Market microstructure and electronic trading, Financial Accounting

1. You (Exchange) have just filled an order and notified involved traders of their fills. Next you must tell the world about this trade.

Suppose you flip a coin. You flip a coin every second. Once you flip heads, you (Exchange) send your message ("Trade Done") to your friend (Tape Broadcaster). Your friend flips a coin until heads. Then the message ("Trade Done") is sent to the Tape.

Plot the probability of each number of tails Exchange and Tape Broadcaster get (together) before the message is sent to the Tape. You may simulate the results or find the theoretically correct answer.

2. What economic incentives exist to reduce the time for a message to get sent to the Tape?

3. Apply the models of Chacko, Jurek, and Stafford (2008) - aka Torre (1997) - and Almgren, Thum, Hauptmann, and Li (2005) to estimate the impact of the following trades. Use the parameters on page 1278 (of the Chacko et al. JF article) to estimate the impact in basis points

(bp) for a trade of:

(a) $1MM of a $250MM firm with 5MM shares outstanding? $10MM?

(b) $1MM of a $900MM firm with 50MM shares outstanding? $10MM?

(c) $1MM of a $1.5BB firm with 75MM shares outstanding? $10MM?

(d) $1MM of a $4BB firm with 200MM shares outstanding? $10MM?

(e) $1MM of a $16BB firm with 1BB shares outstanding? $10MM?

You may write on one of two topics. Use full sentences and convincing arguments to express your view. I will grade the essays based on how convincing, polished, and succinct they are. (Forego five fancy phrases when six short words will suffice.)

Agree or disagree with one of these statements. Write two to four pages in 12-point font.

Statement 1: "Market microstructure is the latest fad. The issues we've covered may be relevant now but are strictly mechanical concerns and will be irrelevant in fifty years time."

Statement 2: "For any trading strategy, a good trader must constantly be 'in the market' if she expects to make money. If you are not trading, you are wasting your time; go do something productive."

Posted Date: 2/22/2013 1:54:11 AM | Location : United States







Related Discussions:- Market microstructure and electronic trading, Assignment Help, Ask Question on Market microstructure and electronic trading, Get Answer, Expert's Help, Market microstructure and electronic trading Discussions

Write discussion on Market microstructure and electronic trading
Your posts are moderated
Related Questions
received 16,000 contribution in exchange for common stock

for a typical manufacturing company, the most common critical point for recognizing revenue is the date a an order is recieved b. production is completed c the product is delievere

Pre-acquisition dividends Pre-acquisition dividends may also arise in the following situations; 1 ) Where the holding company acquires the subsidiary company’s shares cum-div

LANDLORD'S RIGHT OF DISTRESS The Landlord's right to distrain for arrears of rent is not lost on the tenant's bankruptcy, but 1) Distress can only be levied after commencement

Heather & Terry have a mortgage on their primary residence of $750,000 and a mortgage on their vacation home of $410,000. In 2013, they incurred $46,400 of mortgage interest expens

Ask questiJohn’s away at the moment, and his email provider has a size limit on the data that can be sent via email. What is a potential solution for John, and name a provider that

SEC reporting implications i) Potentially inaccurate reporting of executive compensation in proxy statements and annual reports ii) Potential violation of securities and Law

1. discuss how VAT system works by using relevant examples. 2. list and explain the VAT supply categories; provide relevant examples of each category. 3. provide a recommendation r

Part I: Wal-Mart Stores Inc.'s income statement and balance sheet are attached. Gather relevant information from the financial statements to calculate the financial ratios, and co

Binary Coded Decimal BCD stands for Binary Coded Decimal. The information given to the computer is stored temporarily before it is processed.  Consider a number 827. The bin