard J. Amoruso, General Counsel, Knight..., BlackRock, Inc., dated July 11, 2012; Letter from Stanislav Dolgopolov, Assistant Adjunct Professor..., Esq., NASDAQ, dated September 7, 2012, and email from Ed Knight, NASDAQ, dated September 19, 2012. \\9...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-10-19
..., particularly in times of market stress, and exacerbate market volatility.\\8\\ \\7\\ See BATS Letter at 2; Deutsche... Volatility Guard to work within the parameters of the recently adopted single-stock circuit breakers, and to... of individual exchange volatility moderators in times of market stress. In addition, as noted above...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-05-08
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-69499; File No. SR-NASDAQ-2013-070] Self.... May 2, 2013. Pursuant to Section 19(b)(1) \\1\\ of the Securities Exchange Act of 1934 (the ``Act'') \\2... LLC (the ``Exchange'' or ``Nasdaq'') filed with the Securities and Exchange Commission (the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-06-13
...\\ See Letter from Stephen Matthews, Senior Associate General Counsel, NASDAQ OMX, dated Jan. 15, 2013... from Jeffrey S. Davis, Vice President and Deputy General Counsel, NASDAQ OMX, dated Feb. 27, 2013. \\10.... O'Neill, Deputy Secretary. [FR Doc. 2013-13999 Filed 6-12-13; 8:45 am] BILLING CODE 8011-01-P ...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-02-20
... Regulation NMS Plan to Address Extraordinary Market Volatility or February 4, 2014. The Exchange will... of operations of the Regulation NMS Plan to Address Extraordinary Market Volatility or February 4... periods of extraordinary market volatility in S&P 500 stocks.\\3\\ The rules require the Listing Markets \\4...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-04-08
... extraordinary market volatility, if adopted, applies. The text of the proposed rule change is below. Proposed... address extraordinary market volatility, if adopted, applies[April 11, 2011]. * * * * * II. Self... during periods of extraordinary market volatility in S&P 500 stocks.\\3\\ The rules require the Listing...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-06-16
... Securities Exchange LLC; New York Stock Exchange LLC; NYSE Amex LLC; NYSE Arca, Inc.; The NASDAQ Stock Market... Extraordinary Market Volatility June 10, 2010. I. Introduction On May 18, 2010, each of BATS Exchange, Inc..., Inc. (``NYSEArca''), The NASDAQ Stock Market LLC (``NASDAQ''), National Stock Exchange, Inc. (``NSX...
-
Salient features of dependence in daily US stock market indices
NASA Astrophysics Data System (ADS)
Gil-Alana, Luis A.; Cunado, Juncal; de Gracia, Fernando Perez
2013-08-01
This paper deals with the analysis of long range dependence in the US stock market. We focus first on the log-values of the Dow Jones Industrial Average, Standard and Poors 500 and Nasdaq indices, daily from February, 1971 to February, 2007. The volatility processes are examined based on the squared and the absolute values of the returns series, and the stability of the parameters across time is also investigated in both the level and the volatility processes. A method that permits us to estimate fractional differencing parameters in the context of structural breaks is conducted in this paper. Finally, the “day of the week” effect is examined by looking at the order of integration for each day of the week, providing also a new modeling approach to describe the dependence in this context.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-05-03
... traditional SPDRs[supreg] ETF (SPDRs[supreg] Trust Series 1) holds a stake in the 500 stocks represented by... Stock (``QQQ \\SM\\''),\\6\\ the third most actively traded options, traded a total of 8,730,718 contracts...], Nasdaq[supreg], Nasdaq-100 Index Tracking Stock \\SM\\, and are trademarks or service marks of The Nasdaq...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-05-18
... operate the BX Options market. BX's history dates back to the 1830s. For many years, the Boston Stock... OMX BX. BX re-launched an equities marketplace utilizing state of the art NASDAQ technology, having...). Consistent with that storied history as a long-time competitor in the U.S. markets, BX now proposes to launch...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-16
... which a limit up/limit down mechanism to address extraordinary market volatility, if adopted, applies...''), to pause trading during periods of extraordinary market volatility in S&P 500 stocks.\\3\\ The rules... market volatility, if adopted, applies.\\7\\ On June 23, 2011, the Commission approved the expansion of the...
-
Distribution characteristics of stock market liquidity
NASA Astrophysics Data System (ADS)
Luo, Jiawen; Chen, Langnan; Liu, Hao
2013-12-01
We examine the distribution characteristics of stock market liquidity by employing the generalized additive models for location, scale and shape (GAMLSS) model and three-minute frequency data from Chinese stock markets. We find that the BCPE distribution within the GAMLSS framework fits the distributions of stock market liquidity well with the diagnosis test. We also find that the stock market index exhibits a significant impact on the distributions of stock market liquidity. The stock market liquidity usually exhibits a positive skewness, but a normal distribution at a low level of stock market index and a high-peak and fat-tail shape at a high level of stock market index.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-07-15
... movements in the price at which a security is traded can indicate aberrant volatility, which is harmful to investors. On August 19, 2008, the Commission approved new Rule 4753(c), which established a volatility... 4753(c), a volatility-based pause in trading in individual NASDAQ-listed securities traded on NASDAQ...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-04-01
... DEPARTMENT OF ENERGY Federal Energy Regulatory Commission [Docket No. ER10-914-000] Nasdaq OMX Commodities Clearing--Finance, LLC; Supplemental Notice That Initial Market-Based Rate Filing Includes Request for Blanket Section 204 Authorization March 25, 2010. This is a supplemental notice in the above-referenced proceeding of Nasdaq OMX...
-
Multilayer Stock Forecasting Model Using Fuzzy Time Series
Javedani Sadaei, Hossein; Lee, Muhammad Hisyam
2014-01-01
After reviewing the vast body of literature on using FTS in stock market forecasting, certain deficiencies are distinguished in the hybridization of findings. In addition, the lack of constructive systematic framework, which can be helpful to indicate direction of growth in entire FTS forecasting systems, is outstanding. In this study, we propose a multilayer model for stock market forecasting including five logical significant layers. Every single layer has its detailed concern to assist forecast development by reconciling certain problems exclusively. To verify the model, a set of huge data containing Taiwan Stock Index (TAIEX), National Association of Securities Dealers Automated Quotations (NASDAQ), Dow Jones Industrial Average (DJI), and S&P 500 have been chosen as experimental datasets. The results indicate that the proposed methodology has the potential to be accepted as a framework for model development in stock market forecasts using FTS. PMID:24605058
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-01-12
... Stock Market, LLC to Establish a $5 Strike Price Program January 6, 2011. Pursuant to Section 19(b)(1... given that, on January 3, 2011, The NASDAQ Stock Market LLC (``NASDAQ'' or ``Exchange'') filed with the... Proposed Rule Change The NASDAQ Stock Market LLC proposes to amend Chapter IV, Securities Traded on NOM...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-04-06
... Stock Market, LLC To Expand the $2.50 Strike Price Program March 31, 2011. Pursuant to Section 19(b)(1... given that, on March 29, 2011, The NASDAQ Stock Market LLC (``NASDAQ'' or ``Exchange'') filed with the... Change The NASDAQ Stock Market LLC proposes to amend Chapter IV, Supplementary Material to Section 6...
-
Fractal patterns in Stock Intertrading Times
NASA Astrophysics Data System (ADS)
White, Ainslie; Lee, Youngki; Ivanov, Plamen Ch.
2003-03-01
We study intertrades times (ITT) of stock trades of a range of companies included in the New York Stock Exchange's Trades and Quotes (TAQ) database. The time between transactions is an indicator of the dynamics of the market, and in the field of econometrics, intertrade durations play a key role in the understanding of the market activity and microstructure. Previous work has mainly focused on the properties of price changes of individual company stocks as well as global financial indices (e.g. SP500, DJ etc.). We hypothesize that there is a relation between the dynamics of price change and the trading activity. To investigate this relation we first study the statistical features of ITT data. The TAQ database covers all transactions on the NSE, AMEX, NASDAQ and the US regional exchanges. We have performed a preliminary analysis of 100 company stocks from a range of industries of the US economy selecting predominantly those companies which have large market capitalisations (MC). We focus on companies with large MC, since the dynamics of the price change and trading activity of stocks of such companies has a considerable impact on the market behaviour.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-10-04
... Methodology for Determining When to Halt Trading Due to Extraordinary Market Volatility September 28, 2011... determining when to halt trading in all stocks due to extraordinary market volatility. The proposal is made in... market volatility. The Exchange is proposing this rule change in consultation with other equity, options...
-
Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?
NASA Astrophysics Data System (ADS)
Peng, Huan; Chen, Ruoxun; Mei, Dexiang; Diao, Xiaohua
2018-07-01
In this paper, we use a comprehensive look to investigate whether the G7 stock markets can contain predictive information to help in forecasting the Chinese stock market volatility. Our out-of-sample empirical results indicate the kitchen sink (HAR-RV-SK) model is able to attain better performance than the benchmark model (HAR-RV) and other models, implying that the G7 stock markets can help in predicting the one-day volatility of the Chinese stock market. Moreover, the kitchen sink strategy can beat the strategy of the simple combination forecasts. Finally, the G7 stock markets can indeed contain useful information, which can increase the accuracy forecasts of the Chinese stock market.
-
Greed, fear and stock market dynamics
NASA Astrophysics Data System (ADS)
Westerhoff, Frank H.
2004-11-01
We present a behavioral stock market model in which traders are driven by greed and fear. In general, the agents optimistically believe in rising markets and thus buy stocks. But if stock prices change too abruptly, they panic and sell stocks. Our model mimics some stylized facts of stock market dynamics: (1) stock prices increase over time, (2) stock markets sometimes crash, (3) stock prices show little pair correlation between successive daily changes, and (4) periods of low volatility alternate with periods of high volatility. A strong feature of the model is that stock prices completely evolve according to a deterministic low-dimensional nonlinear law of motion.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-08-03
... pause trading during periods of extraordinary market volatility in S&P 500 stocks.\\3\\ The rules require... extraordinary market volatility, if adopted, applies.\\7\\ On June 23, 2011, the Commission approved the expansion... volatility, and further extended the pilot period, so that the pilot would expire on January 31, 2012.\\9\\ On...
-
Stock Market Expectations of Dutch Households
Hurd, Michael; van Rooij, Maarten; Winter, Joachim
2013-01-01
Despite its importance for the analysis of life-cycle behavior and, in particular, retirement planning, stock ownership by private households is poorly understood. Among other approaches to investigate this puzzle, recent research has started to elicit private households’ expectations of stock market returns. This paper reports findings from a study that collected data over a two-year period both on households’ stock market expectations (subjective probabilities of gains or losses) and on whether they own stocks. We document substantial heterogeneity in financial market expectations. Expectations are correlated with stock ownership. Over the two years of our data, stock market prices increased, and expectations of future stock market price changes also increased, lending support to the view that expectations are influenced by recent stock gains or losses. PMID:23997423
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-08-16
.... However, as the Commission has made clear with respect to BX's affiliate, the NASDAQ Stock Exchange LLC...: Manipulation patterns that monitor solely BX activity, including patterns that monitor activity that might... the opposite side of the BX market at an improved price (often referred to as ``odd lot manipulation...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-10-19
... by the performance of the market. In May 2008, the internet portal Yahoo! began offering its Web site... that is still disseminated via Yahoo! The New York Stock Exchange also distributes competing last sale...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-12-10
... evolution of technologies and systems through which data may be accessed. NASDAQ, like other data providers... just and equitable principles of trade, to foster cooperation and coordination with persons engaged in...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-01-14
... relationship. Direct liquidity provision is beneficial to NASDAQ and to the marketplace generally. Direct... liquidity provision rather than compensating the effort required to aggregate order flow. To encourage the... [[Page 2743
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-01-12
... performance of the market. In May 2008, the internet portal Yahoo! began offering its Web site viewers real... disseminated via Yahoo! The New York Stock Exchange also distributes competing last sale data products at a...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-11-02
..., Georgetown University, McDonough School of Business, dated August 23, 2012 (``Angel Letter''); and Leonard J... any applicable insurance policy. See Nasdaq Rule 4626(b)(2). The Facebook initial public offering does... (``IPO'') of Facebook, Inc. (``Facebook'') on May 18, 2012 (collectively ``Facebook IPO'').\\11...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-12-12
... facility for executing and routing standardized equity and index options, to amend Routing Fees. While... other persons using any facility or system which NASDAQ operates or controls, and is not designed to...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-01-17
... Exchange's Web site at http://www.nasdaq.cchwallstreet.com , at the principal office of the Exchange, and... significant percentage of the orders of institutional investors are executed in dark pools. See Securities... high frequency trading and un- displayed, or ``dark,'' liquidity. See also Mary L. Schapiro...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-11
... of the Series 55 exam (for which the prerequisite is the Series 7 examination). 2. Statutory Basis... Number SR-NASDAQ-2011-107 on the subject line. Paper Comments Send paper comments in triplicate to...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-03-22
... other things, that if NASDAQ Regulation staff has reason to believe that a disqualification exists... person waives the following (in summary): (a) The right to a hearing and any right of appeal to challenge... 13622
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-03-02
... Proposed Rule Change Regarding the NASDAQ Order Imbalance Snapshot February 24, 2011. Pursuant to Section... Order Imbalance Snapshot, a data feed of electronic messages for newswire providers to monitor the... by disseminating the [[Page 11549
-
Arbitrage and Volatility in Chinese Stock's Markets
NASA Astrophysics Data System (ADS)
Lu, Shu Quan; Ito, Takao; Zhang, Jianbo
From the point of view of no-arbitrage pricing, what matters is how much volatility the stock has, for volatility measures the amount of profit that can be made from shorting stocks and purchasing options. With the short-sales constraints or in the absence of options, however, high volatility is likely to mean arbitrage from stock market. As emerging stock markets for China, investors are increasingly concerned about volatilities of Chinese two stock markets. We estimate volatility's models for Chinese stock markets' indexes using Markov chain Monte Carlo (MCMC) method and GARCH. We find that estimated values of volatility parameters are very high for all data frequencies. It suggests that stock returns are extremely volatile even at long term intervals in Chinese markets. Furthermore, this result could be considered that there seems to be arbitrage opportunities in Chinese stock markets.
-
Association between Stock Market Gains and Losses and Google Searches
Arditi, Eli; Yechiam, Eldad; Zahavi, Gal
2015-01-01
Experimental studies in the area of Psychology and Behavioral Economics have suggested that people change their search pattern in response to positive and negative events. Using Internet search data provided by Google, we investigated the relationship between stock-specific events and related Google searches. We studied daily data from 13 stocks from the Dow-Jones and NASDAQ100 indices, over a period of 4 trading years. Focusing on periods in which stocks were extensively searched (Intensive Search Periods), we found a correlation between the magnitude of stock returns at the beginning of the period and the volume, peak, and duration of search generated during the period. This relation between magnitudes of stock returns and subsequent searches was considerably magnified in periods following negative stock returns. Yet, we did not find that intensive search periods following losses were associated with more Google searches than periods following gains. Thus, rather than increasing search, losses improved the fit between people’s search behavior and the extent of real-world events triggering the search. The findings demonstrate the robustness of the attentional effect of losses. PMID:26513371
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-12-07
... Exchange's Web site at http://www.nasdaq.cchwallstreet.com , at the principal office of the Exchange, and... percentage of the orders of institutional investors are executed in dark pools. See Securities Exchange Act... frequency trading and un- displayed, or ``dark,'' liquidity. See also Mary L. Schapiro, Strengthening Our...
-
Viscoelasticity and pattern formations in stock market indices
NASA Astrophysics Data System (ADS)
Gündüz, Güngör; Gündüz, Aydın
2017-06-01
The viscoelastic and thermodynamic properties of four stock indices, namely, DJI, Nasdaq-100, Nasdaq-Composite, and S&P were analyzed for a period of 30 years from 1986 to 2015. The asset values (or index) can be placed into Aristotelian `potentiality-actuality' framework by using scattering diagram. Thus, the index values can be transformed into vectorial forms in a scattering diagram, and each vector can be split into its horizontal and vertical components. According to viscoelastic theory, the horizontal component represents the conservative, and the vertical component represents the dissipative behavior. The related storage and the loss modulus of these components are determined and then work-like and heat-like terms are calculated. It is found that the change of storage and loss modulus with Wiener noise (W) exhibit interesting patterns. The loss modulus shows a featherlike pattern, whereas the storage modulus shows figurative man-like pattern. These patterns are formed due to branchings in the system and imply that stock indices do have a kind of `fine-order' which can be detected when the change of modulus values are plotted with respect to Wiener noise. In theoretical calculations it is shown that the tips of the featherlike patterns stay at negative W values, but get closer to W = 0 as the drift in the system increases. The shift of the tip point from W = 0 indicates that the price change involves higher number of positive Wiener number corrections than the negative Wiener. The work-like and heat-like terms also exhibit patterns but with different appearance than modulus patterns. The decisional changes of people are reflected as the arrows in the scattering diagram and the propagation path of these vectors resemble the path of crack propagation. The distribution of the angle between two subsequent vectors shows a peak at 90°, indicating that the path mostly obeys the crack path occurring in hard objects. Entropy mimics the Wiener noise in the evolution
-
Do Earthquakes Shake Stock Markets?
Ferreira, Susana; Karali, Berna
2015-01-01
This paper examines how major earthquakes affected the returns and volatility of aggregate stock market indices in thirty-five financial markets over the last twenty years. Results show that global financial markets are resilient to shocks caused by earthquakes even if these are domestic. Our analysis reveals that, in a few instances, some macroeconomic variables and earthquake characteristics (gross domestic product per capita, trade openness, bilateral trade flows, earthquake magnitude, a tsunami indicator, distance to the epicenter, and number of fatalities) mediate the impact of earthquakes on stock market returns, resulting in a zero net effect. However, the influence of these variables is market-specific, indicating no systematic pattern across global capital markets. Results also demonstrate that stock market volatility is unaffected by earthquakes, except for Japan.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-01-17
... customers using the CoLo Console \\3\\ during the months of January and February of 2013, provided that such... cabinets continues to exceed the Baseline Number. \\3\\ The ``CoLo Console'' is NASDAQ's web-based ordering...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-02-15
..., thereby maintaining the $0.0002 markup that exists in the current fee schedule. \\4\\ SR-PHLX-2011-11... recent pricing changes by that venue, and allows NASDAQ to maintain the current markup of $0.0002 per...
-
ERIC Educational Resources Information Center
Distel, Brenda D.
This project is designed to teach students the process of buying stocks and to tracking their investments over the course of a semester. The goals of the course are to teach students about the relationships between conditions in the economy and the stock market; to predict the effect of an economic event on a specific stock or industry; to relate…
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-01-31
... for the wireless connectivity via the CoLo Console \\6\\ and would be subject to a one-year minimum lock...\\ The ``CoLo Console'' is a web-based ordering tool NASDAQ offers to enable members to place colocation...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-07-05
... users using the Co-Lo Console \\4\\ on or after July 1, 2013 through August 31, 2013. The reduced fee... reduction in co-location cabinet fees). \\4\\ The ``Co-Lo Console'' is NASDAQ's web-based ordering tool, and...
-
Do Earthquakes Shake Stock Markets?
2015-01-01
This paper examines how major earthquakes affected the returns and volatility of aggregate stock market indices in thirty-five financial markets over the last twenty years. Results show that global financial markets are resilient to shocks caused by earthquakes even if these are domestic. Our analysis reveals that, in a few instances, some macroeconomic variables and earthquake characteristics (gross domestic product per capita, trade openness, bilateral trade flows, earthquake magnitude, a tsunami indicator, distance to the epicenter, and number of fatalities) mediate the impact of earthquakes on stock market returns, resulting in a zero net effect. However, the influence of these variables is market-specific, indicating no systematic pattern across global capital markets. Results also demonstrate that stock market volatility is unaffected by earthquakes, except for Japan. PMID:26197482
-
Cosmetic surgery volume and its correlation with the major US stock market indices.
Gordon, Chad R; Pryor, Landon; Afifi, Ahmed M; Benedetto, Paul X; Langevin, C J; Papay, Francis; Yetman, Randall; Zins, James E
2010-01-01
As a consumer-driven industry, cosmetic plastic surgery is subject to ebbs and flows as the economy changes. There have been many predictions about the short, intermediate, and long-term impact on cosmetic plastic surgery as a result of difficulties in the current economic climate, but no studies published in the literature have quantified a direct correlation. The authors investigate a possible correlation between cosmetic surgery volume and the economic trends of the three major US stock market indices. A volume analysis for the time period from January 1992 to October 2008 was performed (n = 7360 patients, n = 8205 procedures). Four cosmetic procedures-forehead lift (FL), rhytidectomy (Rh), breast augmentation (BA), and liposuction (Li)-were chosen; breast reduction (BRd), breast reconstruction (BRc), and carpal tunnel release (CTR) were selected for comparison. Case volumes for each procedure and fiscal quarter were compared to the trends of the S&P 500, Dow Jones (DOW), and NASDAQ (NASD) indices. Pearson correlation statistics were used to evaluate a relationship between the market index trends and surgical volume. P values <.05 were considered statistically significant. Three of the four cosmetic surgery procedures investigated (Rh, n = 1540; Li, n = 1291; BA, n = 1959) demonstrated a direct (ie, positive) statistical correlation to all three major market indices. FL (n =312) only correlated to the NASD (P = .021) and did not reach significance with the S&P 500 (P = .077) or DOW (P = .14). BRd and BRc demonstrated a direct correlation to two of the three stock market indices, whereas CTR showed an inverse (ie, negative) correlation to two of the three indices. This study, to our knowledge, is the first to suggest a direct correlation of four cosmetic and two reconstructive plastic surgery procedures to the three major US stock market indices and further emphasizes the importance of a broad-based plastic surgery practice in times of economic recession.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-10-03
... cabinets ordered by users using the Co-Lo Console \\4\\ on or after October 1, 2013 through December 31, 2013... No. 68624 (Jan. 1, 2013), 78 FR 3945 (Jan. 17, 2013). \\4\\ The ``Co-Lo Console'' is NASDAQ's Web-based...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-11-15
... new Nasdaq product offerings, pending the resolution to this matter. Thus, offering a Managed Data... trading systems (``ATSs''), including dark pools and electronic communication networks (``ECNs''). Each.... A proliferation of dark pools and other ATSs operate profitably with fragmentary shares of...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-04-14
..., the Commission is not publishing it for comment.\\4\\ This order approves the proposed rule change, as... NASDAQ OMX Corporate Governance Guidelines, however, provide a different standard for uncontested... contained in the Corporate Governance Guidelines; contested elections would remain subject to the plurality...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-04-11
... by significant amounts in a very short time period before suddenly reversing to prices consistent... circuit breaker pilot program, which was implemented through a series of rule filings by the equity exchanges and by FINRA.\\6\\ The single-stock circuit breaker was designed to reduce extraordinary market...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-05-17
... types to make benchmarking easier and more efficient. For the members that already have such... benchmarking capability to firms that currently lack it or lack an exchange-based alternative. NASDAQ further...
-
Increasing market efficiency in the stock markets
NASA Astrophysics Data System (ADS)
Yang, Jae-Suk; Kwak, Wooseop; Kaizoji, Taisei; Kim, In-Mook
2008-01-01
We study the temporal evolutions of three stock markets; Standard and Poor's 500 index, Nikkei 225 Stock Average, and the Korea Composite Stock Price Index. We observe that the probability density function of the log-return has a fat tail but the tail index has been increasing continuously in recent years. We have also found that the variance of the autocorrelation function, the scaling exponent of the standard deviation, and the statistical complexity decrease, but that the entropy density increases as time goes over time. We introduce a modified microscopic spin model and simulate the model to confirm such increasing and decreasing tendencies in statistical quantities. These findings indicate that these three stock markets are becoming more efficient.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-06-27
... Proposed Rule Change To Eliminate an Erroneous Reference to the Retired Automatic Quotation Refresh...'s Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to eliminate...,'' which references the AQR functionality that was retired. Accordingly, NASDAQ is proposing to eliminate...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-07-05
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-67295; File No. SR-NASDAQ-2012-061] Self... Securities and Exchange Commission (``Commission''), pursuant to Section 19(b)(1) of the Securities Exchange... the Exchange's options trading facility. \\4\\ See Securities Exchange Act Release No. 67027 (May 18...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-07-29
... Amendments No. 1 and 2 Thereto, To Amend Certain Corporate Governance Disclosure Requirements for Listed... rules relating to corporate governance standards for listed companies. The proposed rule change, as... when it relies on certain exceptions to Nasdaq rules concerning the composition and independence of...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-07-08
... Yahoo! began offering its Web site viewers real-time last sale data provided by BATS Trading. NASDAQ's last sale data products compete directly with the BATS product disseminated via Yahoo! In addition, as...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-12-07
... Exchange on the matter at issue. Retail Liquidity Identifier Under proposed Nasdaq Rule 4780(e), the... (January 14, 2010), 75 FR 3594 (January 21, 2010) (noting that dark pools and internalizing broker- dealers...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-01-21
... NASDAQ Stock Market LLC To Amend the $1 Strike Program To Allow the Listing of $1 LEAPS January 13, 2010...,\\2\\ notice is hereby given that on January 11, 2010, The NASDAQ Stock Market LLC (``Nasdaq'') filed... positions that are better tailored to meet their investment objectives, vis-[agrave]-vis credit risk, using...
-
The Index cohesive effect on stock market correlations
NASA Astrophysics Data System (ADS)
Shapira, Y.; Kenett, D. Y.; Ben-Jacob, E.
2009-12-01
We present empirical examination and reassessment of the functional role of the market Index, using datasets of stock returns for eight years, by analyzing and comparing the results for two very different markets: 1) the New York Stock Exchange (NYSE), representing a large, mature market, and 2) the Tel Aviv Stock Exchange (TASE), representing a small, young market. Our method includes special collective (holographic) analysis of stock-Index correlations, of nested stock correlations (including the Index as an additional ghost stock) and of bare stock correlations (after subtraction of the Index return from the stocks returns). Our findings verify and strongly substantiate the assumed functional role of the index in the financial system as a cohesive force between stocks, i.e., the correlations between stocks are largely due to the strong correlation between each stock and the Index (the adhesive effect), rather than inter-stock dependencies. The Index adhesive and cohesive effects on the market correlations in the two markets are presented and compared in a reduced 3-D principal component space of the correlation matrices (holographic presentation). The results provide new insights into the interplay between an index and its constituent stocks in TASE-like versus NYSE-like markets.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-05-26
... Corporate Governance Requirements May 19, 2010. Pursuant to Section 19(b)(1) of the Securities Exchange Act... companies to provide notification to Nasdaq of any noncompliance with the corporate governance requirements... Regulatory Authority. A Company may be denied continued listing if it fails to provide such information...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-04-14
... the Nominating & Governance Committee; (ii) amend the NASDAQ OMX PHLX, Inc. reference to reflect a... Nominating Committee also conducts certain governance functions such as consulting with the Board and the... ``Nominating Committee'' in the By-Laws, to the ``Nominating & Governance Committee'' so that the title of the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-12-02
... available on the Exchange's Web site at http://www.nasdaq.cchwallstreet.com , at the principal office of the... trading systems (``ATSs''), including dark pools and electronic communication networks (``ECNs''). Each...ECN, BATS Trading and Direct Edge. A proliferation of dark pools and other ATSs operate profitably...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-01-17
... thresholds through a single MPID to avoid providing excessive encouragement to members to aggregate the... a particular venue to be excessive, or rebate opportunities available at other venues to be more... standards applicable to exchanges. These competitive forces help to ensure that NASDAQ's fees are reasonable...
-
76 FR 18966 - Listing Standards for Compensation Committees
Federal Register 2010, 2011, 2012, 2013, 2014
2011-04-06
... Exchange, EDGA Exchange, EDGX Exchange, International Securities Exchange, The NASDAQ Stock Market... Stock Market (``Nasdaq'') does not mandate that a listed issuer have a compensation committee, but... mechanism of a free and open market and a national market system, and, in general, to protect investors and...
-
The volatility of stock market prices.
Shiller, R J
1987-01-02
If the volatility of stock market prices is to be understood in terms of the efficient markets hypothesis, then there should be evidence that true investment value changes through time sufficiently to justify the price changes. Three indicators of change in true investment value of the aggregate stock market in the United States from 1871 to 1986 are considered: changes in dividends, in real interest rates, and in a direct measure of intertemporal marginal rates of substitution. Although there are some ambiguities in interpreting the evidence, dividend changes appear to contribute very little toward justifying the observed historical volatility of stock prices. The other indicators contribute some, but still most of the volatility of stock market prices appears unexplained.
-
Analysing News for Stock Market Prediction
NASA Astrophysics Data System (ADS)
Ramalingam, V. V.; Pandian, A.; Dwivedi, shivam; Bhatt, Jigar P.
2018-04-01
Stock market means the aggregation of all sellers and buyers of stocks representing their ownership claims on the business. To be completely absolute about the investment on these stocks, proper knowledge about them as well as their pricing, for both present and future is very essential. Large amount of data is collected and parsed to obtain this essential information regarding the fluctuations in the stock market. This data can be any news or public opinions in general. Recently, many methods have been used, especially big unstructured data methods to predict the stock market values. We introduce another method of focusing on deriving the best statistical learning model for predicting the future values. The data set used is very large unstructured data collected from an online social platform, commonly known as Quindl. The data from this platform is then linked to a csv fie and cleaned to obtain the essential information for stock market prediction. The method consists of carrying out the NLP (Natural Language Processing) of the data and then making it easier for the system to understand, finds and identifies the correlation in between this data and the stock market fluctuations. The model is implemented using Python Programming Language throughout the entire project to obtain flexibility and convenience of the system.
-
The Stock Market Game: A Simulation of Stock Market Trading. Grades 5-8.
ERIC Educational Resources Information Center
Draze, Dianne
This guide to a unit on a simulation game about the stock market contains an instructional text and two separate simulations. Through directed lessons and reproducible worksheets, the unit teaches students about business ownership, stock exchanges, benchmarks, commissions, why prices change, the logistics of buying and selling stocks, and how to…
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-07-01
... centers.\\4\\ \\4\\ The vendors supporting wireless transmission of CME data will install equipment on... wireless connectivity and obtain the lower latency transmission of data from third parties and NASDAQ that... Proposed Rule Change 1. Purpose Wireless technology has been in existence for many years, used primarily by...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-03-25
... believes that, because SPX, SPXPM, and SPY options are ultimately derivative of the same benchmark--the S&P..., investors utilize SPX, SPXPM, and SPY options and their respective underlying instruments and futures to... of the Proposed Rule Change NASDAQ proposes to eliminate position limits for options on the SPDR...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-03-18
... internal distributors count and report each server and display device that processes TotalView-ITCH data as a professional TotalView and OpenView user. Some firms report upwards of 500 devices, while other.... Nasdaq has offered similar enterprise licenses for professional and non-professional usage of TotalView...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-10-22
... Proposed Rule Change To Delay Implementation of the Dedicated OUCH Port Infrastructure Service October 16... Port Infrastructure service under Rule 7015(g). NASDAQ will begin offering the service in mid-first... adopt a new Dedicated OUCH Port Infrastructure connectivity option and related fee.\\3\\ At the time of...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-11-19
... the Commission on the effects of the programs on bid-ask spreads, depth of liquidity at the inside..., NASDAQ will provide an enhanced liquidity provider rebate with respect to displayed liquidity-providing... liquidity provided to which a particular rate applies. A member will receive an NBBO Setter Incentive credit...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-04-13
... price movements between 9:30 a.m. and 4 p.m. Eastern Standard Time (``EST''). Volatility Guard is... March 11, 2011, the Commission approved Rule 4753(c) (the ``Volatility Guard''), a volatility-based... six month pilot applied to the NASDAQ 100 Index securities.\\3\\ The Volatility Guard automatically...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-03-14
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-64060; File No. SR-NASDAQ-2011-035] Self... 240.19b-4. I. Self-Regulatory Organization's Statement of the Terms of the Substance of the Proposed... Room. II. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-01-12
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-63648; File No. SR-NASDAQ-2011-003] Self... 240.19b-4. I. Self-Regulatory Organization's Statement of the Terms of the Substance of the Proposed... Reference Room. II. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-12-09
...'s Web site at http://nasdaq.cchwallstreet.com/Filings , at the principal office of the Exchange, and... offer an alternative to trading venues that are entirely dark. For members qualifying for this tier, the... otherwise be traded in ``dark pool'' alternative trading systems that have been exempted from compliance...
-
Asymmetric conditional volatility in international stock markets
NASA Astrophysics Data System (ADS)
Ferreira, Nuno B.; Menezes, Rui; Mendes, Diana A.
2007-08-01
Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock Market Indices, namely the SP 500, FTSE 100, DAX 30, CAC 40, ASE 20, and IBEX 35. In order to assess asymmetric volatility we use autoregressive conditional heteroskedasticity specifications known as TARCH and EGARCH. We also test for asymmetry after controlling for the effect of macroeconomic factors on stock market returns using TAR and M-TAR specifications within a VAR framework. Our results show that the conditional variance is an asymmetric function of past innovations raising proportionately more during market declines, a phenomenon known as the leverage effect. However, when we control for the effect of changes in macroeconomic variables, we find no significant evidence of asymmetric behaviour of the stock market returns. There are some signs that the Portuguese Stock Market tends to show somewhat less market efficiency than other markets since the effect of the shocks appear to take a longer time to dissipate.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-07-29
... qualification examination, the Series 56, was recently filed with the Commission; \\6\\ NASDAQ expects to file the... new examination, the Series 56. \\5\\ See Securities Exchange Act Release Nos. 63843 (February 4, 2011... respecting the Series 56, which has become effective. See Securities Exchange Act Release No. 64699 (June 17...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-09-10
... Proposed Rule Change To Amend Rule 1120 and To Adopt a Corresponding Fee September 4, 2013. Pursuant to... Proposed Rule Change NASDAQ is proposing to amend Rule 1120 as described below, and to adopt a... requirements that currently apply and to adopt a continuing education requirement for persons registered as...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-11-19
... in the test environment. The test environment is designed to closely mirror the live trading... Test Environment November 13, 2013. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934... fees under Rule 7030(d) for use of the NASDAQ Testing Facility (``NTF'') test environment located in...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-02-27
... offers various bandwidth options for connectivity to NASDAQ, including a 10Gb fiber connection, a 1Gb copper connection, and a 100 MB connection.\\3\\ In keeping with changes in technology, the Exchange now proposes to provide an enhanced bandwidth option to enable its clients a more efficient connection to the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-08-09
... Corporate Action Related to a Dividend, Payment or Distribution August 5, 2013. Pursuant to Section 19(b)(1... orders in the event of an issuer corporate action related to a dividend, payment or distribution. NASDAQ... securities that are the subject of issuer corporate actions related to a dividend, payment or distribution...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-09-20
... Proposed Rule Change to Adopt Fees and Fee Waivers for Certain Exchange Traded Products September 16, 2013... exchange traded products and to expand existing fee waivers to include these securities. The text of the... traded products.\\3\\ However, at the time, NASDAQ did not specify fees applicable to certain of these...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-01-23
..., LLC, to cover the cost of the hearing,] as follows: (A) when the Company has requested a written... Change In its filing with the Commission, the Exchange included statements concerning the purpose of and... 18837 (April 11, 2001) (approving SR-NASD-2001-17). NASDAQ is increasing the fees because the costs...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-01-15
... Pilot Options which either adds or removes liquidity.\\7\\ \\4\\ For a detailed description of the ISP, see... immediate effectiveness); and 63628 (January 3, 2011), 76 FR 1201 (January 7, 2011) (NASDAQ- 2010-154.... Common ownership is defined as 75 percent common ownership or control. \\7\\ See the Exchange's Rules at...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-05-30
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-69631; File No. SR-NASDAQ-2013-078] Self.... 78s(b)(1). \\2\\ 17 CFR 240.19b-4. I. Self-Regulatory Organization's Statement of the Terms of Substance... change. * * * * * II. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-10-29
... similar rules to effect this industry-wide initiative.\\7\\ \\6\\ See Securities Exchange Act Release No. 34... business day. With respect to index options, restrictions on exercise may be in effect until the opening of... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-70747; File No. SR-NASDAQ-2013-133] Self...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-05-17
... disseminated as required (Rule 4120(a)(9)); a halt in a Derivative Securities Product (as defined in Rule 4120... trading halt in a Derivative Security Product traded pursuant to unlisted trading privileges for which a... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-69563; File No. SR-NASDAQ-2013-073] Self...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-06-13
... the Program are Retail Orders as defined in Rule 4780(a)(2). NASDAQ states that the current ``any... Program, it did so with the understanding that the Program would service ``only'' retail order flow. To... flow represented by these brokers the opportunity to receive the benefits of the Program. Additionally...
-
Market Confidence Predicts Stock Price: Beyond Supply and Demand
Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi; Zhang, Yuqing
2016-01-01
Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize market confidence, i.e., the ratio of the number of traders who is active in two successive trading days to the number of active traders in a certain trading day. Strong Granger causality is found between the index of market confidence and stock price. We further predict stock price by incorporating the index of market confidence into a neural network based on time series of stock price. Experimental results on 50 stocks in two Chinese Stock Exchanges demonstrate that the accuracy of stock price prediction is significantly improved by the inclusion of the market confidence index. This study sheds light on using cross-day trading behavior to characterize market confidence and to predict stock price. PMID:27391816
-
Market Confidence Predicts Stock Price: Beyond Supply and Demand.
Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi; Zhang, Yuqing
2016-01-01
Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize market confidence, i.e., the ratio of the number of traders who is active in two successive trading days to the number of active traders in a certain trading day. Strong Granger causality is found between the index of market confidence and stock price. We further predict stock price by incorporating the index of market confidence into a neural network based on time series of stock price. Experimental results on 50 stocks in two Chinese Stock Exchanges demonstrate that the accuracy of stock price prediction is significantly improved by the inclusion of the market confidence index. This study sheds light on using cross-day trading behavior to characterize market confidence and to predict stock price.
-
Online Stock Market Games for High Schools.
ERIC Educational Resources Information Center
Lopus, Jane; Placone, Dennis
2002-01-01
Identifies a Web site providing information about stock market simulations for high school economics courses. Divides the information into two tables: (1) the structure of online stock market games; and (2) the determination of portfolio values of online stock market games. States that changes and updates are available at Web sites. (JEH)
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-12-07
... Public Announcement When a Listed Issuer Fails To Make a Public Announcement December 3, 2012. I... give the Exchange the authority to issue a public announcement when a listed issuer fails to do so. The... Nasdaq Staff Determination should the issuer fail to do so within the time allotted or if the...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-08
... terminal is a basic front- end user interface used by NASDAQ members to connect to, and enter orders in... is necessary for users to enter orders through VTE. The two fees assessed under Rule 7015(h) relate... $100 monthly, and raised the minimum commission fee for users executing orders totaling less than 100...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-06-25
... be held until the beginning of the Display-Only Period. NASDAQ believes that the quality of its... order interaction at the open by allowing more orders to interact at the commencement of trading. \\4... commencement of trading of IPO securities, resulting in a higher level of order interaction at the open. Thus...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-06-19
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-69758; File No. SR-NASDAQ-2013-081] Self... change from interested persons. \\1\\ 15 U.S.C. 78s(b)(1). \\2\\ 17 CFR 240.19b-4. I. Self-Regulatory...'s Public Reference Room. II. Self-Regulatory Organization's Statement of the Purpose of, and...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-02-17
... to other venues on the SOLV System routing table, or (ii) check the NASDAQ book first and then route to destinations on the SOLV System routing table.\\3\\ Under the second option, the applicable routing.... \\3\\ As provided in Rule 4758(a)(1)(A), the term ``System routing table'' refers to the proprietary...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-07-20
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-64885; File No. SR-NASDAQ-2011-093] Self.... 78s(b)(1). \\2\\ 17 CFR 240.19b-4. I. Self-Regulatory Organization's Statement of the Terms of Substance... Commission's Public Reference Room, and at the Commission's Web site at http://www.sec.gov . II. Self...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-02-12
... that are not posting Protected Quotations within the meaning of Regulation NMS (i.e. ``dark venues'' or ``dark pools''). If shares remain un-executed after routing, they are posted on the book. Once on the... participants that seek to execute on Nasdaq or on dark pools without executing on another exchange. Members may...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-10-18
... Proposed Rule Change To Amend NASDAQ's Schedule of Execution Fees for Order Routing Under Rule 7018 October... proposed rule change as described in Items I, II, and III below, which Items have been prepared by the Exchange. The Commission is publishing this notice to solicit comments on the proposed rule change from...
-
Recurrence quantification analysis of global stock markets
NASA Astrophysics Data System (ADS)
Bastos, João A.; Caiado, Jorge
2011-04-01
This study investigates the presence of deterministic dependencies in international stock markets using recurrence plots and recurrence quantification analysis (RQA). The results are based on a large set of free float-adjusted market capitalization stock indices, covering a period of 15 years. The statistical tests suggest that the dynamics of stock prices in emerging markets is characterized by higher values of RQA measures when compared to their developed counterparts. The behavior of stock markets during critical financial events, such as the burst of the technology bubble, the Asian currency crisis, and the recent subprime mortgage crisis, is analyzed by performing RQA in sliding windows. It is shown that during these events stock markets exhibit a distinctive behavior that is characterized by temporary decreases in the fraction of recurrence points contained in diagonal and vertical structures.
-
Spillovers among regional and international stock markets
NASA Astrophysics Data System (ADS)
Huen, Tan Bee; Arsad, Zainudin; Chun, Ooi Po
2014-07-01
Realizing the greater risk by the increase in the level of financial market integration, this study investigates the dynamic of international and regional stock markets co-movement among Asian countries with the world leading market, the US. The data utilized in this study comprises of weekly closing prices for four stock indices, that consists of two developing markets (Malaysia and China) and two developed markets (Japan and the US), and encompasses the period from January 1996 to December 2012. Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) model with the BEKK parameterization is employed to investigate the mean and volatility spillover effects among the selected stock indices. The results show significant mean spillover not only from the larger developed markets to smaller developing markets but also from the smaller developing markets to larger developed markets. Volatility spillover between the developed markets is found to be smaller than that between the developing markets. Conditional correlations among the stock markets are found to increase over the sample period. The findings of significant mean and volatility spillovers are considered as bad news for international investors as it reduces the benefit from portfolio diversification but act as useful information for investors to be more aware in diversifying their investment or stock selection.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-03-27
... adopted QView on December 1, 2011 at no cost to subscribers.\\3\\ QView is a Web-based, front-end... executions provided in the QView dashboard interface. The dashboard also allows a QView subscriber to track...\\ \\5\\ TradeInfo is a web-based tool that, among other things, allows users access to all of the NASDAQ...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-04-30
... to TradeInfo Under Rule 7015(f) April 24, 2013. Pursuant to Section 19(b)(1) of the Securities... add-on service to TradeInfo under Rule 7015(f). The text of the proposed rule change is below... the Options Rules. (a)-(e) No change. (f) TradeInfo Members not subscribing to the Nasdaq Workstation...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-02-07
... manner that could harm other participants. \\4\\ 15 U.S.C. 78f. \\5\\ 15 U.S.C. 78f(b)(5). B. Self-Regulatory... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-68799; File No. SR-NASDAQ-2013-015] Self.... I. Self-Regulatory Organization's Statement of the Terms of the Substance of the Proposed Rule...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-05-14
... Proposed Rule Change To Modify the NASDAQ Co-Location Super High Density Cabinet Monthly Fee May 8, 2012...- density cabinet monthly fee. The Exchange will implement the proposed change on May 1, 2012. The text of... The Exchange is modifying Rule 7034(a) by reducing its co-location super high-density cabinet on-going...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-08-10
... that it is appropriate to charge a markup with respect to directed orders to reflect the costs of offering routing services and the value of such services. Notably, in all instances NASDAQ charges a markup... that it does not currently charge a markup with respect to non-directed orders that are routed to PSX...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-03-28
... that is in test mode in excess of one. (c)-(f) No change. (g) Other Port Fees Remote Multi-cast ITCH... environment to test upcoming NASDAQ releases and product enhancements, as well as test software prior to... public in accordance with the provisions of 5 U.S.C. 552, will be available for Web site viewing and...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-11-21
... Issuers Rather Than Only Foreign Private Issuers November 15, 2012. Pursuant to Section 19(b)(1) of the... primarily by the Exchange. Nasdaq filed the proposed rule change pursuant to Section 19(b)(3)(A) of the Act... Program \\5\\ (``DRS'') operated by a clearing agency registered under Section 17A of the Act.\\6\\ When this...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-04-02
...'') and NASDAQ OMX BX, Inc. (``BX Options'') and a $0.11 per contract \\4\\ fixed Routing Fee to all other... fee assessed by the Exchange.\\7\\ \\3\\ In a previous rule filing, the Exchange discussed the manner in... Act Release No. 68025 (October 10, 2012), 77 FR 63398 (October 16, 2012) (SR-OCC-2012-18). \\7\\ For...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-11-15
... further that if the result is zero, the Baseline Participation Ratio shall be deemed to be 0.485% (when... that if the result is zero for either month, the Baseline Participation Ratio shall be deemed to be 0... Added Liquidity amount shall be deemed zero.'' Under the revised program, NASDAQ will pay a credit of $0...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-05-01
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-69450; File No. SR-NASDAQ-2013-031] Self... Member Organization To Attest That ``Substantially All'' Orders Submitted to the Retail Price Improvement... ``substantially all,'' rather than all, orders submitted to the Retail Price Improvement Program qualify as...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-06-17
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-62285; File No. SR-NASDAQ-2008-014] Self... Amendments No. 1 and 2 Thereto To Amend Certain Corporate Governance Disclosure Requirements for Listed... No. 2 replaced and superseded Amendment No. 1 in its entirety. I. Self-Regulatory Organization's...
-
Scaling analysis of stock markets
NASA Astrophysics Data System (ADS)
Bu, Luping; Shang, Pengjian
2014-06-01
In this paper, we apply the detrended fluctuation analysis (DFA), local scaling detrended fluctuation analysis (LSDFA), and detrended cross-correlation analysis (DCCA) to investigate correlations of several stock markets. DFA method is for the detection of long-range correlations used in time series. LSDFA method is to show more local properties by using local scale exponents. DCCA method is a developed method to quantify the cross-correlation of two non-stationary time series. We report the results of auto-correlation and cross-correlation behaviors in three western countries and three Chinese stock markets in periods 2004-2006 (before the global financial crisis), 2007-2009 (during the global financial crisis), and 2010-2012 (after the global financial crisis) by using DFA, LSDFA, and DCCA method. The findings are that correlations of stocks are influenced by the economic systems of different countries and the financial crisis. The results indicate that there are stronger auto-correlations in Chinese stocks than western stocks in any period and stronger auto-correlations after the global financial crisis for every stock except Shen Cheng; The LSDFA shows more comprehensive and detailed features than traditional DFA method and the integration of China and the world in economy after the global financial crisis; When it turns to cross-correlations, it shows different properties for six stock markets, while for three Chinese stocks, it reaches the weakest cross-correlations during the global financial crisis.
-
The synchronicity between the stock and the stock index via information in market
NASA Astrophysics Data System (ADS)
Gao, Hai-Ling; Li, Jiang-Cheng; Guo, Wei; Mei, Dong-Cheng
2018-02-01
The synchronicity between the stock and the stock-index in a market system is investigated. The results show that: (i) the synchronicity between the stock and the stock-index increases with the rising degree of market information capitalized into stock prices in certain range; (ii) the synchronicity decreases for large firm-specific information; (iii) the stock return synchronicity is small compared to the big noise trading, however the variance noise facilitates the synchronization within the tailored realms. These findings may be helpful in understanding the effect of market information on synchronicity, especially for the response of firm-specific information and noise trading to synchronicity.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-09-16
... Stock Exchange, Inc. (``CHX''), EDGA Exchange, Inc. (``EDGA''), EDGX Exchange, Inc. (``EDGX''), International Securities Exchange LLC (``ISE''), The NASDAQ Stock Market LLC (``Nasdaq''), National Stock Exchange, Inc. (``NSX''), New York Stock Exchange LLC (``NYSE''), NYSE Amex LLC (``NYSE Amex''), NYSE Arca...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-01-25
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-68694; File No. SR-NASDAQ-2012-129] Self... Commission Action on Proposed Rule Change To Establish the Retail Price Improvement Program on a Pilot Basis...,\\2\\ a proposed rule change to establish a Retail Price Improvement Program to attract additional...
-
Hybrid Clustering-GWO-NARX neural network technique in predicting stock price
NASA Astrophysics Data System (ADS)
Das, Debashish; Safa Sadiq, Ali; Mirjalili, Seyedali; Noraziah, A.
2017-09-01
Prediction of stock price is one of the most challenging tasks due to nonlinear nature of the stock data. Though numerous attempts have been made to predict the stock price by applying various techniques, yet the predicted price is not always accurate and even the error rate is high to some extent. Consequently, this paper endeavours to determine an efficient stock prediction strategy by implementing a combinatorial method of Grey Wolf Optimizer (GWO), Clustering and Non Linear Autoregressive Exogenous (NARX) Technique. The study uses stock data from prominent stock market i.e. New York Stock Exchange (NYSE), NASDAQ and emerging stock market i.e. Malaysian Stock Market (Bursa Malaysia), Dhaka Stock Exchange (DSE). It applies K-means clustering algorithm to determine the most promising cluster, then MGWO is used to determine the classification rate and finally the stock price is predicted by applying NARX neural network algorithm. The prediction performance gained through experimentation is compared and assessed to guide the investors in making investment decision. The result through this technique is indeed promising as it has shown almost precise prediction and improved error rate. We have applied the hybrid Clustering-GWO-NARX neural network technique in predicting stock price. We intend to work with the effect of various factors in stock price movement and selection of parameters. We will further investigate the influence of company news either positive or negative in stock price movement. We would be also interested to predict the Stock indices.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-03-03
... Regulation SHO under the Act. \\27\\ 15 U.S.C. 78f(b)(5). \\28\\ 15 U.S.C. 78k-1(a)(1). B. Self-Regulatory... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-63968; File No. SR-NASDAQ-2011-030] Self... Proposed Rule Change To Adopt New Rule 4763 To Implement the Amendments to Regulation SHO February 25, 2011...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-04-04
...) of that Rule. This tie-breaker resolves price disputes based on minimizing order imbalances. In other... Opening Cross, the system will choose that price which minimizes the order imbalance remaining if the... opening cross. NASDAQ initially adopted the imbalance-based tie-breaker based upon its successful use in...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-03-11
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-69039; File No. SR-NASDAQ-2013-031] Self...'' Orders Submitted to the Retail Price Improvement Program Will Qualify as ``Retail Orders'' March 5, 2013... described in Items I, II, and III below, which Items have been prepared by the self-regulatory organization...
-
On the Feed-back Mechanism of Chinese Stock Markets
NASA Astrophysics Data System (ADS)
Lu, Shu Quan; Ito, Takao; Zhang, Jianbo
Feed-back models in the stock markets research imply an adjustment process toward investors' expectation for current information and past experiences. Error-correction and cointegration are often used to evaluate the long-run relation. The Efficient Capital Market Hypothesis, which had ignored the effect of the accumulation of information, cannot explain some anomalies such as bubbles and partial predictability in the stock markets. In order to investigate the feed-back mechanism and to determine an effective model, we use daily data of the stock index of two Chinese stock markets with the expectational model, which is one kind of geometric lag models. Tests and estimations of error-correction show that long-run equilibrium seems to be seldom achieved in Chinese stock markets. Our result clearly shows the common coefficient of expectations and fourth-order autoregressive disturbance exist in the two Chinese stock markets. Furthermore, we find the same coefficient of expectations has an autoregressive effect on disturbances in the two Chinese stock markets. Therefore the presence of such feed-back is also supported in Chinese stock markets.
-
Heterogeneous information-based artificial stock market
NASA Astrophysics Data System (ADS)
Pastore, S.; Ponta, L.; Cincotti, S.
2010-05-01
In this paper, an information-based artificial stock market is considered. The market is populated by heterogeneous agents that are seen as nodes of a sparsely connected graph. Agents trade a risky asset in exchange for cash. Besides the amount of cash and assets owned, each agent is characterized by a sentiment. Moreover, agents share their sentiments by means of interactions that are identified by the graph. Interactions are unidirectional and are supplied with heterogeneous weights. The agent's trading decision is based on sentiment and, consequently, the stock price process depends on the propagation of information among the interacting agents, on budget constraints and on market feedback. A central market maker (clearing house mechanism) determines the price process at the intersection of the demand and supply curves. Both closed- and open-market conditions are considered. The results point out the validity of the proposed model of information exchange among agents and are helpful for understanding the role of information in real markets. Under closed market conditions, the interaction among agents' sentiments yields a price process that reproduces the main stylized facts of real markets, e.g. the fat tails of the returns distributions and the clustering of volatility. Within open-market conditions, i.e. with an external cash inflow that results in asset price inflation, also the unitary root stylized fact is reproduced by the artificial stock market. Finally, the effects of model parameters on the properties of the artificial stock market are also addressed.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-10-19
... securities laws. It is suggested that the Company consult with corporate/securities counsel in assessing its... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-68053; File No. SR-NASDAQ-2012-118] Self... Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act''),\\1\\ and Rule 19b-4 thereunder,\\2\\ notice...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-07-05
... purpose of and basis for the proposed rule change and discussed any comments it received on the proposed... Executive Committee and the Nominating and Governance Committee, as well as the full Board of Directors. \\3... Director'' means a Director who has no material business relationship with a broker or dealer, NASDAQ OMX...
-
Multifractal structures for the Russian stock market
NASA Astrophysics Data System (ADS)
Ikeda, Taro
2018-02-01
In this paper, we apply the multifractal detrended fluctuation analysis (MFDFA) to the Russian stock price returns. To the best of our knowledge, this paper is the first to reveal the multifractal structures for the Russian stock market by financial crises. The contributions of the paper are twofold. (i) Finding the multifractal structures for the Russian stock market. The generalized Hurst exponents estimated become highly-nonlinear to the order of the fluctuation functions. (ii) Computing the multifractality degree according to Zunino et al. (2008). We find that the multifractality degree of the Russian stock market can be categorized within emerging markets, however, the Russian 1998 crisis and the global financial crisis dampen the degree when we consider the order of the polynomial trends in the MFDFA.
-
26 CFR 1.1296-2 - Definition of marketable stock.
Code of Federal Regulations, 2010 CFR
2010-04-01
... 26 Internal Revenue 11 2010-04-01 2010-04-01 true Definition of marketable stock. 1.1296-2 Section... Definition of marketable stock. (a) General rule. For purposes of section 1296, the term marketable stock means— (1) Passive foreign investment company (PFIC) stock that is regularly traded, as defined in...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-11-23
... shall be posted on the NasdaqTrader.com Web site. Exchange Customer Firm MM Professional BATS $0.36 $0.55 $0.55 $0.[36]48 BOX 0.06 0.55 0.55 0.06 CBOE 0.06 0.55 0.55 0.26 CBOE orders greater than 99... Entry DROP Port Fee $500.00 OTTO DROP Port Fee $500.00 SQF Port Fee $0.00 [* As of October 3, 2011, the...
-
Quantum Brownian motion model for the stock market
NASA Astrophysics Data System (ADS)
Meng, Xiangyi; Zhang, Jian-Wei; Guo, Hong
2016-06-01
It is believed by the majority today that the efficient market hypothesis is imperfect because of market irrationality. Using the physical concepts and mathematical structures of quantum mechanics, we construct an econophysical framework for the stock market, based on which we analogously map massive numbers of single stocks into a reservoir consisting of many quantum harmonic oscillators and their stock index into a typical quantum open system-a quantum Brownian particle. In particular, the irrationality of stock transactions is quantitatively considered as the Planck constant within Heisenberg's uncertainty relationship of quantum mechanics in an analogous manner. We analyze real stock data of Shanghai Stock Exchange of China and investigate fat-tail phenomena and non-Markovian behaviors of the stock index with the assistance of the quantum Brownian motion model, thereby interpreting and studying the limitations of the classical Brownian motion model for the efficient market hypothesis from a new perspective of quantum open system dynamics.
-
NASA Astrophysics Data System (ADS)
Li, Xing; Qiu, Tian; Chen, Guang; Zhong, Li-Xin; Wu, Xiao-Run
2017-04-01
Partial correlation analysis is employed to study the market impact on the Chinese stock market from both the native and external markets. Whereas the native market index is observed to have a great impact on the market correlations for both the Shanghai and Shenzhen stock markets, some external stock indices of the United States, European and Asian stock markets show a slight influence on the Chinese market. The individual stock can be affected by different economic sectors, but the dominant influence is from the sector the stock itself belongs to or closely related to, and the finance and insurance sector shows a weaker correlation with other economic sectors. Moreover, the market structure similarity exhibits a negative correlation with the price return in most time, and the structure similarity decays with the time interval.
-
Corruption and stock market development: A quantitative approach
NASA Astrophysics Data System (ADS)
Bolgorian, Meysam
2011-11-01
Studying the relation between corruption and economic factors and examining its consequences for economic development have attracted many economists and physicists in recent years. The purpose of this paper is to focus on the role of stock market development on corruption. Analyzing a data set of corruption and stock market development measures such as market capitalization and total value of share trading for 46 countries around the world for the period 2007-2009, we examine the dependence of the Corruption Perception Index (CPI) on stock market development. Our findings suggest that there exists a power-law dependence between corruption and stock market development. We also observe a negative relation between level of corruption and financial system improvement.
-
Scaling and predictability in stock markets: a comparative study.
Zhang, Huishu; Wei, Jianrong; Huang, Jiping
2014-01-01
Most people who invest in stock markets want to be rich, thus, many technical methods have been created to beat the market. If one knows the predictability of the price series in different markets, it would be easier for him/her to make the technical analysis, at least to some extent. Here we use one of the most basic sold-and-bought trading strategies to establish the profit landscape, and then calculate the parameters to characterize the strength of predictability. According to the analysis of scaling of the profit landscape, we find that the Chinese individual stocks are harder to predict than US ones, and the individual stocks are harder to predict than indexes in both Chinese stock market and US stock market. Since the Chinese (US) stock market is a representative of emerging (developed) markets, our comparative study on the markets of these two countries is of potential value not only for conducting technical analysis, but also for understanding physical mechanisms of different kinds of markets in terms of scaling.
-
Scaling and Predictability in Stock Markets: A Comparative Study
Zhang, Huishu; Wei, Jianrong; Huang, Jiping
2014-01-01
Most people who invest in stock markets want to be rich, thus, many technical methods have been created to beat the market. If one knows the predictability of the price series in different markets, it would be easier for him/her to make the technical analysis, at least to some extent. Here we use one of the most basic sold-and-bought trading strategies to establish the profit landscape, and then calculate the parameters to characterize the strength of predictability. According to the analysis of scaling of the profit landscape, we find that the Chinese individual stocks are harder to predict than US ones, and the individual stocks are harder to predict than indexes in both Chinese stock market and US stock market. Since the Chinese (US) stock market is a representative of emerging (developed) markets, our comparative study on the markets of these two countries is of potential value not only for conducting technical analysis, but also for understanding physical mechanisms of different kinds of markets in terms of scaling. PMID:24632944
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-03-20
... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-69142; File No. SR-NASDAQ-2013-048] Self... rule change as described in Items I, II and III below, which Items have been prepared by the self... change from interested persons. \\1\\ 15 U.S.C. 78s(b)(1). \\2\\ 17 CFR 240.19b-4. I. Self-Regulatory...
-
STOCK Market Differences in Correlation-Based Weighted Network
NASA Astrophysics Data System (ADS)
Youn, Janghyuk; Lee, Junghoon; Chang, Woojin
We examined the sector dynamics of Korean stock market in relation to the market volatility. The daily price data of 360 stocks for 5019 trading days (from January, 1990 to August, 2008) in Korean stock market are used. We performed the weighted network analysis and employed four measures: the average, the variance, the intensity, and the coherence of network weights (absolute values of stock return correlations) to investigate the network structure of Korean stock market. We performed regression analysis using the four measures in the seven major industry sectors and the market (seven sectors combined). We found that the average, the intensity, and the coherence of sector (subnetwork) weights increase as market becomes volatile. Except for the "Financials" sector, the variance of sector weights also grows as market volatility increases. Based on the four measures, we can categorize "Financials," "Information Technology" and "Industrials" sectors into one group, and "Materials" and "Consumer Discretionary" sectors into another group. We investigated the distributions of intrasector and intersector weights for each sector and found the differences in "Financials" sector are most distinct.
-
NASA Astrophysics Data System (ADS)
Sornette, Didier; Zhou, Wei-Xing
2004-02-01
Previous analyses of a large ensemble of stock markets have demonstrated that a log-periodic power law (LPPL) behavior of the prices constitutes a qualifying signature of speculative bubbles that often land with a crash. We detect such a LPPL signature in the foreign capital inflow during the bubble on the US markets culminating in March 2000. We detect a weak synchronization and lag with the NASDAQ LPPL pattern. We propose to rationalize these observations by the existence of positive feedback loops between market-appreciation/increased-spending/increased-deficit-of-balance-of-payment/larger-foreign-surplus/increased-foreign-capital-inflows and so on. Our analysis suggests that foreign capital inflow has been following rather than causing the bubble. We then combine a macroeconomic analysis of feedback processes occurring between the economy and the stock market with a technical analysis of more than 200 years of the DJIA to investigate possible scenarios for the future, three years after the end of the bubble and deep into a bearish regime. We conclude that the low interest rates and depreciating dollar are the indispensable ingredients for a lower sustainable burden of the global US debt structure and for allowing the slow rebuilding of an internationally competitive economy. This will probably be accompanied by a weak stock market on the medium term as the growing Federal deficit is consuming a large part of the foreign surplus dollars and the stock market is remaining a very risky and unattractive investment. Notwithstanding strong surge of liquidity in recent months orchestrated by the Federal Reserve, this macroeconomic analysis which incorporates an element of collective behavior is in line with our recent analyses of the bearish market that started in 2000 in terms of a LPPL “anti-bubble”. We project this LPPL anti-bubble to continue at least for another year. On the short term, increased availability of liquidity (M1) and self-fulfilling bullish
-
A causality between fund performance and stock market
NASA Astrophysics Data System (ADS)
Kim, Ho-Yong; Kwon, Okyu; Oh, Gabjin
2016-02-01
We investigate whether the characteristic fund performance indicators (FPI), such as the fund return, the Net asset value (NAV) and the cash flow, are correlated with the asset price movement using information flows estimated by the Granger causality test. First, we find that the information flow of FPI is most sensitive to extreme events of the Korean stock market, which include negative events such as the sub-prime crisis and the impact of QE (quantitative easing) by the US subprime and Europe financial crisis as well as the positive events of the golden period of Korean Composite Stock Price Index (KOSPI), except for the fund cash flow. Second, both the fund return and the NAV exhibit significant correlations with the KOSPI, whereas the cash flow is not correlated with the stock market. This result suggests that the information resulting from the ability of the fund manager should influence stock market. Finally, during market crisis period, information flows between FPI and the Korean stock market are significantly positively correlated with the market volatility.
-
Stock or stroke? Stock market movement and stroke incidence in Taiwan.
Chen, Chun-Chih; Chen, Chin-Shyan; Liu, Tsai-Ching; Lin, Ying-Tzu
2012-12-01
This paper investigates the impact of stock market movement on incidences of stroke utilizing population-based aggregate data in Taiwan. Using the daily data from the Taiwan Stock Exchange Capitalization Weighted Stock Index and from the National Health Insurance Research Database during 2001/1/1-2007/12/31, which consist of 2556 observations, we examine the effects of stock market on stroke incidence - the level effect and the daily change effects. In general, we find that both a low stock index level and a daily fall in the stock index are associated with greater incidences of stroke. We further partition the data on sex and age. The level effect is found to be significant for either gender, in the 45-64 and 65 ≥ age groups. In addition, two daily change effects are found to be significant for males and the elderly. Although stockholdings can increase wealth, they can also increase stroke incidence, thereby representing a cost to health. Copyright © 2012 Elsevier Ltd. All rights reserved.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-03-17
... rule change.\\10\\ The Commission is publishing this notice and order to solicit comments on Amendment No... securities. Under this proposal, Nasdaq would suspend trading in a security if a trade in that security is... Volatility Guard is similar in purpose to the Liquidity Replenishment Points (``LRPs'') rules that currently...
-
NASA Astrophysics Data System (ADS)
Guo, Kun; Sun, Yi; Qian, Xin
2017-03-01
With the development of the social network, the interaction between investors in stock market became more fast and convenient. Thus, investor sentiment which can influence their investment decisions may be quickly spread and magnified through the network, and to a certain extent the stock market can be affected. This paper collected the user comments data from a popular professional social networking site of China stock market called Xueqiu, then the investor sentiment data can be obtained through semantic analysis. The dynamic analysis on relationship between investor sentiment and stock market is proposed based on Thermal Optimal Path (TOP) method. The results show that the sentiment data was not always leading over stock market price, and it can be used to predict the stock price only when the stock has high investor attention.
-
Immediate causality network of stock markets
NASA Astrophysics Data System (ADS)
Zhou, Li; Qiu, Lu; Gu, Changgui; Yang, Huijie
2018-02-01
Extensive works show that a network of stocks within a single stock market stores rich information on evolutionary behaviors of the system, such as collapses and/or crises. But a financial event covers usually several markets or even the global financial system. This mismatch of scale leads to lack of concise information to coordinate the event. In this work by using the transfer entropy we reconstruct the influential network between ten typical stock markets distributed in the world. Interesting findings include, before a financial crisis the connection strength reaches a maximum, which can act as an early warning signal of financial crises. The markets in America are monodirectionally and strongly influenced by that in Europe and act as the center. Some strongly linked pairs have also close correlations. The findings are helpful in understanding the evolution and modelling the dynamical process of the global financial system. This method can be extended straightly to find early warning signals for physiological and ecological systems, etc.
-
Zhang, Jian; Wang, Haocheng; Wang, Limin; Liu, Shuyi
2014-01-01
Overtrading is a common anomaly among stock investors. This study examines the relationship between overtrading and investment returns and the impact of the Big Five traits and gender on overtrading in a unilateral trend stock market using a simulated stock investment system. The data were derived from a sample of undergraduates from six universities who performed in a simulated stock investment situation and had their personality traits measured by the Big Five Personality Questionnaire. The results indicate that: (1) Overtrading was significant in rising stock markets, but not significant in falling markets. (2) The degree of female investors who overtraded was significant in rising markets. (3) The degree of overtrading investors who were high in extroversion or agreeableness was significant in rising markets. The implications of these results for more effective investment strategies are discussed.
-
Cointegration analysis and influence rank—A network approach to global stock markets
NASA Astrophysics Data System (ADS)
Yang, Chunxia; Chen, Yanhua; Niu, Lei; Li, Qian
2014-04-01
In this paper, cointegration relationships among 26 global stock market indices over the periods of sub-prime and European debt crisis and their influence rank are investigated by constructing and analyzing directed and weighted cointegration networks. The obtained results are shown as follows: the crises have changed cointegration relationships among stock market indices, their cointegration relationship increased after the Lehman Brothers collapse, while the degree of cointegration gradually decreased from the sub-prime to European debt crisis. The influence of US, Japan and China market indices are entirely distinguished over different periods. Before European debt crisis US stock market is a ‘global factor’ which leads the developed and emerging markets, while the influence of US stock market decreased evidently during the European debt crisis. Before sub-prime crisis, there is no significant evidence to show that other stock markets co-move with China stock market, while it becomes more integrated with other markets during the sub-prime and European debt crisis. Among developed and emerging stock markets, the developed stock markets lead the world stock markets before European debt crisis, while due to the shock of sub-prime and European debt crisis, their influences decreased and emerging stock markets replaced them to lead global stock markets.
-
Collective behavior of stock price movements in an emerging market
NASA Astrophysics Data System (ADS)
Pan, Raj Kumar; Sinha, Sitabhra
2007-10-01
To investigate the universality of the structure of interactions in different markets, we analyze the cross-correlation matrix C of stock price fluctuations in the National Stock Exchange (NSE) of India. We find that this emerging market exhibits strong correlations in the movement of stock prices compared to developed markets, such as the New York Stock Exchange (NYSE). This is shown to be due to the dominant influence of a common market mode on the stock prices. By comparison, interactions between related stocks, e.g., those belonging to the same business sector, are much weaker. This lack of distinct sector identity in emerging markets is explicitly shown by reconstructing the network of mutually interacting stocks. Spectral analysis of C for NSE reveals that, the few largest eigenvalues deviate from the bulk of the spectrum predicted by random matrix theory, but they are far fewer in number compared to, e.g., NYSE. We show this to be due to the relative weakness of intrasector interactions between stocks, compared to the market mode, by modeling stock price dynamics with a two-factor model. Our results suggest that the emergence of an internal structure comprising multiple groups of strongly coupled components is a signature of market development.
-
Multiscale Detrended Cross-Correlation Analysis of STOCK Markets
NASA Astrophysics Data System (ADS)
Yin, Yi; Shang, Pengjian
2014-06-01
In this paper, we employ the detrended cross-correlation analysis (DCCA) to investigate the cross-correlations between different stock markets. We report the results of cross-correlated behaviors in US, Chinese and European stock markets in period 1997-2012 by using DCCA method. The DCCA shows the cross-correlated behaviors of intra-regional and inter-regional stock markets in the short and long term which display the similarities and differences of cross-correlated behaviors simply and roughly and the persistence of cross-correlated behaviors of fluctuations. Then, because of the limitation and inapplicability of DCCA method, we propose multiscale detrended cross-correlation analysis (MSDCCA) method to avoid "a priori" selecting the ranges of scales over which two coefficients of the classical DCCA method are identified, and employ MSDCCA to reanalyze these cross-correlations to exhibit some important details such as the existence and position of minimum, maximum and bimodal distribution which are lost if the scale structure is described by two coefficients only and essential differences and similarities in the scale structures of cross-correlation of intra-regional and inter-regional markets. More statistical characteristics of cross-correlation obtained by MSDCCA method help us to understand how two different stock markets influence each other and to analyze the influence from thus two inter-regional markets on the cross-correlation in detail, thus we get a richer and more detailed knowledge of the complex evolutions of dynamics of the cross-correlations between stock markets. The application of MSDCCA is important to promote our understanding of the internal mechanisms and structures of financial markets and helps to forecast the stock indices based on our current results demonstrated the cross-correlations between stock indices. We also discuss the MSDCCA methods of secant rolling window with different sizes and, lastly, provide some relevant implications and
-
Exploring Market State and Stock Interactions on the Minute Timescale
Tan, Lei; Chen, Jun-Jie; Zheng, Bo; Ouyang, Fang-Yan
2016-01-01
A stock market is a non-stationary complex system. The stock interactions are important for understanding the state of the market. However, our knowledge on the stock interactions on the minute timescale is limited. Here we apply the random matrix theory and methods in complex networks to study the stock interactions and sector interactions. Further, we construct a new kind of cross-correlation matrix to investigate the correlation between the stock interactions at different minutes within one trading day. Based on 50 million minute-to-minute price data in the Shanghai stock market, we discover that the market states in the morning and afternoon are significantly different. The differences mainly exist in three aspects, i.e. the co-movement of stock prices, interactions of sectors and correlation between the stock interactions at different minutes. In the afternoon, the component stocks of sectors are more robust and the structure of sectors is firmer. Therefore, the market state in the afternoon is more stable. Furthermore, we reveal that the information of the sector interactions can indicate the financial crisis in the market, and the indicator based on the empirical data in the afternoon is more effective. PMID:26900948
-
Exploring Market State and Stock Interactions on the Minute Timescale.
Tan, Lei; Chen, Jun-Jie; Zheng, Bo; Ouyang, Fang-Yan
2016-01-01
A stock market is a non-stationary complex system. The stock interactions are important for understanding the state of the market. However, our knowledge on the stock interactions on the minute timescale is limited. Here we apply the random matrix theory and methods in complex networks to study the stock interactions and sector interactions. Further, we construct a new kind of cross-correlation matrix to investigate the correlation between the stock interactions at different minutes within one trading day. Based on 50 million minute-to-minute price data in the Shanghai stock market, we discover that the market states in the morning and afternoon are significantly different. The differences mainly exist in three aspects, i.e. the co-movement of stock prices, interactions of sectors and correlation between the stock interactions at different minutes. In the afternoon, the component stocks of sectors are more robust and the structure of sectors is firmer. Therefore, the market state in the afternoon is more stable. Furthermore, we reveal that the information of the sector interactions can indicate the financial crisis in the market, and the indicator based on the empirical data in the afternoon is more effective.
-
Zhang, Jian; Wang, Haocheng; Wang, Limin; Liu, Shuyi
2014-01-01
Overtrading is a common anomaly among stock investors. This study examines the relationship between overtrading and investment returns and the impact of the Big Five traits and gender on overtrading in a unilateral trend stock market using a simulated stock investment system. The data were derived from a sample of undergraduates from six universities who performed in a simulated stock investment situation and had their personality traits measured by the Big Five Personality Questionnaire. The results indicate that: (1) Overtrading was significant in rising stock markets, but not significant in falling markets. (2) The degree of female investors who overtraded was significant in rising markets. (3) The degree of overtrading investors who were high in extroversion or agreeableness was significant in rising markets. The implications of these results for more effective investment strategies are discussed. PMID:24475235
-
Does Stock Market Performance Influence Retirement Intentions?
ERIC Educational Resources Information Center
Goda, Gopi Shah; Shoven, John B.; Slavov, Sita Nataraj
2012-01-01
Media reports predicted that the stock market decline in October 2008 would cause changes in retirement intentions, due to declines in retirement assets. We use panel data from the Health and Retirement Study to investigate the relationship between stock market performance and retirement intentions during 1998-2008, a period that includes the…
-
NASA Astrophysics Data System (ADS)
Ruan, Qingsong; Zhang, Shuhua; Lv, Dayong; Lu, Xinsheng
2018-02-01
Based on the implementation of Shanghai-Hong Kong Stock Connect in China, this paper examines the effects of financial liberalization on stock market comovement using both multifractal detrended fluctuation analysis (MF-DFA) and multifractal detrended cross-correlation analysis (MF-DCCA) methods. Results based on MF-DFA confirm the multifractality of Shanghai and Hong Kong stock markets, and the market efficiency of Shanghai stock market increased after the implementation of this connect program. Besides, analysis based on MF-DCCA has verified the existence of persistent cross-correlation between Shanghai and Hong Kong stock markets, and the cross-correlation gets stronger after the launch of this liberalization program. Finally, we find that fat-tail distribution is the main source of multifractality in the cross-correlations before the stock connect program, while long-range correlation contributes to the multifractality after this program.
-
17 CFR 240.15g-2 - Penny stock disclosure document relating to the penny stock market.
Code of Federal Regulations, 2013 CFR
2013-04-01
... 17 Commodity and Securities Exchanges 3 2013-04-01 2013-04-01 false Penny stock disclosure document relating to the penny stock market. 240.15g-2 Section 240.15g-2 Commodity and Securities Exchanges... Section 15(d) of the Act § 240.15g-2 Penny stock disclosure document relating to the penny stock market...
-
17 CFR 240.15g-2 - Penny stock disclosure document relating to the penny stock market.
Code of Federal Regulations, 2011 CFR
2011-04-01
... 17 Commodity and Securities Exchanges 3 2011-04-01 2011-04-01 false Penny stock disclosure document relating to the penny stock market. 240.15g-2 Section 240.15g-2 Commodity and Securities Exchanges... Section 15(d) of the Act § 240.15g-2 Penny stock disclosure document relating to the penny stock market...
-
17 CFR 240.15g-2 - Penny stock disclosure document relating to the penny stock market.
Code of Federal Regulations, 2014 CFR
2014-04-01
... 17 Commodity and Securities Exchanges 4 2014-04-01 2014-04-01 false Penny stock disclosure document relating to the penny stock market. 240.15g-2 Section 240.15g-2 Commodity and Securities Exchanges... Section 15(d) of the Act § 240.15g-2 Penny stock disclosure document relating to the penny stock market...
-
17 CFR 240.15g-2 - Penny stock disclosure document relating to the penny stock market.
Code of Federal Regulations, 2012 CFR
2012-04-01
... 17 Commodity and Securities Exchanges 3 2012-04-01 2012-04-01 false Penny stock disclosure document relating to the penny stock market. 240.15g-2 Section 240.15g-2 Commodity and Securities Exchanges... Section 15(d) of the Act § 240.15g-2 Penny stock disclosure document relating to the penny stock market...
-
Research on the fractal structure in the Chinese stock market
NASA Astrophysics Data System (ADS)
Zhuang, Xin-tian; Huang, Xiao-yuan; Sha, Yan-li
2004-02-01
Applying fractal theory, this paper probes and discusses self-similarity and scale invariance of the Chinese stock market. It analyses three kinds of scale indexes, i.e., autocorrelation index, Hurst index and the scale index on the basis of detrended fluctuation analysis (DFA) algorithm and promotes DFA into a recursive algorithm. Using the three kinds of scale indexes, we conduct empirical research on the Chinese Shanghai and Shenzhen stock markets. The results indicate that the rate of returns of the two stock markets does not obey the normal distribution. A correlation exists between the stock price indexes over time scales. The stock price indexes exhibit fractal time series. It indicates that the policy guide hidden at the back influences the characteristic of the Chinese stock market.
-
Geography and distance effect on financial dynamics in the Chinese stock market
NASA Astrophysics Data System (ADS)
Li, Xing; Qiu, Tian; Chen, Guang; Zhong, Li-Xin; Jiang, Xiong-Fei
2016-09-01
Geography effect is investigated for the Chinese stock market including the Shanghai and Shenzhen stock markets, based on the daily data of individual stocks. The stocks in the Shanghai city and the Guangdong province are found to greatly contribute to the Shanghai and Shenzhen markets in the geographical sector, respectively. By investigating a geographical correlation on a geographical parameter, the stock location is found to have an impact on the financial dynamics, except for the financial crisis time of the Shenzhen market. Stock distance effect is further studied, with the probability of the short distance observed to be much greater than that of the long distance. The distance is found to only affect the stock correlation of the Shanghai stock market, but has no effect on the Shenzhen stock market.
-
Evolutionary model of stock markets
NASA Astrophysics Data System (ADS)
Kaldasch, Joachim
2014-12-01
The paper presents an evolutionary economic model for the price evolution of stocks. Treating a stock market as a self-organized system governed by a fast purchase process and slow variations of demand and supply the model suggests that the short term price distribution has the form a logistic (Laplace) distribution. The long term return can be described by Laplace-Gaussian mixture distributions. The long term mean price evolution is governed by a Walrus equation, which can be transformed into a replicator equation. This allows quantifying the evolutionary price competition between stocks. The theory suggests that stock prices scaled by the price over all stocks can be used to investigate long-term trends in a Fisher-Pry plot. The price competition that follows from the model is illustrated by examining the empirical long-term price trends of two stocks.
-
ERIC Educational Resources Information Center
Okula, Susan
2003-01-01
This issue of Keying In, the newsletter of the National Business Education Association, focuses upon teaching young adults how to develop both investment strategies and an understanding of the stock market. The first article, "Sound Investing Know-How: A Must for Today's Young Adults," describes how young adults can plan for their own…
-
Quantifying Stock Return Distributions in Financial Markets.
Botta, Federico; Moat, Helen Susannah; Stanley, H Eugene; Preis, Tobias
2015-01-01
Being able to quantify the probability of large price changes in stock markets is of crucial importance in understanding financial crises that affect the lives of people worldwide. Large changes in stock market prices can arise abruptly, within a matter of minutes, or develop across much longer time scales. Here, we analyze a dataset comprising the stocks forming the Dow Jones Industrial Average at a second by second resolution in the period from January 2008 to July 2010 in order to quantify the distribution of changes in market prices at a range of time scales. We find that the tails of the distributions of logarithmic price changes, or returns, exhibit power law decays for time scales ranging from 300 seconds to 3600 seconds. For larger time scales, we find that the distributions tails exhibit exponential decay. Our findings may inform the development of models of market behavior across varying time scales.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-06-28
... Permit BX Options To Accept Inbound Options Orders From NASDAQ OMX PHLX LLC and NASDAQ Options Market... permanent approval of the Exchange's pilot program that permits the BX Options System to accept inbound orders routed by Nasdaq Options Services LLC (``NOS'') from the NASDAQ OMX PHLX LLC (``PHLX'') and The...
-
The impact of derivatives on Malaysian stock market
NASA Astrophysics Data System (ADS)
Malim, M. R.; Halim, F. A.; Murad, A.; Maad, H. A.; Annuar, N. F. M.
2017-09-01
The essential of derivatives has been discovered by researchers over recent decade. However, the conclusions made regarding the impact of derivatives on stock market volatility remains debatable. The main objective of this study is to examine the impact of derivatives on Malaysian stock market volatility by exploring FTSE Bursa Malaysia Kuala Lumpur Composite Index Futures (BMD FKLI) using FBM KLCI as the underlying asset. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (1, 1) model was employed to realize the objective. The results have shown that the introduction of futures trading has decreased the volatility of Malaysian stock market. The volatility increased vigorously during the Asian financial crisis compared to the Global financial crisis. However, the role of futures as a risk transfer is agreed as it could improve the market by decreasing the volatility in the spot market.
-
Networks of volatility spillovers among stock markets
NASA Astrophysics Data System (ADS)
Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; Výrost, Tomáš
2018-01-01
In our network analysis of 40 developed, emerging and frontier stock markets during the 2006-2014 period, we describe and model volatility spillovers during both the global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several exogenous characteristics. We document the presence of significant temporal proximity effects between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of interconnectedness, which is measured by high spatial autocorrelation. This finding is confirmed by spatial regression models showing that indirect effects are much stronger than direct effects; i.e., market-related changes in 'neighboring' markets (within a network) affect volatility spillovers more than changes in the given market alone, suggesting that spatial effects simply cannot be ignored when modeling stock market relationships. Our results also link spillovers of escalating magnitude with increasing market size, market liquidity and economic openness.
-
Quantifying Stock Return Distributions in Financial Markets
Botta, Federico; Moat, Helen Susannah; Stanley, H. Eugene; Preis, Tobias
2015-01-01
Being able to quantify the probability of large price changes in stock markets is of crucial importance in understanding financial crises that affect the lives of people worldwide. Large changes in stock market prices can arise abruptly, within a matter of minutes, or develop across much longer time scales. Here, we analyze a dataset comprising the stocks forming the Dow Jones Industrial Average at a second by second resolution in the period from January 2008 to July 2010 in order to quantify the distribution of changes in market prices at a range of time scales. We find that the tails of the distributions of logarithmic price changes, or returns, exhibit power law decays for time scales ranging from 300 seconds to 3600 seconds. For larger time scales, we find that the distributions tails exhibit exponential decay. Our findings may inform the development of models of market behavior across varying time scales. PMID:26327593
-
A multi-assets artificial stock market with zero-intelligence traders
NASA Astrophysics Data System (ADS)
Ponta, L.; Raberto, M.; Cincotti, S.
2011-01-01
In this paper, a multi-assets artificial financial market populated by zero-intelligence traders with finite financial resources is presented. The market is characterized by different types of stocks representing firms operating in different sectors of the economy. Zero-intelligence traders follow a random allocation strategy which is constrained by finite resources, past market volatility and allocation universe. Within this framework, stock price processes exhibit volatility clustering, fat-tailed distribution of returns and reversion to the mean. Moreover, the cross-correlations between returns of different stocks are studied using methods of random matrix theory. The probability distribution of eigenvalues of the cross-correlation matrix shows the presence of outliers, similar to those recently observed on real data for business sectors. It is worth noting that business sectors have been recovered in our framework without dividends as only consequence of random restrictions on the allocation universe of zero-intelligence traders. Furthermore, in the presence of dividend-paying stocks and in the case of cash inflow added to the market, the artificial stock market points out the same structural results obtained in the simulation without dividends. These results suggest a significative structural influence on statistical properties of multi-assets stock market.
-
Cross-Correlation Asymmetries and Causal Relationships between Stock and Market Risk
Borysov, Stanislav S.; Balatsky, Alexander V.
2014-01-01
We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over all stocks, using 71 stock prices from the Standard & Poor's 500 index for 1994–2013. We focus on the behavior of the cross-correlations at the times of financial crises with significant jumps of market volatility. The observed historical dynamics showed that the dependence between the risks was almost linear during the US stock market downturn of 2002 and after the US housing bubble in 2007, remaining at that level until 2013. Moreover, the averaged cross-correlation function often had an asymmetric shape with respect to zero lag in the periods of high correlation. We develop the analysis by the application of the linear response formalism to study underlying causal relations. The calculated response functions suggest the presence of characteristic regimes near financial crashes, when the volatility of an individual stock follows the market volatility and vice versa. PMID:25162697
-
Cross-correlation asymmetries and causal relationships between stock and market risk.
Borysov, Stanislav S; Balatsky, Alexander V
2014-01-01
We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over all stocks, using 71 stock prices from the Standard & Poor's 500 index for 1994-2013. We focus on the behavior of the cross-correlations at the times of financial crises with significant jumps of market volatility. The observed historical dynamics showed that the dependence between the risks was almost linear during the US stock market downturn of 2002 and after the US housing bubble in 2007, remaining at that level until 2013. Moreover, the averaged cross-correlation function often had an asymmetric shape with respect to zero lag in the periods of high correlation. We develop the analysis by the application of the linear response formalism to study underlying causal relations. The calculated response functions suggest the presence of characteristic regimes near financial crashes, when the volatility of an individual stock follows the market volatility and vice versa.
-
The Stock Market Game: Classroom Use and Strategy.
ERIC Educational Resources Information Center
Wood, William C.; And Others
1992-01-01
Discusses the Stock Market Game in which teams of students buy and sell stocks. Reviews information on the costs and benefits of the game and its uses. Examines game strategies through the economics of capital markets. Concludes that substantial costs in class time may be outweighed by benefits in some classroom situations. (DK)
-
Assessment of 48 Stock markets using adaptive multifractal approach
NASA Astrophysics Data System (ADS)
Ferreira, Paulo; Dionísio, Andreia; Movahed, S. M. S.
2017-11-01
In this paper, Stock market comovements are examined using cointegration, Granger causality tests and nonlinear approaches in context of mutual information and correlations. Since underlying data sets are affected by non-stationarities and trends, we also apply Adaptive Multifractal Detrended Fluctuation Analysis (AMF-DFA) and Adaptive Multifractal Detrended Cross-Correlation Analysis (AMF-DXA). We find only 170 pair of Stock markets cointegrated, and according to the Granger causality and mutual information, we realize that the strongest relations lies between emerging markets, and between emerging and frontier markets. According to scaling exponent given by AMF-DFA, h(q = 2) > 1, we find that all underlying data sets belong to non-stationary process. According to Efficient Market Hypothesis (EMH), only 8 markets are classified in uncorrelated processes at 2 σ confidence interval. 6 Stock markets belong to anti-correlated class and dominant part of markets has memory in corresponding daily index prices during January 1995 to February 2014. New-Zealand with H = 0 . 457 ± 0 . 004 and Jordan with H = 0 . 602 ± 0 . 006 are far from EMH. The nature of cross-correlation exponents based on AMF-DXA is almost multifractal for all pair of Stock markets. The empirical relation, Hxy ≤ [Hxx +Hyy ] / 2, is confirmed. Mentioned relation for q > 0 is also satisfied while for q < 0 there is a deviation from this relation confirming behavior of markets for small fluctuations is affected by contribution of major pair. For larger fluctuations, the cross-correlation contains information from both local (internal) and global (external) conditions. Width of singularity spectrum for auto-correlation and cross-correlation are Δαxx ∈ [ 0 . 304 , 0 . 905 ] and Δαxy ∈ [ 0 . 246 , 1 . 178 ] , respectively. The wide range of singularity spectrum for cross-correlation confirms that the bilateral relation between Stock markets is more complex. The value of σDCCA indicates that all
-
Time-varying long term memory in the European Union stock markets
NASA Astrophysics Data System (ADS)
Sensoy, Ahmet; Tabak, Benjamin M.
2015-10-01
This paper proposes a new efficiency index to model time-varying inefficiency in stock markets. We focus on European stock markets and show that they have different degrees of time-varying efficiency. We observe that the 2008 global financial crisis has an adverse effect on almost all EU stock markets. However, the Eurozone sovereign debt crisis has a significant adverse effect only on the markets in France, Spain and Greece. For the late members, joining EU does not have a uniform effect on stock market efficiency. Our results have important implications for policy makers, investors, risk managers and academics.
-
ERIC Educational Resources Information Center
Armstrong, Michelle Hine; Piercey, Victor I.; Greene-Hunley, Stephanie
2015-01-01
This article describes two different projects using the stock market as a context for learning. For both projects, students "bought" shares in individual companies, tracked stock prices for a period of time, and then "sold" their shares at a gain or loss. The projects are adaptable for students in late elementary school through…
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-08-08
... Organizations; NASDAQ OMX BX, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To..., NASDAQ OMX BX, Inc. (``BX'' or ``Exchange'') filed with the Securities and Exchange Commission... market comprised of eleven U.S. options exchanges in which sophisticated and knowledgeable market...
-
Analysis of the efficiency-integration nexus of Japanese stock market
NASA Astrophysics Data System (ADS)
Rizvi, Syed Aun R.; Arshad, Shaista
2017-03-01
This paper attempts a novel approach in analysing the Japanese economy through a dual-dimension analysis of its stock market, examining the efficiency and market integration. Taking a period of 24 years, this study employs MFDFA and MGARCH to understand how the efficiency and integration of the stock market faired during different business cycle phases of the Japanese economy. The results showed improving efficiency over the time period. For the case of market integration, our findings conform to recent literature on business cycles and stock market integration that every succeeding recession creates a break into integration levels resulting in a decrease.
-
Risk-Adjusted Returns and Stock Market Games.
ERIC Educational Resources Information Center
Kagan, Gary; And Others
1995-01-01
Maintains that stock market games are designed to provide students with a background for investing in securities, especially stocks. Reviews two games used with secondary students, analyzes statistical data from these experiences, and considers weaknesses in the games. (CFR)
-
Group identification in Indonesian stock market
NASA Astrophysics Data System (ADS)
Nurriyadi Suparno, Ervano; Jo, Sung Kyun; Lim, Kyuseong; Purqon, Acep; Kim, Soo Yong
2016-08-01
The characteristic of Indonesian stock market is interesting especially because it represents developing countries. We investigate the dynamics and structures by using Random Matrix Theory (RMT). Here, we analyze the cross-correlation of the fluctuations of the daily closing price of stocks from the Indonesian Stock Exchange (IDX) between January 1, 2007, and October 28, 2014. The eigenvalue distribution of the correlation matrix consists of noise which is filtered out using the random matrix as a control. The bulk of the eigenvalue distribution conforms to the random matrix, allowing the separation of random noise from original data which is the deviating eigenvalues. From the deviating eigenvalues and the corresponding eigenvectors, we identify the intrinsic normal modes of the system and interpret their meaning based on qualitative and quantitative approach. The results show that the largest eigenvector represents the market-wide effect which has a predominantly common influence toward all stocks. The other eigenvectors represent highly correlated groups within the system. Furthermore, identification of the largest components of the eigenvectors shows the sector or background of the correlated groups. Interestingly, the result shows that there are mainly two clusters within IDX, natural and non-natural resource companies. We then decompose the correlation matrix to investigate the contribution of the correlated groups to the total correlation, and we find that IDX is still driven mainly by the market-wide effect.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-17
... process during periods of extraordinary market volatility as a pilot in S&P 500[supreg] Index stocks... Exchange LLC, The NASDAQ Stock Market LLC, New York Stock Exchange LLC, NYSE Amex LLC, NYSE Arca, Inc... Exchanges and FINRA to include all remaining National Market System (``NMS'') stocks (``Phase III Securities...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-17
... during periods of extraordinary market volatility as a pilot in S&P 500[supreg] Index stocks (``Pause... Exchange LLC, The NASDAQ Stock Market LLC, New York Stock Exchange LLC, NYSE Amex LLC, NYSE Arca, Inc... Exchanges and FINRA to include all remaining National Market System (``NMS'') stocks (``Phase III Securities...
-
Green initiative impact on stock prices: A quantitative study of the clean energy industry
NASA Astrophysics Data System (ADS)
Jurisich, John M.
The purpose of this quantitative ex post facto research study was to explore the relationship between green initiative expense disclosures and stock prices of 46 NASDAQ listed Clean Edge Green Energy global companies from 2007 to 2010. The independent variables were sales and marketing, environmental, customer and supplier, community, and corporate governance practices that were correlated with the dependent variable in the study of stock prices. Expense disclosures were examined in an effort to measure the impact of green initiative programs and to expose the interrelationships between green initiative expense disclosures and fluctuations of stock prices. The data for the research was secondary data from existing annual reports. A statistically significant relationship was revealed between environmental practices and changes in stock prices. The study results also provided substantial evidence for leadership and managerial decision making to reduce or increase green initiative practices to maximize shareholder wealth of their respective organizations.
-
Coupling detrended fluctuation analysis of Asian stock markets
NASA Astrophysics Data System (ADS)
Wang, Qizhen; Zhu, Yingming; Yang, Liansheng; Mul, Remco A. H.
2017-04-01
This paper uses the coupling detrended fluctuation analysis (CDFA) method to investigate the multifractal characteristics of four Asian stock markets using three stock indices: stock price returns, trading volumes and the composite index. The results show that coupled correlations exist among the four stock markets and the coupled correlations have multifractal characteristics. We then use the chi square (χ2) test to identify the sources of multifractality. For the different stock indices, the contributions of a single series to multifractality are different. In other words, the contributions of each country to coupled correlations are different. The comparative analysis shows that the research on the combine effect of stock price returns and trading volumes may be more comprehensive than on an individual index. By comparing the strength of multifractality for original data with the residual errors of the vector autoregression (VAR) model, we find that the VAR model could not be used to describe the dynamics of the coupled correlations among four financial time series.
-
Price-volume multifractal analysis and its application in Chinese stock markets
NASA Astrophysics Data System (ADS)
Yuan, Ying; Zhuang, Xin-tian; Liu, Zhi-ying
2012-06-01
An empirical research on Chinese stock markets is conducted using statistical tools. First, the multifractality of stock price return series, ri(ri=ln(Pt+1)-ln(Pt)) and trading volume variation series, vi(vi=ln(Vt+1)-ln(Vt)) is confirmed using multifractal detrended fluctuation analysis. Furthermore, a multifractal detrended cross-correlation analysis between stock price return and trading volume variation in Chinese stock markets is also conducted. It is shown that the cross relationship between them is also found to be multifractal. Second, the cross-correlation between stock price Pi and trading volume Vi is empirically studied using cross-correlation function and detrended cross-correlation analysis. It is found that both Shanghai stock market and Shenzhen stock market show pronounced long-range cross-correlations between stock price and trading volume. Third, a composite index R based on price and trading volume is introduced. Compared with stock price return series ri and trading volume variation series vi, R variation series not only remain the characteristics of original series but also demonstrate the relative correlation between stock price and trading volume. Finally, we analyze the multifractal characteristics of R variation series before and after three financial events in China (namely, Price Limits, Reform of Non-tradable Shares and financial crisis in 2008) in the whole period of sample to study the changes of stock market fluctuation and financial risk. It is found that the empirical results verified the validity of R.
-
Quantifying the effect of investors' attention on stock market.
Yang, Zhen-Hua; Liu, Jian-Guo; Yu, Chang-Rui; Han, Jing-Ti
2017-01-01
The investors' attention has been extensively used to predict the stock market. Different from existing proxies of the investors' attention, such as the Google trends, Baidu index (BI), we argue the collective attention from the stock trading platforms could reflect the investors' attention more closely. By calculated the increments of the attention volume for each stock (IAVS) from the stock trading platforms, we investigate the effect of investors' attention measured by the IAVS on the movement of the stock market. The experimental results for Chinese Securities Index 100 (CSI100) show that the BI is significantly correlated with the returns of CSI100 at 1% significance level only in 2014. However, it should be emphasized that the correlation of the new proposed measure, namely IAVS, is significantly at 1% significance level in 2014 and 2015. It shows that the effect of the measure IAVS on the movement of the stock market is more stable and significant than BI. This study yields important invest implications and better understanding of collective investors' attention.
-
Quantifying the effect of investors’ attention on stock market
Yang, Zhen-Hua; Liu, Jian-Guo; Yu, Chang-Rui; Han, Jing-Ti
2017-01-01
The investors’ attention has been extensively used to predict the stock market. Different from existing proxies of the investors’ attention, such as the Google trends, Baidu index (BI), we argue the collective attention from the stock trading platforms could reflect the investors’ attention more closely. By calculated the increments of the attention volume for each stock (IAVS) from the stock trading platforms, we investigate the effect of investors’ attention measured by the IAVS on the movement of the stock market. The experimental results for Chinese Securities Index 100 (CSI100) show that the BI is significantly correlated with the returns of CSI100 at 1% significance level only in 2014. However, it should be emphasized that the correlation of the new proposed measure, namely IAVS, is significantly at 1% significance level in 2014 and 2015. It shows that the effect of the measure IAVS on the movement of the stock market is more stable and significant than BI. This study yields important invest implications and better understanding of collective investors’ attention. PMID:28542216
-
Empirical study of recent Chinese stock market
NASA Astrophysics Data System (ADS)
Jiang, J.; Li, W.; Cai, X.; Wang, Qiuping A.
2009-05-01
We investigate the statistical properties of the empirical data taken from the Chinese stock market during the time period from January, 2006 to July, 2007. By using the methods of detrended fluctuation analysis (DFA) and calculating correlation coefficients, we acquire the evidence of strong correlations among different stock types, stock index, stock volume turnover, A share (B share) seat number, and GDP per capita. In addition, we study the behavior of “volatility”, which is now defined as the difference between the new account numbers for two consecutive days. It is shown that the empirical power-law of the number of aftershock events exceeding the selected threshold is analogous to the Omori law originally observed in geophysics. Furthermore, we find that the cumulative distributions of stock return, trade volume and trade number are all exponential-like, which does not belong to the universality class of such distributions found by Xavier Gabaix et al. [Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou, H. Eugene Stanley, Nature, 423 (2003)] for major western markets. Through the comparison, we draw a conclusion that regardless of developed stock markets or emerging ones, “cubic law of returns” is valid only in the long-term absolute return, and in the short-term one, the distributions are exponential-like. Specifically, the distributions of both trade volume and trade number display distinct decaying behaviors in two separate regimes. Lastly, the scaling behavior of the relation is analyzed between dispersion and the mean monthly trade value for each administrative area in China.
-
Network formation in a multi-asset artificial stock market
NASA Astrophysics Data System (ADS)
Wu, Songtao; He, Jianmin; Li, Shouwei; Wang, Chao
2018-04-01
A multi-asset artificial stock market is developed. In the market, stocks are assigned to a number of sectors and traded by heterogeneous investors. The mechanism of continuous double auction is employed to clear order book and form daily closed prices. Simulation results of prices at the sector level show an intra-sector similarity and inter-sector distinctiveness, and returns of individual stocks have stylized facts that are ubiquitous in the real-world stock market. We find that the market risk factor has critical impact on both network topology transition and connection formation, and that sector risk factors account for the formation of intra-sector links and sector-based local interaction. In addition, the number of community in threshold-based networks is correlated negatively and positively with the value of correlation coefficients and the ratio of intra-sector links, which are respectively determined by intensity of sector risk factors and the number of sectors.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-17
... of extraordinary market volatility as a pilot in S&P 500 Index stocks (``Pause Pilot''), approved by...., International Securities Exchange LLC, The NASDAQ Stock Market LLC, New York Stock Exchange LLC, NYSE Amex LLC... Stock Exchange (``CBSX'', the CBOE's stock trading facility). In particular, the Exchange is seeking to...
-
Market impact and trading profile of hidden orders in stock markets.
Moro, Esteban; Vicente, Javier; Moyano, Luis G; Gerig, Austin; Farmer, J Doyne; Vaglica, Gabriella; Lillo, Fabrizio; Mantegna, Rosario N
2009-12-01
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are statistically reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grows in time according to a power law; after the order is finished, it reverts to a level of about 0.5-0.7 of its value at its peak. We observe that hidden orders are executed at a rate that more or less matches trading in the overall market, except for small deviations at the beginning and end of the order.
-
Market impact and trading profile of hidden orders in stock markets
NASA Astrophysics Data System (ADS)
Moro, Esteban; Vicente, Javier; Moyano, Luis G.; Gerig, Austin; Farmer, J. Doyne; Vaglica, Gabriella; Lillo, Fabrizio; Mantegna, Rosario N.
2009-12-01
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are statistically reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grows in time according to a power law; after the order is finished, it reverts to a level of about 0.5-0.7 of its value at its peak. We observe that hidden orders are executed at a rate that more or less matches trading in the overall market, except for small deviations at the beginning and end of the order.
-
Has microblogging changed stock market behavior? Evidence from China
NASA Astrophysics Data System (ADS)
Jin, Xi; Shen, Dehua; Zhang, Wei
2016-06-01
This paper examines the stock market behavior for a long-lived subset of firms in Shanghai and Shenzhen CSI 300 Index (CSI 300 Index) both before and after the establishment of firms' Microblogging in Sina Weibo. The empirical results show a significant increase in the relative trading volume as well as the decreases in the daily expected stock return and firm-level volatility in the post-Sina Weibo period. These findings suggest that Sina Weibo as an alternative information interaction channel has changed the information environment for individual stock, enhanced the speed of information diffusion and therefore changed the overall stock market behavior.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-05-06
... NASDAQ Stock Market LLC (``NASDAQ Exchange'') sought Commission approval to adopt these By-Laws changes... following applies to elections of directors and were not amended. Each share of common stock has one vote,\\6... election of directors at which a quorum is present is duly elected to the Board. Under Corporate Governance...
-
Is the stock market efficient?
Malkiel, B G
1989-03-10
A stock market is said to be efficient if it accurately reflects all relevant information in determining security prices. Critics have asserted that share prices are far too volatile to be explained by changes in objective economic events-the October 1987 crash being a case in point. Although the evidence is not unambiguous, reports of the death of the efficient market hypothesis appear premature.
-
Portfolio optimization for index tracking modelling in Malaysia stock market
NASA Astrophysics Data System (ADS)
Siew, Lam Weng; Jaaman, Saiful Hafizah; Ismail, Hamizun
2016-06-01
Index tracking is an investment strategy in portfolio management which aims to construct an optimal portfolio to generate similar mean return with the stock market index mean return without purchasing all of the stocks that make up the index. The objective of this paper is to construct an optimal portfolio using the optimization model which adopts regression approach in tracking the benchmark stock market index return. In this study, the data consists of weekly price of stocks in Malaysia market index which is FTSE Bursa Malaysia Kuala Lumpur Composite Index from January 2010 until December 2013. The results of this study show that the optimal portfolio is able to track FBMKLCI Index at minimum tracking error of 1.0027% with 0.0290% excess mean return over the mean return of FBMKLCI Index. The significance of this study is to construct the optimal portfolio using optimization model which adopts regression approach in tracking the stock market index without purchasing all index components.
-
ERIC Educational Resources Information Center
National Council on Economic Education, New York, NY.
This book is designed to help teachers connect "The Stock Market Game" (tm) and the school curriculum. Three key economic themes developed in the lessons include: (1) stock buyers engage in economizing behavior; (2) market economies encourage the production of wealth; and (3) market activity takes place in the context of a legal…
-
Relationships among Energy Price Shocks, Stock Market, and the Macroeconomy: Evidence from China
Cong, Rong-Gang; Shen, Shaochuan
2013-01-01
This paper investigates the interactive relationships among China energy price shocks, stock market, and the macroeconomy using multivariate vector autoregression. The results indicate that there is a long cointegration among them. A 1% rise in the energy price index can depress the stock market index by 0.54% and the industrial value-adding growth by 0.037%. Energy price shocks also cause inflation and have a 5-month lag effect on stock market, which may result in the stock market “underreacting.” The energy price can explain stock market fluctuations better than the interest rate over a longer time period. Consequently, investors should pay greater attention to the long-term effect of energy on the stock market. PMID:23690737
-
Lead-lag relationships between stock and market risk within linear response theory
NASA Astrophysics Data System (ADS)
Borysov, Stanislav; Balatsky, Alexander
2015-03-01
We study historical correlations and lead-lag relationships between individual stock risks (standard deviation of daily stock returns) and market risk (standard deviation of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over stocks, using historical stock prices from the Standard & Poor's 500 index for 1994-2013. The observed historical dynamics suggests that the dependence between the risks was almost linear during the US stock market downturn of 2002 and after the US housing bubble in 2007, remaining at that level until 2013. Moreover, the averaged cross-correlation function often had an asymmetric shape with respect to zero lag in the periods of high correlation. We develop the analysis by the application of the linear response formalism to study underlying causal relations. The calculated response functions suggest the presence of characteristic regimes near financial crashes, when individual stock risks affect market risk and vice versa. This work was supported by VR 621-2012-2983.
-
Multiscale Shannon entropy and its application in the stock market
NASA Astrophysics Data System (ADS)
Gu, Rongbao
2017-10-01
In this paper, we perform a multiscale entropy analysis on the Dow Jones Industrial Average Index using the Shannon entropy. The stock index shows the characteristic of multi-scale entropy that caused by noise in the market. The entropy is demonstrated to have significant predictive ability for the stock index in both long-term and short-term, and empirical results verify that noise does exist in the market and can affect stock price. It has important implications on market participants such as noise traders.
-
Hierarchical structure of stock price fluctuations in financial markets
NASA Astrophysics Data System (ADS)
Gao, Ya-Chun; Cai, Shi-Min; Wang, Bing-Hong
2012-12-01
The financial market and turbulence have been broadly compared on account of the same quantitative methods and several common stylized facts they share. In this paper, the She-Leveque (SL) hierarchy, proposed to explain the anomalous scaling exponents deviating from Kolmogorov monofractal scaling of the velocity fluctuation in fluid turbulence, is applied to study and quantify the hierarchical structure of stock price fluctuations in financial markets. We therefore observed certain interesting results: (i) the hierarchical structure related to multifractal scaling generally presents in all the stock price fluctuations we investigated. (ii) The quantitatively statistical parameters that describe SL hierarchy are different between developed financial markets and emerging ones, distinctively. (iii) For the high-frequency stock price fluctuation, the hierarchical structure varies with different time periods. All these results provide a novel analogy in turbulence and financial market dynamics and an insight to deeply understand multifractality in financial markets.
-
What the 2008 stock market crash means for retirement security.
Butrica, Barbara A; Smith, Karen E; Toder, Eric J
2010-10-01
The 2008 stock market crash raises concerns about retirement security, especially since the increased prevalence of 401(k) and similar retirement saving plans means that more Americans are now stakeholders in the equity market than in the past. Using a dynamic microsimulation model, this paper explores the ability of alternate future stock market scenarios to restore retirement assets. The authors find that those near retirement could fare the worst because they have no time to recoup their losses. Mid-career workers could fare better because they have more time to rebuild their wealth. They may even gain income if they buy stocks at low prices and get above-average rates of return. High-income groups will be the most affected because they are most likely to have financial assets and to be invested in the stock market.
-
NASA Astrophysics Data System (ADS)
Wang, Yi Jiao; Feng, Qing Yi; Chai, Li He
As one of the most important financial markets and one of the main parts of economic system, the stock market has become the research focus in economics. The stock market is a typical complex open system far from equilibrium. Many available models that make huge contribution to researches on market are strong in describing the market however, ignoring strong nonlinear interactions among active agents and weak in reveal underlying dynamic mechanisms of structural evolutions of market. From econophysical perspectives, this paper analyzes the complex interactions among agents and defines the generalized entropy in stock markets. Nonlinear evolutionary dynamic equation for the stock markets is then derived from Maximum Generalized Entropy Principle. Simulations are accordingly conducted for a typical case with the given data, by which the structural evolution of the stock market system is demonstrated. Some discussions and implications are finally provided.
-
The Stock Market: Risk vs. Uncertainty.
ERIC Educational Resources Information Center
Griffitts, Dawn
2002-01-01
This economics education publication focuses on the U.S. stock market and the risk and uncertainty that an individual faces when investing in the market. The material explains that risk and uncertainty relate to the same underlying concept randomness. It defines and discusses both concepts and notes that although risk is quantifiable, uncertainty…
-
A quantum anharmonic oscillator model for the stock market
NASA Astrophysics Data System (ADS)
Gao, Tingting; Chen, Yu
2017-02-01
A financially interpretable quantum model is proposed to study the probability distributions of the stock price return. The dynamics of a quantum particle is considered an analog of the motion of stock price. Then the probability distributions of price return can be computed from the wave functions that evolve according to Schrodinger equation. Instead of a harmonic oscillator in previous studies, a quantum anharmonic oscillator is applied to the stock in liquid market. The leptokurtic distributions of price return can be reproduced by our quantum model with the introduction of mixed-state and multi-potential. The trend following dominant market, in which the price return follows a bimodal distribution, is discussed as a specific case of the illiquid market.
-
Performance of technical trading rules: evidence from Southeast Asian stock markets.
Tharavanij, Piyapas; Siraprapasiri, Vasan; Rajchamaha, Kittichai
2015-01-01
This paper examines the profitability of technical trading rules in the five Southeast Asian stock markets. The data cover a period of 14 years from January 2000 to December 2013. The instruments investigated are five Southeast Asian stock market indices: SET index (Thailand), FTSE Bursa Malaysia KLC index (Malaysia), FTSE Straits Times index (Singapore), JSX Composite index (Indonesia), and PSE composite index (the Philippines). Trading strategies investigated include Relative Strength Index, Stochastic oscillator, Moving Average Convergence-Divergence, Directional Movement Indicator and On Balance Volume. Performances are compared to a simple Buy-and-Hold. Statistical tests are also performed. Our empirical results show a strong performance of technical trading rules in an emerging stock market of Thailand but not in a more mature stock market of Singapore. The technical trading rules also generate statistical significant returns in the Malaysian, Indonesian and the Philippine markets. However, after taking transaction costs into account, most technical trading rules do not generate net returns. This fact suggests different levels of market efficiency among Southeast Asian stock markets. This paper finds three new insights. Firstly, technical indicators does not help much in terms of market timing. Basically, traders cannot expect to buy at a relative low price and sell at a relative high price by just using technical trading rules. Secondly, technical trading rules can be beneficial to individual investors as they help them to counter the behavioral bias called disposition effects which is the tendency to sell winning stocks too soon and holding on to losing stocks too long. Thirdly, even profitable strategies could not reliably predict subsequent market directions. They make money from having a higher average profit from profitable trades than an average loss from unprofitable ones.
-
Xiong, Xiong; Nan, Ding; Yang, Yang; Yongjie, Zhang
2015-01-01
This paper explores a method of managing the risk of the stock index futures market and the cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index 300 futures market. We adopt a cross-market artificial financial market (include the stock market and the stock index futures market) as a platform on which to simulate the operation of the CSI 300 futures market by changing the settings of price limits. After comparing the market stability under different price limits by appropriate liquidity and volatility indicators, we find that enhancing price limits or removing price limits both play a negative impact on market stability. In contrast, a positive impact exists on market stability if the existing price limit is maintained (increase of limit by10%, down by 10%) or it is broadened to a proper extent. Our study provides reasonable advice for a price limit setting and risk management for CSI 300 futures.
-
2015-01-01
This paper explores a method of managing the risk of the stock index futures market and the cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index 300 futures market. We adopt a cross-market artificial financial market (include the stock market and the stock index futures market) as a platform on which to simulate the operation of the CSI 300 futures market by changing the settings of price limits. After comparing the market stability under different price limits by appropriate liquidity and volatility indicators, we find that enhancing price limits or removing price limits both play a negative impact on market stability. In contrast, a positive impact exists on market stability if the existing price limit is maintained (increase of limit by10%, down by 10%) or it is broadened to a proper extent. Our study provides reasonable advice for a price limit setting and risk management for CSI 300 futures. PMID:26571135
-
Cross-sectional test of the Fama-French three-factor model: Evidence from Bangladesh stock market
NASA Astrophysics Data System (ADS)
Hasan, Md. Zobaer; Kamil, Anton Abdulbasah
2014-09-01
Stock market is an important part of a country's economy. It supports the country's economic development and progress by encouraging the efficiency and profitability of firms. This research was designed to examine the risk-return association of companies in the Dhaka Stock Exchange (DSE) market of Bangladesh by using the Fama-French three-factor model structure. The model is based on three factors, which are stock beta, SMB (difference in returns of the portfolio with small market capitalisation minus that with big market capitalisation) and HML (difference in returns of the portfolio with high book-to-market ratio minus that with low book-to-market ratio). This study focused on the DSE market as it is one of the frontier emerging stock markets of South Asia. For this study, monthly stock returns from 71 non-financial companies were used for the period of January 2002 to December 2011. DSI Index was used as a proxy for the market portfolio and Bangladesh government 3-Month T-bill rate was used as the proxy for the risk-free asset. It was found that large capital stocks outperform small capital stocks and stocks with lower book-to-market ratios outperform stocks with higher book-to-market ratios in the context of Bangladesh stock market.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-08-17
...., International Securities Exchange LLC, The NASDAQ Stock Market LLC, New York Stock Exchange LLC, NYSE Amex LLC... include all remaining National Market System (``NMS'') stocks (``Phase III Securities'').\\9\\ The new pilot... executions, so that the rule will continue to operate in the same manner after changes to the single stock...
-
Tests of nonuniversality of the stock return distributions in an emerging market
NASA Astrophysics Data System (ADS)
Mu, Guo-Hua; Zhou, Wei-Xing
2010-12-01
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic law. It supports the possibility that the tail exponents are universal at least for mature markets in the sense that they do not depend on stock market, industry sector, and market capitalization. We investigate the distributions of intraday returns at different time scales ( Δt=1 , 5, 15, and 30 min) of all the A-share stocks traded in the Chinese stock market, which is the largest emerging market in the world. We find that the returns can be well fitted by the q -Gaussian distribution and the tails have power-law relaxations with the exponents increasing with Δt and being well outside the Lévy stable regime for individual stocks. We provide statistically significant evidence showing that, at small time scales Δt<15min , the exponents logarithmically decrease with the turnover rate and increase with the market capitalization. When Δt>15min , no conclusive evidence is found for a possible dependence of the tail exponent on the turnover rate or the market capitalization. Our findings indicate that the intraday return distributions at small time scales are not universal in emerging stock markets but might be universal at large time scales.
-
NASA Astrophysics Data System (ADS)
Yang, Liansheng; Zhu, Yingming; Wang, Yudong; Wang, Yiqi
2016-11-01
Based on the daily price data of spot prices of West Texas Intermediate (WTI) crude oil and ten CSI300 sector indices in China, we apply multifractal detrended cross-correlation analysis (MF-DCCA) method to investigate the cross-correlations between crude oil and Chinese sector stock markets. We find that the strength of multifractality between WTI crude oil and energy sector stock market is the highest, followed by the strength of multifractality between WTI crude oil and financial sector market, which reflects a close connection between energy and financial market. Then we do vector autoregression (VAR) analysis to capture the interdependencies among the multiple time series. By comparing the strength of multifractality for original data and residual errors of VAR model, we get a conclusion that vector auto-regression (VAR) model could not be used to describe the dynamics of the cross-correlations between WTI crude oil and the ten sector stock markets.
-
A self-similar hierarchy of the Korean stock market
NASA Astrophysics Data System (ADS)
Lim, Gyuchang; Min, Seungsik; Yoo, Kun-Woo
2013-01-01
A scaling analysis is performed on market values of stocks listed on Korean stock exchanges such as the KOSPI and the KOSDAQ. Different from previous studies on price fluctuations, market capitalizations are dealt with in this work. First, we show that the sum of the two stock exchanges shows a clear rank-size distribution, i.e., the Zipf's law, just as each separate one does. Second, by abstracting Zipf's law as a γ-sequence, we define a self-similar hierarchy consisting of many levels, with the numbers of firms at each level forming a geometric sequence. We also use two exponential functions to describe the hierarchy and derive a scaling law from them. Lastly, we propose a self-similar hierarchical process and perform an empirical analysis on our data set. Based on our findings, we argue that all money invested in the stock market is distributed in a hierarchical way and that a slight difference exists between the two exchanges.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-06-30
... expiration month and series for each class of approved stock index options, and that the Exchange may open... to the rules in place for the listing of expiration months and series in stock or exchange-traded-fund (``ETF'') options.\\4\\ \\4\\ See Phlx Rule 1012(a)(1)(A); see also Nasdaq Rules Chapter IV, Section 6...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-03-05
... data) and also Rule 7015(g) of the NASDAQ Stock Market LLC (``NASDAQ'') (in which NASDAQ assesses a... BBO data and last sale data for complex strategies (e.g., spreads, straddles, buy-writes, etc.). \\4\\ A... provided to Customers free of charge. However, MDX recently made an investment to upgrade the equipment...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2012-03-05
... Rule 7015(g) of the NASDAQ Stock Market LLC (``NASDAQ'') (in which NASDAQ assesses a monthly fee of... strategies (e.g., spreads, straddles, buy-writes, etc.). \\4\\ A ``Customer'' is any entity that receives the... free of charge. However, MDX recently made an investment to upgrade the equipment involved in the ports...
-
Hot money and China's stock market volatility: Further evidence using the GARCH-MIDAS model
NASA Astrophysics Data System (ADS)
Wei, Yu; Yu, Qianwen; Liu, Jing; Cao, Yang
2018-02-01
This paper investigates the influence of hot money on the return and volatility of the Chinese stock market using a nonlinear Granger causality test and a new GARCH-class model based on mixed data sampling regression (GARCH-MIDAS). The empirical results suggest that no linear or nonlinear causality exists between the growth rate of hot money and the Chinese stock market return, implying that the Chinese stock market is not driven by hot money and vice versa. However, hot money has a significant positive impact on the long-term volatility of the Chinese stock market. Furthermore, the dependence between the long-term volatility caused by hot money and the total volatility of the Chinese stock market is time-variant, indicating that huge volatilities in the stock market are not always triggered by international speculation capital flow and that Chinese authorities should further focus on more systemic reforms in the trading rules and on effectively regulating the stock market.
-
Antibubble and prediction of China's stock market and real-estate
NASA Astrophysics Data System (ADS)
Zhou, Wei-Xing; Sornette, Didier
2004-06-01
We show that the Chinese stock markets are quite different and decoupled from Western markets (which include Tokyo). We document a well-developed log-periodic power-law antibubble in China's stock market, which started in August 2001. We argue that the current stock market antibubble is sustained by a contemporary active unsustainable real-estate bubble in China. The characteristic parameters of the antibubble have exhibited remarkable stability over one year (October 2002-October 2003). Many tests, including predictability over different horizons and time periods, confirm the high significance of the antibubble detection. Based on an analysis including data up to 2003/10/28, we have predicted that the Chinese stock market will stop its negative trend around the end of 2003 and start going up, appreciating by at least 25% in the following 6 months. We present a partial assessment of this prediction at the time of revision of this manuscript (early January 2004). Notwithstanding the immature nature of the Chinese equity market and the strong influence of government policy, we have found maybe even stronger imprints of herding than in other mature markets. This is maybe due indeed to the immaturity of the Chinese market which seems to attract short-term investors more interested in fast gains than in long-term investments, thus promoting speculative herding.
-
Structural Break, Stock Prices of Clean Energy Firms and Carbon Market
NASA Astrophysics Data System (ADS)
Wang, Yubao; Cai, Junyu
2018-03-01
This paper uses EU ETS carbon future price and Germany/UK clean energy firms stock indices to study the relationship between carbon market and clean energy market. By structural break test, it is found that the ‘non-stationary’ variables judged by classical unit root test do own unit roots and need taking first difference. After analysis of VAR and Granger causality test, no causal relationships are found between the two markets. However, when Hsiao’s version of causality test is employed, carbon market is found to have power in explaining the movement of stock prices of clean energy firms, and stock prices of clean energy firms also affect the carbon market.
-
A wave function for stock market returns
NASA Astrophysics Data System (ADS)
Ataullah, Ali; Davidson, Ian; Tippett, Mark
2009-02-01
The instantaneous return on the Financial Times-Stock Exchange (FTSE) All Share Index is viewed as a frictionless particle moving in a one-dimensional square well but where there is a non-trivial probability of the particle tunneling into the well’s retaining walls. Our analysis demonstrates how the complementarity principle from quantum mechanics applies to stock market prices and of how the wave function presented by it leads to a probability density which exhibits strong compatibility with returns earned on the FTSE All Share Index. In particular, our analysis shows that the probability density for stock market returns is highly leptokurtic with slight (though not significant) negative skewness. Moreover, the moments of the probability density determined under the complementarity principle employed here are all convergent - in contrast to many of the probability density functions on which the received theory of finance is based.
-
A fuzzy logic model to forecast stock market momentum in Indonesia's property and real estate sector
NASA Astrophysics Data System (ADS)
Penawar, H. K.; Rustam, Z.
2017-07-01
The Capital market has the important role in Indonesia's economy. The capital market does not only support the economy of Indonesia but also being an indicator Indonesia's economy improvement. Something that has been traded in the capital market is stock (stock market). Nowadays, the stock market is full of uncertainty. That uncertainty values make predicting stock market is all that we have to do before we make a decision in the stock market. One that can be predicted in the stock market is momentum. To forecast stock market momentum, it can use fuzzy logic model. In the process of modeling, it will be used 14 days historical data that consisting the value of open, high, low, and close, to predict the next 5 days momentum categories. There are three momentum categories namely Bullish, Neutral, and Bearish. To illustrate the fuzzy logic model, we will use stocks data from several companies that listed on Indonesia Stock Exchange (IDX) in property and real estate sector.
-
Price and Volume Dynamics in the Japanese Stock Market
NASA Astrophysics Data System (ADS)
Yamashita, Hirofumi; Takayasu, Hideki; Takayasu, Misako
We investigated data of stocks listed on Tokyo Stock Exchange. Although the data we used contains limited number of limit orders around the best prices in the ask and bid sides, we could confirm some issues of the layered structure which is similar to that in FX markets. We show time series of a market impact index, which is made using high correlation between dynamics of price and volume of limit orders. In the last section, we remark differences in our observations comparing with the FX market case.
-
Dynamic evolution of cross-correlations in the Chinese stock market.
Ren, Fei; Zhou, Wei-Xing
2014-01-01
The analysis of cross-correlations is extensively applied for the understanding of interconnections in stock markets and the portfolio risk estimation. Current studies of correlations in Chinese market mainly focus on the static correlations between return series, and this calls for an urgent need to investigate their dynamic correlations. Our study aims to reveal the dynamic evolution of cross-correlations in the Chinese stock market, and offer an exact interpretation for the evolution behavior. The correlation matrices constructed from the return series of 367 A-share stocks traded on the Shanghai Stock Exchange from January 4, 1999 to December 30, 2011 are calculated over a moving window with a size of 400 days. The evolutions of the statistical properties of the correlation coefficients, eigenvalues, and eigenvectors of the correlation matrices are carefully analyzed. We find that the stock correlations are significantly increased in the periods of two market crashes in 2001 and 2008, during which only five eigenvalues significantly deviate from the random correlation matrix, and the systemic risk is higher in these volatile periods than calm periods. By investigating the significant contributors of the deviating eigenvectors in different time periods, we observe a dynamic evolution behavior in business sectors such as IT, electronics, and real estate, which lead the rise (drop) before (after) the crashes. Our results provide new perspectives for the understanding of the dynamic evolution of cross-correlations in the Chines stock markets, and the result of risk estimation is valuable for the application of risk management.
-
Dynamic Evolution of Cross-Correlations in the Chinese Stock Market
Ren, Fei; Zhou, Wei-Xing
2014-01-01
The analysis of cross-correlations is extensively applied for the understanding of interconnections in stock markets and the portfolio risk estimation. Current studies of correlations in Chinese market mainly focus on the static correlations between return series, and this calls for an urgent need to investigate their dynamic correlations. Our study aims to reveal the dynamic evolution of cross-correlations in the Chinese stock market, and offer an exact interpretation for the evolution behavior. The correlation matrices constructed from the return series of 367 A-share stocks traded on the Shanghai Stock Exchange from January 4, 1999 to December 30, 2011 are calculated over a moving window with a size of 400 days. The evolutions of the statistical properties of the correlation coefficients, eigenvalues, and eigenvectors of the correlation matrices are carefully analyzed. We find that the stock correlations are significantly increased in the periods of two market crashes in 2001 and 2008, during which only five eigenvalues significantly deviate from the random correlation matrix, and the systemic risk is higher in these volatile periods than calm periods. By investigating the significant contributors of the deviating eigenvectors in different time periods, we observe a dynamic evolution behavior in business sectors such as IT, electronics, and real estate, which lead the rise (drop) before (after) the crashes. Our results provide new perspectives for the understanding of the dynamic evolution of cross-correlations in the Chines stock markets, and the result of risk estimation is valuable for the application of risk management. PMID:24867071
-
Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events?
NASA Astrophysics Data System (ADS)
Nguyen, Cuong; Ishaq Bhatti, M.; Henry, Darren
2017-08-01
This paper employs Chi-plots, Kendall (K)-plots and three different copula functions to empirically examine the tail dependence between the US stock market and stock markets in Vietnam and China in order to test contagion effects pre- and post- the US subprime mortgage crisis. The results based on data between 2003 and 2011 indicate the presence of left tail dependence before and after the crisis suggesting no change in dependence structure, but there exists stronger left tail dependence between the US and Vietnam stock markets. It is observed that the US and Vietnam stock markets are more prone to crashing than booming together. For the Chinese market, the US and Shanghai stock markets exhibit left tail dependence before the crisis, but no evidence of post-crisis tail dependency. On the contrary, the Shenzhen stock market is independent of the US market before and after the crisis which implies that an extreme event in the US market is less likely to influence the Shenzhen stock market. This suggests that there is significant potential for risk diversification by investing in the Shenzhen market by US investors after the financial crisis. These results have not been documented in the existing literature and provide a new insight into risk diversification between the two important Asian emerging stock markets.
-
NASA Astrophysics Data System (ADS)
Roehner, Bertrand M.
2005-03-01
We describe, document and statistically test three mechanisms by which corporations can influence or even control stock prices: (i) Parent and holding companies wield control over other publicly traded companies. (ii) Through clever management of treasury stock based on buyback programs and stock issuance, stock price fluctuations can be amplified or curbed. The shock of September 11, 2001 is used to test this effect. (iii) Finally, historical evidence shows that there is a close interdependence between the level of stock prices on the one hand and merger and acquisition activity on the other hand: on average, a 10% increase in the number of mergers brings about a 3% increase in the overall level of stock prices. If one adds up buybacks, initial public offerings and takeover transactions, all of which depend upon strategic decisions taken by corporate management, they represent on average 7.2% of the trade on the New York Stock Exchange over the period 1987-2003 (as much as 12% in specific years such as 1988). This perspective, in which the Boards of Directors of major companies “shepherd” the market, offers a natural interpretation of the so-called “herd behavior” observed in stock markets. The traditional view holds that, by driving profit expectations, corporations have an indirect role in shaping the market. In this paper, we suggest that over the last decades they became more and more the direct moving force of stock markets.
-
Confidence and self-attribution bias in an artificial stock market
Bertella, Mario A.; Pires, Felipe R.; Rego, Henio H. A.; Vodenska, Irena; Stanley, H. Eugene
2017-01-01
Using an agent-based model we examine the dynamics of stock price fluctuations and their rates of return in an artificial financial market composed of fundamentalist and chartist agents with and without confidence. We find that chartist agents who are confident generate higher price and rate of return volatilities than those who are not. We also find that kurtosis and skewness are lower in our simulation study of agents who are not confident. We show that the stock price and confidence index—both generated by our model—are cointegrated and that stock price affects confidence index but confidence index does not affect stock price. We next compare the results of our model with the S&P 500 index and its respective stock market confidence index using cointegration and Granger tests. As in our model, we find that stock prices drive their respective confidence indices, but that the opposite relationship, i.e., the assumption that confidence indices drive stock prices, is not significant. PMID:28231255
-
Confidence and self-attribution bias in an artificial stock market.
Bertella, Mario A; Pires, Felipe R; Rego, Henio H A; Silva, Jonathas N; Vodenska, Irena; Stanley, H Eugene
2017-01-01
Using an agent-based model we examine the dynamics of stock price fluctuations and their rates of return in an artificial financial market composed of fundamentalist and chartist agents with and without confidence. We find that chartist agents who are confident generate higher price and rate of return volatilities than those who are not. We also find that kurtosis and skewness are lower in our simulation study of agents who are not confident. We show that the stock price and confidence index-both generated by our model-are cointegrated and that stock price affects confidence index but confidence index does not affect stock price. We next compare the results of our model with the S&P 500 index and its respective stock market confidence index using cointegration and Granger tests. As in our model, we find that stock prices drive their respective confidence indices, but that the opposite relationship, i.e., the assumption that confidence indices drive stock prices, is not significant.
-
Evolutions of fluctuation modes and inner structures of global stock markets
NASA Astrophysics Data System (ADS)
Yan, Yan; Wang, Lei; Liu, Maoxin; Chen, Xiaosong
2016-09-01
The paper uses empirical data, including 42 globally main stock indices in the period 1996-2014, to systematically study the evolution of fluctuation modes and inner structures of global stock markets. The data are large in scale considering both time and space. A covariance matrix-based principle fluctuation mode analysis (PFMA) is used to explore the properties of the global stock markets. It has been ignored by previous studies that covariance matrix is more suitable than the correlation matrix to be the basis of PFMA. It is found that the principle fluctuation modes of global stock markets are in the same directions, and global stock markets are divided into three clusters, which are found to be closely related to the countries’ locations with exceptions of China, Russia and Czech Republic. A time-stable correlation network constructing method is proposed to solve the problem of high-level statistical uncertainty when the estimated periods are very short, and the complex dynamic network (CDN) is constructed to investigate the evolution of inner structures. The results show when the clusters emerge and how long the clusters exist. When the 2008 financial crisis broke out, the indices form one cluster. After these crises, only the European cluster still exists. These findings complement the previous studies, and can help investors and regulators to understand the global stock markets.
-
Impact of global financial crisis on stylized facts between energy markets and stock markets
NASA Astrophysics Data System (ADS)
Leng, Tan Kim; Cheong, Chin Wen; Hooi, Tan Siow
2014-06-01
Understanding the stylized facts is extremely important and has becomes a hot issue nowadays. However, recent global financial crisis that started from United States had spread all over the world and adversely affected the commodities and financial sectors of both developed and developing countries. This paper tends to examine the impact of crisis on stylized facts between energy and stock markets using ARCH-family models based on the experience over 2008 global financial crisis. Empirical results denote that there is long lasting, persists and positively significant the autocorrelation function of absolute returns and their squares in both markets for before and during crisis. Besides that, leverage effects are found in stock markets whereby bad news has a greater impact on volatility than good news for both before and during crisis. However, crisis does not indicate any impact on risk-return tradeoff for both energy and stock markets. For forecasting evaluations, GARCH model and FIAPARCH model indicate superior out of sample forecasts for before and during crisis respectively.
-
Impact of monetary policy changes on the Chinese monetary and stock markets
NASA Astrophysics Data System (ADS)
Tang, Yong; Luo, Yong; Xiong, Jie; Zhao, Fei; Zhang, Yi-Cheng
2013-10-01
The impact of monetary policy changes on the monetary market and stock market in China is investigated in this study. The changes of two major monetary policies, the interest rate and required reserve ratio, are analyzed in a study period covering seven years on the interbank monetary market and Shanghai stock market. We find that the monetary market is related to the macro economy trend and we also find that the monetary change surprises both of lowering and raising bring significant impacts to the two markets and the two markets respond to the changes differently. The results suggest that the impact of fluctuations is much larger for raising policy changes than lowering changes in the monetary market on policy announcing and effective dates. This is consistent with the “sign effect”, i.e. bad news brings a greater impact than good news. By studying the event window of each policy change, we also find that the “sign effect” still exists before and after each change in the monetary market. A relatively larger fluctuation is observed before the event date, which indicates that the monetary market might have a certain ability to predict a potential monetary change, while it is kept secret by the central bank before official announcement. In the stock market, we investigate how the returns and spreads of the Shanghai stock market index respond to the monetary changes. Evidences suggest the stock market is influenced but in a different way than the monetary market. The climbing of returns after the event dates for the lowering policy agrees with the theory that lowering changes can provide a monetary supply to boost the market and drive the stock returns higher but with a delay of 2 to 3 trading days on average. While in the bear market, the lowering policy brings larger volatility to the market on average than the raising ones. These empirical findings are useful for policymakers to understand how monetary policy changes impact the monetary and stock markets
-
NASA Astrophysics Data System (ADS)
Bentes, Sónia R.
2015-07-01
This paper examines the integration of financial markets using data from five international stock markets in the context of globalization. The theoretical basis of this study relies on the price theory and the Law of One Price, which was adjusted to the framework of financial markets. When price levels are nonstationary, cointegration and the error correction model constitute a powerful tool for the empirical examination of market integration. The error correction model provides a fully dynamic framework that allows to separating the long and the short run effects of the integration process. A dataset encompassing the daily stock price series of the PSI 20 (Portugal), IBEX 35 (Spain), FTSE 100 (UK), NIKKEI 225 (Japan) and SP 500 (US) indices from January 4th 1999 to September 19th 2014 is employed. The results highlight that these five stock markets are linked together by just one long-run relationship, although short-run movements are also present, which causes distinct deviations from the long-run equilibrium relationship. Endogeneity prevails in the system as a whole. While market integration in the sense of the Law of One Price holds, pairwise full price transmission has limited evidence. The results therefore show that stock market price movements are highly nonlinear and complex.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-07-08
... US (``NYSE Alternext,'' formerly the American Stock Exchange); and (C) the NASDAQ Stock Market... fees charged by other market centers. (iii) Routing Charges The Exchange proposes to charge the routing... administrative costs. Destination-specific fees are also based, in part, on fees charged by other market centers...
-
Federal Register 2010, 2011, 2012, 2013, 2014
2011-11-30
... price of rights and warrants are affected by the price of the underlying stock as well as other factors, particularly the volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying...
-
NASA Astrophysics Data System (ADS)
Ying, Shangjun; Li, Xiaojun; Zhong, Xiuqin
2015-04-01
This paper discusses the initial value sensitivity (IVS) of Chinese stock market, including the single stock market and the Chinese A-share stock market, with respect to real markets and evolving models. The aim is to explore the relationship between IVS of the Chinese A-share stock market and the investment psychology based on the evolving model of genetic cellular automaton (GCA). We find: (1) The Chinese stock market is sensitively dependent on the initial conditions. (2) The GCA model provides a considerable reliability in complexity simulation (e.g. the IVS). (3) The IVS of stock market is positively correlated with the imitation probability when the intensity of the imitation psychology reaches a certain threshold. The paper suggests that the government should seek to keep the imitation psychology under a certain level, otherwise it may induce severe fluctuation to the market.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-04-22
... American Stock Exchange LLC, BATS Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., International Securities Exchange, LLC, The NASDAQ Stock Market LLC, National Stock Exchange...
-
Stock market index prediction using neural networks
NASA Astrophysics Data System (ADS)
Komo, Darmadi; Chang, Chein-I.; Ko, Hanseok
1994-03-01
A neural network approach to stock market index prediction is presented. Actual data of the Wall Street Journal's Dow Jones Industrial Index has been used for a benchmark in our experiments where Radial Basis Function based neural networks have been designed to model these indices over the period from January 1988 to Dec 1992. A notable success has been achieved with the proposed model producing over 90% prediction accuracies observed based on monthly Dow Jones Industrial Index predictions. The model has also captured both moderate and heavy index fluctuations. The experiments conducted in this study demonstrated that the Radial Basis Function neural network represents an excellent candidate to predict stock market index.
-
Research on energy stock market associated network structure based on financial indicators
NASA Astrophysics Data System (ADS)
Xi, Xian; An, Haizhong
2018-01-01
A financial market is a complex system consisting of many interacting units. In general, due to the various types of information exchange within the industry, there is a relationship between the stocks that can reveal their clear structural characteristics. Complex network methods are powerful tools for studying the internal structure and function of the stock market, which allows us to better understand the stock market. Applying complex network methodology, a stock associated network model based on financial indicators is created. Accordingly, we set threshold value and use modularity to detect the community network, and we analyze the network structure and community cluster characteristics of different threshold situations. The study finds that the threshold value of 0.7 is the abrupt change point of the network. At the same time, as the threshold value increases, the independence of the community strengthens. This study provides a method of researching stock market based on the financial indicators, exploring the structural similarity of financial indicators of stocks. Also, it provides guidance for investment and corporate financial management.
-
Investigation of multifractality in the Brazilian stock market
NASA Astrophysics Data System (ADS)
Maganini, Natália Diniz; Da Silva Filho, Antônio Carlos; Lima, Fabiano Guasti
2018-05-01
Many studies point to a possible new stylized fact for financial time series: the multifractality. Several authors have already detected this characteristic in multiple time series in several countries. With that in mind and based on Multifractal Detrended Fluctuation Analysis (MFDFA) method, this paper analyzes the multifractality in the Brazilian market. This analysis is performed with daily data from IBOVESPA index (Brazilian stock exchange's main index) and other four highly marketable stocks in the Brazilian market (VALE5, ITUB4, BBDC4 and CIEL3), which represent more than 25% of the index composition, making up 1961 observations for each asset in the period from June 26 2009 to May 31 2017. We found that the studied stock prices and Brazilian index are multifractal, but that the multifractality degree is not the same for all the assets. The use of shuffled and surrogated series indicates that for the period and the actions considered the long-range correlations do not strongly influence the multifractality, but the distribution (fat tails) exerts a possible influence on IBOVESPA and CIEL3.
-
Statistical properties and pre-hit dynamics of price limit hits in the Chinese stock markets.
Wan, Yu-Lei; Xie, Wen-Jie; Gu, Gao-Feng; Jiang, Zhi-Qiang; Chen, Wei; Xiong, Xiong; Zhang, Wei; Zhou, Wei-Xing
2015-01-01
Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of price limit hits are not well studied partially due to the fact that main stock markets such as the US markets and most European markets do not set price limits. Here, we perform detailed analyses of the high-frequency data of all A-share common stocks traded on the Shanghai Stock Exchange and the Shenzhen Stock Exchange from 2000 to 2011 to investigate the statistical properties of price limit hits and the dynamical evolution of several important financial variables before stock price hits its limits. We compare the properties of up-limit hits and down-limit hits. We also divide the whole period into three bullish periods and three bearish periods to unveil possible differences during bullish and bearish market states. To uncover the impacts of stock capitalization on price limit hits, we partition all stocks into six portfolios according to their capitalizations on different trading days. We find that the price limit trading rule has a cooling-off effect (object to the magnet effect), indicating that the rule takes effect in the Chinese stock markets. We find that price continuation is much more likely to occur than price reversal on the next trading day after a limit-hitting day, especially for down-limit hits, which has potential practical values for market practitioners.
-
Hidden cross-correlation patterns in stock markets based on permutation cross-sample entropy and PCA
NASA Astrophysics Data System (ADS)
Lin, Aijing; Shang, Pengjian; Zhong, Bo
2014-12-01
In this article, we investigate the hidden cross-correlation structures in Chinese stock markets and US stock markets by performing PCSE combined with PCA approach. It is suggested that PCSE can provide a more faithful and more interpretable description of the dynamic mechanism between time series than cross-correlation matrix. We show that this new technique can be adapted to observe stock markets especially during financial crisis. In order to identify and compare the interactions and structures of stock markets during financial crisis, as well as in normal periods, all the samples are divided into four sub-periods. The results imply that the cross-correlations between Chinese group are stronger than the US group in the most sub-periods. In particular, it is likely that the US stock markets are more integrated with each other during global financial crisis than during Asian financial crisis. However, our results illustrate that Chinese stock markets are not immune from the global financial crisis, although less integrated with other markets if they are compared with US stock markets.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-06-06
... Organizations; NASDAQ OMX BX, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To..., NASDAQ OMX BX, Inc. (``BX'' or ``Exchange'') filed with the Securities and Exchange Commission (``SEC... and regulatory requirements,\\7\\ which normally do not apply to other market participants. By...
-
STOCK MARKET CRASH AND EXPECTATIONS OF AMERICAN HOUSEHOLDS*
HUDOMIET, PÉTER; KÉZDI, GÁBOR; WILLIS, ROBERT J.
2011-01-01
SUMMARY This paper utilizes data on subjective probabilities to study the impact of the stock market crash of 2008 on households’ expectations about the returns on the stock market index. We use data from the Health and Retirement Study that was fielded in February 2008 through February 2009. The effect of the crash is identified from the date of the interview, which is shown to be exogenous to previous stock market expectations. We estimate the effect of the crash on the population average of expected returns, the population average of the uncertainty about returns (subjective standard deviation), and the cross-sectional heterogeneity in expected returns (disagreement). We show estimates from simple reduced-form regressions on probability answers as well as from a more structural model that focuses on the parameters of interest and separates survey noise from relevant heterogeneity. We find a temporary increase in the population average of expectations and uncertainty right after the crash. The effect on cross-sectional heterogeneity is more significant and longer lasting, which implies substantial long-term increase in disagreement. The increase in disagreement is larger among the stockholders, the more informed, and those with higher cognitive capacity, and disagreement co-moves with trading volume and volatility in the market. PMID:21547244
-
A network analysis of the Chinese stock market
NASA Astrophysics Data System (ADS)
Huang, Wei-Qiang; Zhuang, Xin-Tian; Yao, Shuang
2009-07-01
In many practical important cases, a massive dataset can be represented as a very large network with certain attributes associated with its vertices and edges. Stock markets generate huge amounts of data, which can be use for constructing the network reflecting the market’s behavior. In this paper, we use a threshold method to construct China’s stock correlation network and then study the network’s structural properties and topological stability. We conduct a statistical analysis of this network and show that it follows a power-law model. We also detect components, cliques and independent sets in this network. These analyses allows one to apply a new data mining technique of classifying financial instruments based on stock price data, which provides a deeper insight into the internal structure of the stock market. Moreover, we test the topological stability of this network and find that it displays a topological robustness against random vertex failures, but it is also fragile to intentional attacks. Such a network stability property would be also useful for portfolio investment and risk management.
-
Are Price Limits Effective? An Examination of an Artificial Stock Market.
Zhang, Xiaotao; Ping, Jing; Zhu, Tao; Li, Yuelei; Xiong, Xiong
2016-01-01
We investigated the inter-day effects of price limits policies that are employed in agent-based simulations. To isolate the impact of price limits from the impact of other factors, we built an artificial stock market with higher frequency price limits hitting. The trading mechanisms in this market are the same as the trading mechanisms in China's stock market. Then, we designed a series of simulations with and without price limits policy. The results of these simulations demonstrate that both upper and lower price limits can cause a volatility spillover effect and a trading interference effect. The process of price discovery will be delayed if upper price limits are imposed on a stock market; however, this phenomenon does not occur when lower price limits are imposed.
-
Estimating time-varying conditional correlations between stock and foreign exchange markets
NASA Astrophysics Data System (ADS)
Tastan, Hüseyin
2006-02-01
This study explores the dynamic interaction between stock market returns and changes in nominal exchange rates. Many financial variables are known to exhibit fat tails and autoregressive variance structure. It is well-known that unconditional covariance and correlation coefficients also vary significantly over time and multivariate generalized autoregressive model (MGARCH) is able to capture the time-varying variance-covariance matrix for stock market returns and changes in exchange rates. The model is applied to daily Euro-Dollar exchange rates and two stock market indexes from the US economy: Dow-Jones Industrial Average Index and S&P500 Index. The news impact surfaces are also drawn based on the model estimates to see the effects of idiosyncratic shocks in respective markets.
-
Quantifying Wikipedia Usage Patterns Before Stock Market Moves
NASA Astrophysics Data System (ADS)
Moat, Helen Susannah; Curme, Chester; Avakian, Adam; Kenett, Dror Y.; Stanley, H. Eugene; Preis, Tobias
2013-05-01
Financial crises result from a catastrophic combination of actions. Vast stock market datasets offer us a window into some of the actions that have led to these crises. Here, we investigate whether data generated through Internet usage contain traces of attempts to gather information before trading decisions were taken. We present evidence in line with the intriguing suggestion that data on changes in how often financially related Wikipedia pages were viewed may have contained early signs of stock market moves. Our results suggest that online data may allow us to gain new insight into early information gathering stages of decision making.
-
Quantifying Wikipedia Usage Patterns Before Stock Market Moves
Moat, Helen Susannah; Curme, Chester; Avakian, Adam; Kenett, Dror Y.; Stanley, H. Eugene; Preis, Tobias
2013-01-01
Financial crises result from a catastrophic combination of actions. Vast stock market datasets offer us a window into some of the actions that have led to these crises. Here, we investigate whether data generated through Internet usage contain traces of attempts to gather information before trading decisions were taken. We present evidence in line with the intriguing suggestion that data on changes in how often financially related Wikipedia pages were viewed may have contained early signs of stock market moves. Our results suggest that online data may allow us to gain new insight into early information gathering stages of decision making.
-
Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix
NASA Astrophysics Data System (ADS)
Takaishi, Tetsuya
2016-08-01
We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To investigate the dynamical evolution of the cross-correlations, crosscorrelation matrices are calculated with a rolling window of 400 days. To quantify the volatile market stages where the potential risk is high, we apply the principal components analysis and measure the cumulative risk fraction (CRF), which is the system variance associated with the first few principal components. From the CRF, we detected three volatile market stages corresponding to the bankruptcy of Lehman Brothers, the 2011 Tohoku Region Pacific Coast Earthquake, and the FRB QE3 reduction observation in the study period. We further apply the random matrix theory for the risk analysis and find that the first eigenvector is more equally de-localized when the market is volatile.
-
Complexity in the Chinese stock market and its relationships with monetary policy intensity
NASA Astrophysics Data System (ADS)
Ying, Shangjun; Fan, Ying
2014-01-01
This paper introduces how to formulate the CSI300 evolving stock index using the Paasche compiling technique of weighed indexes after giving the GCA model. It studies dynamics characteristics of the Chinese stock market and its relationships with monetary policy intensity, based on the evolving stock index. It concludes by saying that it is possible to construct a dynamics equation of the Chinese stock market using three variables, and that it is useless to regular market-complexity according to changing intensity of external factors from a chaos point of view.
-
Statistical Properties and Pre-Hit Dynamics of Price Limit Hits in the Chinese Stock Markets
Wan, Yu-Lei; Xie, Wen-Jie; Gu, Gao-Feng; Jiang, Zhi-Qiang; Chen, Wei; Xiong, Xiong; Zhang, Wei; Zhou, Wei-Xing
2015-01-01
Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders’ short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of price limit hits are not well studied partially due to the fact that main stock markets such as the US markets and most European markets do not set price limits. Here, we perform detailed analyses of the high-frequency data of all A-share common stocks traded on the Shanghai Stock Exchange and the Shenzhen Stock Exchange from 2000 to 2011 to investigate the statistical properties of price limit hits and the dynamical evolution of several important financial variables before stock price hits its limits. We compare the properties of up-limit hits and down-limit hits. We also divide the whole period into three bullish periods and three bearish periods to unveil possible differences during bullish and bearish market states. To uncover the impacts of stock capitalization on price limit hits, we partition all stocks into six portfolios according to their capitalizations on different trading days. We find that the price limit trading rule has a cooling-off effect (object to the magnet effect), indicating that the rule takes effect in the Chinese stock markets. We find that price continuation is much more likely to occur than price reversal on the next trading day after a limit-hitting day, especially for down-limit hits, which has potential practical values for market practitioners. PMID:25874716
-
Stroke: a Hidden Danger of Margin Trading in Stock Markets.
Lin, Shu-Hui; Wang, Chien-Ho; Liu, Tsai-Ching; Chen, Chin-Shyan
2015-10-01
Using 10-year population data from 2000 through 2009 in Taiwan, this is the first paper to analyze the relationship between margin trading in stock markets and stroke hospitalizations. The results show that 3 and 6 days after an increase of margin trading in the Taiwan stock markets are associated with greater stoke hospitalizations. In general, a 1 % increase in total margin trading positions is associated with an increment of 2.5 in the total number of stroke hospitalizations, where the mean number of hospital admissions is 233 cases a day. We further examine the effects of margin trading by gender and age groups and find that the effects of margin trading are significant for males and those who are 45-74 years old only. In summary, buying stocks with money you do not have is quite risky, especially if the prices of those stocks fall past a certain level or if there is a sudden and severe drop in the stock market. There is also a hidden danger to one's health from margin trading. A person should be cautious before conducting margin trading, because while it can be quite profitable, danger always lurks just around the corner.
-
Stock markets and criticality in the current economic crisis
NASA Astrophysics Data System (ADS)
da Silva, Roberto; Zembrzuski, Marcelo; Correa, Fabio C.; Lamb, Luis C.
2010-12-01
We show that the current economic crisis has led the market to exhibit a non-critical behavior. We do so by analyzing the quantitative parameters of time series from the main assets of the Brazilian Stock Market BOVESPA. By monitoring global persistence we show a deviation of power law behavior during the crisis in a strong analogy with spin systems (from where this concept was originally conceived). Such behavior is corroborated by an emergent heavy tail of absolute return distribution and also by the magnitude autocorrelation exponent. Comparisons with universal exponents obtained in the international stock markets are also performed. This suggests how a thorough analysis of suitable exponents can bring a possible way of forecasting market crises characterized by non-criticality.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-10-14
... Change Regarding Anti-Internalization Functionality for NASDAQ OMX PSX October 6, 2010. Pursuant to...-internalization functionality on NASDAQ OMX PSX (``PSX''). The text of the proposed rule change is available from...- internalization function for the PSX System. Under the proposal, market participants entering orders under a...
-
Universal Behavior of Extreme Price Movements in Stock Markets
Fuentes, Miguel A.; Gerig, Austin; Vicente, Javier
2009-01-01
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using a large collection of data from three different stock markets, we present evidence that a modification to the random model—adding a slow, but significant, fluctuation to the standard deviation of the process—accurately explains the probability of different-sized price changes, including the relative high frequency of extreme movements. Furthermore, we show that this process is similar across stocks so that their price fluctuations can be characterized by a single curve. Because the behavior of price fluctuations is rooted in the characteristics of volatility, we expect our results to bring increased interest to stochastic volatility models, and especially to those that can produce the properties of volatility reported here. PMID:20041178
-
The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields
Guo, Kun; Zhou, Wei-Xing; Cheng, Si-Wei; Sornette, Didier
2011-01-01
Using a recently introduced method to quantify the time-varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be anti-correlated; (ii) the change in central bank rates, as a proxy of the monetary policy of the central bank, should be a predictor of the future stock market direction. Using both monthly and weekly data, we found very similar lead-lag dependence between the S&P 500 stock market index and the yields of bonds inside two groups: bond yields of short-term maturities (Federal funds rate (FFR), 3M, 6M, 1Y, 2Y, and 3Y) and bond yields of long-term maturities (5Y, 7Y, 10Y, and 20Y). In all cases, we observe the opposite of (i) and (ii). First, the stock market and yields move in the same direction. Second, the stock market leads the yields, including especially the FFR. Moreover, we find that the short-term yields in the first group lead the long-term yields in the second group before the financial crisis that started in mid-2007 and the inverse relationship holds afterwards. These results suggest that the Federal Reserve is increasingly mindful of the stock market behavior, seen as key to the recovery and health of the economy. Long-term investors seem also to have been more reactive and mindful of the signals provided by the financial stock markets than the Federal Reserve itself after the start of the financial crisis. The lead of the S&P 500 stock market index over the bond yields of all maturities is confirmed by the traditional lagged cross-correlation analysis. PMID:21857954
-
The US stock market leads the federal funds rate and treasury bond yields.
Guo, Kun; Zhou, Wei-Xing; Cheng, Si-Wei; Sornette, Didier
2011-01-01
Using a recently introduced method to quantify the time-varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be anti-correlated; (ii) the change in central bank rates, as a proxy of the monetary policy of the central bank, should be a predictor of the future stock market direction. Using both monthly and weekly data, we found very similar lead-lag dependence between the S&P 500 stock market index and the yields of bonds inside two groups: bond yields of short-term maturities (Federal funds rate (FFR), 3M, 6M, 1Y, 2Y, and 3Y) and bond yields of long-term maturities (5Y, 7Y, 10Y, and 20Y). In all cases, we observe the opposite of (i) and (ii). First, the stock market and yields move in the same direction. Second, the stock market leads the yields, including especially the FFR. Moreover, we find that the short-term yields in the first group lead the long-term yields in the second group before the financial crisis that started in mid-2007 and the inverse relationship holds afterwards. These results suggest that the Federal Reserve is increasingly mindful of the stock market behavior, seen as key to the recovery and health of the economy. Long-term investors seem also to have been more reactive and mindful of the signals provided by the financial stock markets than the Federal Reserve itself after the start of the financial crisis. The lead of the S&P 500 stock market index over the bond yields of all maturities is confirmed by the traditional lagged cross-correlation analysis.
-
Quantifying the Behavior of Stock Correlations Under Market Stress
Preis, Tobias; Kenett, Dror Y.; Stanley, H. Eugene; Helbing, Dirk; Ben-Jacob, Eshel
2012-01-01
Understanding correlations in complex systems is crucial in the face of turbulence, such as the ongoing financial crisis. However, in complex systems, such as financial systems, correlations are not constant but instead vary in time. Here we address the question of quantifying state-dependent correlations in stock markets. Reliable estimates of correlations are absolutely necessary to protect a portfolio. We analyze 72 years of daily closing prices of the 30 stocks forming the Dow Jones Industrial Average (DJIA). We find the striking result that the average correlation among these stocks scales linearly with market stress reflected by normalized DJIA index returns on various time scales. Consequently, the diversification effect which should protect a portfolio melts away in times of market losses, just when it would most urgently be needed. Our empirical analysis is consistent with the interesting possibility that one could anticipate diversification breakdowns, guiding the design of protected portfolios. PMID:23082242
-
Stock Market Fluctuations and Self-Harm among Children and Adolescents in Hong Kong.
Wong, Wilfred Hing-Sang; Lee, James Chun-Yin; Ho, Frederick Ka-Wing; Li, Tim Man-Ho; Ip, Patrick; Chow, Chun-Bong
2017-06-09
Although a few studies investigated the impact of stock market fluctuations on population health, the question of whether stock market fluctuations have an impact on self-harm in children and adolescents remain unanswered. This study therefore investigated the association between stock market fluctuations and self-harm among children and adolescents in Hong Kong. Daily self-harm attendance records were retrieved from all 18 local Accident and Emergency Departments (AED) from 2001 to 2012. 4931 children and adolescents who committed self-harm were included. The results indicated positive correlation between daily change in stock market index, Hang Seng Index (∇HSI, per 300 points), and daily self-harm incident risk of children and adolescents, without time lag between the two. The incident risk ratio for ∇HSI was 1.09 ( p = 0.0339) in children and 1.06 ( p = 0.0246) in adolescents. Importantly, non-trading days were found to impose significant protective effect in both groups against self-harm risk. Our results showed that stock market fluctuations were related to self-harm behaviors in children and adolescents. Parents and professionals should be educated about the potential harm of stock market fluctuations and the importance of effective parenting in reducing self-harm among children and adolescents.
-
Variable diffusion in stock market fluctuations
NASA Astrophysics Data System (ADS)
Hua, Jia-Chen; Chen, Lijian; Falcon, Liberty; McCauley, Joseph L.; Gunaratne, Gemunu H.
2015-02-01
We analyze intraday fluctuations in several stock indices to investigate the underlying stochastic processes using techniques appropriate for processes with nonstationary increments. The five most actively traded stocks each contains two time intervals during the day where the variance of increments can be fit by power law scaling in time. The fluctuations in return within these intervals follow asymptotic bi-exponential distributions. The autocorrelation function for increments vanishes rapidly, but decays slowly for absolute and squared increments. Based on these results, we propose an intraday stochastic model with linear variable diffusion coefficient as a lowest order approximation to the real dynamics of financial markets, and to test the effects of time averaging techniques typically used for financial time series analysis. We find that our model replicates major stylized facts associated with empirical financial time series. We also find that ensemble averaging techniques can be used to identify the underlying dynamics correctly, whereas time averages fail in this task. Our work indicates that ensemble average approaches will yield new insight into the study of financial markets' dynamics. Our proposed model also provides new insight into the modeling of financial markets dynamics in microscopic time scales.
-
Are Price Limits Effective? An Examination of an Artificial Stock Market
Zhu, Tao; Li, Yuelei; Xiong, Xiong
2016-01-01
We investigated the inter-day effects of price limits policies that are employed in agent-based simulations. To isolate the impact of price limits from the impact of other factors, we built an artificial stock market with higher frequency price limits hitting. The trading mechanisms in this market are the same as the trading mechanisms in China’s stock market. Then, we designed a series of simulations with and without price limits policy. The results of these simulations demonstrate that both upper and lower price limits can cause a volatility spillover effect and a trading interference effect. The process of price discovery will be delayed if upper price limits are imposed on a stock market; however, this phenomenon does not occur when lower price limits are imposed. PMID:27513330
-
Federal Register 2010, 2011, 2012, 2013, 2014
2013-08-09
...-cancelled orders. Phlx believes that this change will assist market participants in managing their orders...-Regulatory Organizations; NASDAQ OMX PHLX LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Modify the Rule Governing Modification of Orders on NASDAQ OMX PSX in the Event of an Issuer...
-
Monte Carlo Simulation of Microscopic Stock Market Models
NASA Astrophysics Data System (ADS)
Stauffer, Dietrich
Computer simulations with random numbers, that is, Monte Carlo methods, have been considerably applied in recent years to model the fluctuations of stock market or currency exchange rates. Here we concentrate on the percolation model of Cont and Bouchaud, to simulate, not to predict, the market behavior.
-
Multiscale multifractal time irreversibility analysis of stock markets
NASA Astrophysics Data System (ADS)
Jiang, Chenguang; Shang, Pengjian; Shi, Wenbin
2016-11-01
Time irreversibility is one of the most important properties of nonstationary time series. Complex time series often demonstrate even multiscale time irreversibility, such that not only the original but also coarse-grained time series are asymmetric over a wide range of scales. We study the multiscale time irreversibility of time series. In this paper, we develop a method called multiscale multifractal time irreversibility analysis (MMRA), which allows us to extend the description of time irreversibility to include the dependence on the segment size and statistical moments. We test the effectiveness of MMRA in detecting multifractality and time irreversibility of time series generated from delayed Henon map and binomial multifractal model. Then we employ our method to the time irreversibility analysis of stock markets in different regions. We find that the emerging market has higher multifractality degree and time irreversibility compared with developed markets. In this sense, the MMRA method may provide new angles in assessing the evolution stage of stock markets.
-
What stock market returns to expect for the future?
Diamond, P A
2000-01-01
In evaluating proposals for reforming Social Security that involve stock investments, the Office of the Chief Actuary (OCACT) has generally used a 7.0 percent real return for stocks. The 1994-96 Advisory Council specified that OCACT should use that return in making its 75-year projections of investment-based reform proposals. The assumed ultimate real return on Treasury bonds of 3.0 percent implies a long-run equity premium of 4.0 percent. There are two equity-premium concepts: the realized equity premium, which is measured by the actual rates of return; and the required equity premium, which investors expect to receive for being willing to hold available stocks and bonds. Over the past two centuries, the realized premium was 3.5 percent on average, but 5.2 percent for 1926 to 1998. Some critics argue that the 7.0 percent projected stock returns are too high. They base their arguments on recent developments in the capital market, the current high value of the stock market, and the expectation of slower economic growth. Increased use of mutual funds and the decline in their costs suggest a lower required premium, as does the rising fraction of the American public investing in stocks. The size of the decrease is limited, however, because the largest cost savings do not apply to the very wealthy and to large institutional investors, who hold a much larger share of the stock market's total value than do new investors. These trends suggest a lower equity premium for projections than the 5.2 percent of the past 75 years. Also, a declining required premium is likely to imply a temporary increase in the realized premium because a rising willingness to hold stocks tends to increase their price. Therefore, it would be a mistake during a transition period to extrapolate what may be a temporarily high realized return. In the standard (Solow) economic growth model, an assumption of slower long-run growth lowers the marginal product of capital if the savings rate is constant
-
The cross-correlation analysis of multi property of stock markets based on MM-DFA
NASA Astrophysics Data System (ADS)
Yang, Yujun; Li, Jianping; Yang, Yimei
2017-09-01
In this paper, we propose a new method called DH-MXA based on distribution histograms of Hurst surface and multiscale multifractal detrended fluctuation analysis. The method allows us to investigate the cross-correlation characteristics among multiple properties of different stock time series. It may provide a new way of measuring the nonlinearity of several signals. It also can provide a more stable and faithful description of cross-correlation of multiple properties of stocks. The DH-MXA helps us to present much richer information than multifractal detrented cross-correlation analysis and allows us to assess many universal and subtle cross-correlation characteristics of stock markets. We show DH-MXA by selecting four artificial data sets and five properties of four stock time series from different countries. The results show that our proposed method can be adapted to investigate the cross-correlation of stock markets. In general, the American stock markets are more mature and less volatile than the Chinese stock markets.
-
Static and dynamic factors in an information-based multi-asset artificial stock market
NASA Astrophysics Data System (ADS)
Ponta, Linda; Pastore, Stefano; Cincotti, Silvano
2018-02-01
An information-based multi-asset artificial stock market characterized by different types of stocks and populated by heterogeneous agents is presented. In the market, agents trade risky assets in exchange for cash. Beside the amount of cash and of stocks owned, each agent is characterized by sentiments and agents share their sentiments by means of interactions that are determined by sparsely connected networks. A central market maker (clearing house mechanism) determines the price processes for each stock at the intersection of the demand and the supply curves. Single stock price processes exhibit volatility clustering and fat-tailed distribution of returns whereas multivariate price process exhibits both static and dynamic stylized facts, i.e., the presence of static factors and common trends. Static factors are studied making reference to the cross-correlation of returns of different stocks. The common trends are investigated considering the variance-covariance matrix of prices. Results point out that the probability distribution of eigenvalues of the cross-correlation matrix of returns shows the presence of sectors, similar to those observed on real empirical data. As regarding the dynamic factors, the variance-covariance matrix of prices point out a limited number of assets prices series that are independent integrated processes, in close agreement with the empirical evidence of asset price time series of real stock markets. These results remarks the crucial dependence of statistical properties of multi-assets stock market on the agents' interaction structure.
-
The dynamic correlation between policy uncertainty and stock market returns in China
NASA Astrophysics Data System (ADS)
Yang, Miao; Jiang, Zhi-Qiang
2016-11-01
The dynamic correlation is examined between government's policy uncertainty and Chinese stock market returns in the period from January 1995 to December 2014. We find that the stock market is significantly correlated to policy uncertainty based on the results of the Vector Auto Regression (VAR) and Structural Vector Auto Regression (SVAR) models. In contrast, the results of the Dynamic Conditional Correlation Generalized Multivariate Autoregressive Conditional Heteroscedasticity (DCC-MGARCH) model surprisingly show a low dynamic correlation coefficient between policy uncertainty and market returns, suggesting that the fluctuations of each variable are greatly influenced by their values in the preceding period. Our analysis highlights the understanding of the dynamical relationship between stock market and fiscal and monetary policy.
-
Equation-based model for the stock market
NASA Astrophysics Data System (ADS)
Xavier, Paloma O. C.; Atman, A. P. F.; de Magalhães, A. R. Bosco
2017-09-01
We propose a stock market model which is investigated in the forms of difference and differential equations whose variables correspond to the demand or supply of each agent and to the price. In the model, agents are driven by the behavior of their trust contact network as well by fundamental analysis. By means of the deterministic version of the model, the connection between such drive mechanisms and the price is analyzed: imitation behavior promotes market instability, finitude of resources is associated to stock index stability, and high sensitivity to the fair price provokes price oscillations. Long-range correlations in the price temporal series and heavy-tailed distribution of returns are observed for the version of the model which considers different proposals for stochasticity of microeconomic and macroeconomic origins.
-
Federal Register 2010, 2011, 2012, 2013, 2014
2010-10-20
... American Stock Exchange LLC, BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., International Securities Exchange, LLC, The NASDAQ Stock Market LLC, National...
-
Real-Time Diffusion of Information on Twitter and the Financial Markets.
Tafti, Ali; Zotti, Ryan; Jank, Wolfgang
2016-01-01
Do spikes in Twitter chatter about a firm precede unusual stock market trading activity for that firm? If so, Twitter activity may provide useful information about impending financial market activity in real-time. We study the real-time relationship between chatter on Twitter and the stock trading volume of 96 firms listed on the Nasdaq 100, during 193 days of trading in the period from May 21, 2012 to September 18, 2013. We identify observations featuring firm-specific spikes in Twitter activity, and randomly assign each observation to a ten-minute increment matching on the firm and a number of repeating time indicators. We examine the extent that unusual levels of chatter on Twitter about a firm portend an oncoming surge of trading of its stock within the hour, over and above what would normally be expected for the stock for that time of day and day of week. We also compare the findings from our explanatory model to the predictive power of Tweets. Although we find a compelling and potentially informative real-time relationship between Twitter activity and trading volume, our forecasting exercise highlights how difficult it can be to make use of this information for monetary gain.
-
Prediction of stock market characteristics using neural networks
NASA Astrophysics Data System (ADS)
Pandya, Abhijit S.; Kondo, Tadashi; Shah, Trupti U.; Gandhi, Viraf R.
1999-03-01
International stocks trading, currency and derivative contracts play an increasingly important role for many investors. Neural network is playing a dominant role in predicting the trends in stock markets and in currency speculation. In most economic applications, the success rate using neural networks is limited to 70 - 80%. By means of the new approach of GMDH (Group Method of Data Handling) neural network predictions can be improved further by 10 - 15%. It was observed in our study, that using GMDH for short, noisy or inaccurate data sample resulted in the best-simplified model. In the GMDH model accuracy of prediction is higher and the structure is simpler than that of the usual full physical model. As an example, prediction of the activity on the stock exchange in New York was considered. On the basis of observations in the period of Jan '95 to July '98, several variables of the stock market (S&P 500, Small Cap, Dow Jones, etc.) were predicted. A model portfolio using various stocks (Amgen, Merck, Office Depot, etc.) was built and its performance was evaluated based on neural network forecasting of the closing prices. Comparison of results was made with various neural network models such as Multilayer Perceptrons with Back Propagation, and the GMDH neural network. Variations of GMDH were studied and analysis of their performance is reported in the paper.