Staff Report on Algorithmic Trading in U.S. Capital Markets
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The Economics of Commodity Market Manipulation: a Survey
The Economics of Commodity Market Manipulation: A Survey Craig Pirrong Bauer College of Business University of Houston February 11, 2017 1 Introduction The subject of market manipulation has bedeviled commodity markets since the dawn of futures trading. Allegations of manipulation have been extremely commonplace, but just what constitutes manipulation, and how charges of manipulation can be proven, have been the subject of intense controversy. The remark of a waggish cotton trader in testimony before a Senate Com- mittee in this regard is revealing: “the word manipulation . initsuse isso broad as to include any operation of the cotton market that does not suit the gentleman who is speaking at the moment.” The Seventh Circuit Court of Appeals echoed this sentiment, though less mordantly, in its decision in the case Cargill v. Hardin: “The methods and techniques of manipulation are limited only by the ingenuity of man.” Concerns about manipulation have driven the regulation of commodity markets: starting with the Grain Fu- tures Act of 1922, United States law has proscribed manipulation, including 1 specifically “corners” and “squeezes.” Exchanges have an affirmative duty to police manipulation, and in the United States, the Commodity Futures Trad- ing Commission and the Department of Justice can, and have exercised, the power to prosecute alleged manipulators. Nonetheless, manipulation does occur. In recent years, there have been allegations that manipulations have occurred in, inter alia, soybeans (1989), copper (1995), gold (2004-2014) nat- ural gas (2006), silver (1998, 2007-2014), refined petroleum products (2008), cocoa (2010), and cotton (2011). Manipulation is therefore both a very old problem, and a continuing one. -
The Future of Computer Trading in Financial Markets an International Perspective
The Future of Computer Trading in Financial Markets An International Perspective FINAL PROJECT REPORT This Report should be cited as: Foresight: The Future of Computer Trading in Financial Markets (2012) Final Project Report The Government Office for Science, London The Future of Computer Trading in Financial Markets An International Perspective This Report is intended for: Policy makers, legislators, regulators and a wide range of professionals and researchers whose interest relate to computer trading within financial markets. This Report focuses on computer trading from an international perspective, and is not limited to one particular market. Foreword Well functioning financial markets are vital for everyone. They support businesses and growth across the world. They provide important services for investors, from large pension funds to the smallest investors. And they can even affect the long-term security of entire countries. Financial markets are evolving ever faster through interacting forces such as globalisation, changes in geopolitics, competition, evolving regulation and demographic shifts. However, the development of new technology is arguably driving the fastest changes. Technological developments are undoubtedly fuelling many new products and services, and are contributing to the dynamism of financial markets. In particular, high frequency computer-based trading (HFT) has grown in recent years to represent about 30% of equity trading in the UK and possible over 60% in the USA. HFT has many proponents. Its roll-out is contributing to fundamental shifts in market structures being seen across the world and, in turn, these are significantly affecting the fortunes of many market participants. But the relentless rise of HFT and algorithmic trading (AT) has also attracted considerable controversy and opposition. -
Annual Report 2017
20Annual Remuneration Report Remuneration | Report Financial Report 17Corporate Governance Report Remuneration Report Corporate Governance Report Governance Corporate | We are pioneers and game- changers, stimulated by the endless possibilities of re- en gineering banking. Financial Report | Constant innovation is our key to success. 2017 was especially marked by the implementation of cryptocurrency trading. Swissquote Annual Report 2017 Annual Report 2017 Content 02 Key figures 04 Swissquote share 06 Report to the shareholders 09 Financial Report 10 Consolidated financial statements 108 Report of the statutory auditor on the consolidated financial statements 113 Statutory financial statements 121 Proposed appropriation of retained earnings 122 Report of the statutory auditor on the financial statements 125 Corporate Governance Report 153 Remuneration Report 174 Report of the statutory auditor on the remuneration report 176 Global presence services/global offices The Swiss leader in online banking www.swissquote.com Annual Report 2017 1 Key figures 2017 2016 2015 2014 2013 Number of accounts 309,286 302,775 231,327 221,922 216,357 % change 2.2% 30.9% 4.2% 2.6% 7.3% Assets under custody in CHFm 1 23,240 17,864 11,992 11,562 10,083 % change 30.1% 49.0% 3.7% 14.7% 17.5% Client assets in CHFm 2 24,112 18,557 11,992 11,562 10,083 % change 29.9% 54.7% 3.7% 14.7% 17.5% Employees 593 550 524 532 507 % change 7.8% 5.0% –1.5% 4.9% 37.8% 1 Including cash deposited by clients 2 Including assets that are not held for custody purposes but for which the technology of the Group gives clients access to the stock market and/or that are managed by Swissquote (Robo-Advisory technology). -
Companies That Made a Full-Time O Er to One Or More MSOR/IE Students
Companies that made a full-time oer to one or more MSOR/IE students who graduated in October 2019 or February 2020 26% Data Science & Business Analytics Firms include: Amazon, Wayfair, 360i, AccrueMe LLC, Amadeus, American Express, Amherst Holdings, Aretove Technologies, Barclays, BNP Paribas, Capgemini, Cubesmart, DIA Associates, Expedia, Goldenberry, LLC, Intellinum Analytics Inc, Jellysmack, Kalo Inc, LGO Markets, Ly, Mediacom, NBCUniversal Media, LLC, Neuberger Berman, PepsiCo, Amazon, Robinhood, Shareablee, State Administration of Foreign Exchange, Swiss Re, Two Sigma, Whiterock AI Titles include: Big Data Analyst, Business Analyst, Business Intelligence Analyst, Credit Risk Analyst, Data Analyst, Data Engineer, Data Scientist, Insight Analyst, Investment Analytics Analyst, Quant Researcher/Developer, Quantitative Analytics Associate, Research Analyst and Solutions Engineer 20% Quantitative Research Firms include: Citi, Goldman Sachs, Aflac Global Investments, American Express, Arrowstreet Capital, CME Group, Credit Agricole, Credit Suisse, Deutsche Bank, Global A.I., Jp Morgan Chase, Krane Funds Advisors, New York International Capital, PingAn Technology Inc., Puissance Capital, Rayens Capital, SG Americas Securities LLC, Shanghai Kingstar Soware Technology Co., Ltd., Vidrio FInancial, Wolfe Research Titles include: Analyst, Applied Quantitative Research & Development, Associate Vice President, CFR Senior Analyst, Consumer & Investment Management Senior Analyst, Data Modeling Analyst, FICC Strategic Analyst, Investment Analyst, Markets Quantitative Analyst, Post Trade & Optimization Services Quant Risk Manager, Quantitative Analyst, Quantitative Associate, Quantitative Strategist, Quantitative Strategist Associate, Quantitative Strategy & Modeling, Risk Appetite Model & Methodology Analyst, Securitization Quant, Sell Side M&A Investment Banking Analyst and Treasury/CIO Senior Associate 19% Engineering & Technology Firms include: Alibaba, Amazon, Anheuser-Busch InBev, AntX LLC, Baco SA,Beijing Huahui Shengshi Energy Technology Co. -
Capital Markets
U.S. DEPARTMENT OF THE TREASURY A Financial System That Creates Economic Opportunities Capital Markets OCTOBER 2017 U.S. DEPARTMENT OF THE TREASURY A Financial System That Creates Economic Opportunities Capital Markets Report to President Donald J. Trump Executive Order 13772 on Core Principles for Regulating the United States Financial System Steven T. Mnuchin Secretary Craig S. Phillips Counselor to the Secretary Staff Acknowledgments Secretary Mnuchin and Counselor Phillips would like to thank Treasury staff members for their contributions to this report. The staff’s work on the report was led by Brian Smith and Amyn Moolji, and included contributions from Chloe Cabot, John Dolan, Rebekah Goshorn, Alexander Jackson, W. Moses Kim, John McGrail, Mark Nelson, Peter Nickoloff, Bill Pelton, Fred Pietrangeli, Frank Ragusa, Jessica Renier, Lori Santamorena, Christopher Siderys, James Sonne, Nicholas Steele, Mark Uyeda, and Darren Vieira. iii A Financial System That Creates Economic Opportunities • Capital Markets Table of Contents Executive Summary 1 Introduction 3 Scope of This Report 3 Review of the Process for This Report 4 The U.S. Capital Markets 4 Summary of Issues and Recommendations 6 Capital Markets Overview 11 Introduction 13 Key Asset Classes 13 Key Regulators 18 Access to Capital 19 Overview and Regulatory Landscape 21 Issues and Recommendations 25 Equity Market Structure 47 Overview and Regulatory Landscape 49 Issues and Recommendations 59 The Treasury Market 69 Overview and Regulatory Landscape 71 Issues and Recommendations 79 -
Pre-Arranged Trading in the Securities Market 17 3.3
Page 1 of 1 23 May 2018 Circular No. DC/AM - 29 of 2018 SGX LAUNCHES SERIES 2 OF TRADE SURVEILLANCE HANDBOOK The inaugural Trade Surveillance Handbook was published in September 2016 as part of SGX’s collaborative efforts with Members to combat potential irregular trading activities, and enhance surveillance tools of Members. To build on these efforts, SGX has developed a second series of the Trade Surveillance Handbook (“Handbook 2”) with the aim to promulgate fair trading practices and uphold market integrity in our marketplace. Trade Surveillance Handbook – Series Two Handbook 2, featuring Wash trades, Order Management during Opening Routine and Momentum Ignition, seeks to provide Members with a better understanding of SGX’s expectations in relation to these trading practices in our derivatives markets. The Handbook also includes a set of surveillance guidelines and markers which Members may incorporate in detecting and examining these trading malpractices. This Handbook further provides as illustration, two cases heard before the independent Disciplinary Committee so that Members can appreciate the assessments and considerations of SGX and the Disciplinary Committee. The third case study sets out guidelines for Members and Trading Representative to consider in accepting and executing customers’ orders in the securities market. The Trade Surveillance Handbook 2 is attached in the Appendix. SGX to Continue Collaboration with Members and Stakeholders SGX will continue to work closely with Members and stakeholders to uphold robust compliance and surveillance standards, and encourage early disruption of potential irregular trading activities. All these are crucial to promoting greater investor confidence in our marketplace. Your feedback and questions on the Handbook are most welcome. -
Algorithmic Approach to Options Trading
International Research Journal of Engineering and Technology (IRJET) e-ISSN: 2395-0056 Volume: 08 Issue: 05 | May 2021 www.irjet.net p-ISSN: 2395-0072 Algorithmic Approach to Options Trading Shubham Horambe1, Ketan Khanolkar1, Dhairya Dixit1, Huzaifa Shaikh1, Prof. Manasi U. Kulkarni2 1B. Tech Student, Dept of Computer Engineering and IT, VJTI College, Mumbai, Maharashtra, India 2 Assistant Professor, Dept of Computer Engineering and IT, VJTI College, Mumbai, Maharashtra, India ----------------------------------------------------------------------***--------------------------------------------------------------------- Abstract - Majority of the traders lose money whilst trading sitting in front of the screen for hours. Due to this continuous in options owing to market speculation, emotional trading and monitoring requirement, the performance of Manual Trading lack of risk management. The purpose of this research paper is is limited to the amount of time of the day the trader can to introduce an automated way of trading in options in order dedicate to trading. Other than this, Manual Trading also to tackle these problems. To achieve this, we have adopted suffers from time delays, which is the ability to execute some basic option strategies namely Covered Call, Protective trades in a small-time window. Also, for predicting Put and Covered Strangle. These strategies have been tested unprecedented non-random changes that take place in trade over a period of 5 years (2015-2019) for a set of stocks in the prices, a trader must delve into and analyze more and more U.S options market. information which is more powerful than information available on open-sources like news platforms. This is very Key Words: Options, Algorithmic Trading, Call Option, Put difficult to do for humans, as unlike computers, we can Option. -
Trading Services Price List
Trading Services Price List (On-Exchange and OTC) Effective 01st August 2016 Trading Services Price List Order book business All order and quote charges Order management charge Order Entry Non-persistent orders 1 1p All other orders Free Order and quote management surcharge 2 Each event High usage surcharge 5p High usage surcharge for qualifying order events in Exchange Traded Funds 2 1.25p (ETFs) or Exchange Traded Products (ETPs) Quote management charge (per side) Quote entry Securitised Derivatives 0.28p* All other securities Free * Monthly fee cap of £15,000. 2 Trading Services Price List Exchange charge 3 Equities Standard Value Traded Scheme 4 for Equities Charge First £2.5bn of orders executed 0.45bp* Next £2.5bn of orders executed 0.40bp* Next £5bn of orders executed 0.30bp* All subsequent value of orders executed 0.20bp* Liquidity Provider Scheme for FTSE 350 securities 5 Value of orders passively executed that qualify for the scheme Free Monthly fee for inclusion of each non-member firm as a Nominated Client £2,500 Value of all Nominated Client orders in FTSE 350 securities executed that do not qualify for the scheme 0.45bp* Aggressive executions qualifying under Liquidity Taker Scheme Packages 6 for Equities Package 1 - Monthly fee £40,000*** Value of orders executed 0.15bp** Package 2 - Monthly fee £4,000 Value of orders executed 0.28bp* Private Client Broker Order Book Trading Scheme 8 Value of orders executed in first 6 months from joining scheme Free Value of orders executed thereafter 0.10bp* Smaller Company Registered Market Maker 9 Value of orders executed 0.20bp* Hidden & non-displayed portion of Icebergs 10 Additional Charge Premium on the value executed of orders that are either hidden or the persistent non-displayed portion of an 0.25bp Iceberg * Subject to a minimum charge of 10p per order executed. -
Regulatory Framework of Pre and Post Trading Transparency
Indian Journal of Fundamental and Applied Life Sciences ISSN: 2231– 6345 (Online) An Open Access, Online International Journal Available at www.cibtech.org/sp.ed/jls/2015/02/jls.htm 2015 Vol. 5 (S2), pp. 81-92/Sarvestani et al. Research Article REGULATORY FRAMEWORK OF PRE AND POST TRADING TRANSPARENCY IN THE TEHRAN STOCK EXCHANGE Hosein Hasanzadeh Sarvestani1, Seeyd Abbas Moosavian2 and Hashem Nikoumaram3 1Department of Financial Management, Science and Research Branch, Islamic Azad University, Tehran, Iran 2Islamic Research Institute for Culture and Thought, Qom, Iran 3Science and Research Branch, Islamic Azad University, Tehran, Iran *Author for Correspondence ABSTRACT Information in securities markets plays central role. The issue of market transparency refers to the clarity with which market participants (and the public at large) can perceive the process of securities trading. In addition to helping investors make better decisions, transparency increases confidence in the fairness of the markets. Thus, regulators should aim to ensure that markets are fair, efficient and transparent and investors are given fair access to market information. In this study, we categorize portions of rules and regulations that were relevant to market transparency and after difining the association between the main categories; we present a regulatory framework for pre-post trading transparency. The main categories of regulatory framework are the dissemination of pre and post transactions information, prohibition of inside information abuse, prohibition of market manipulation, recording, maintenance and reporting documents and information by financial institutions, exchanges and self-regulatory organization, trader's information about procedures and regulation of stocks trading and violations and punishments. We explain the effects of these categories on the market transparency and conclude that the regulatory framework can be used by researchers and SEO for future researches and weaknesses amendment. -
Regulatory Notice 21-03
Regulatory Notice 21-03 Fraud Prevention February 10, 2021 FINRA Urges Firms to Review Their Policies and Notice Type Procedures Relating to Red Flags of Potential Securities 0 Special Alert Fraud Involving Low-Priced Securities Suggested Routing Summary 0 Anti-Money Laundering 0 Compliance Low-priced securities1 tend to be volatile and trade in low volumes. It may be difficult to find accurate information about them. There is a long history of 0 Financial Crimes bad actors exploiting these features to engage in fraudulent manipulations 0 Fraud of low-priced securities. Frequently, these actors take advantage of trends 0 Internal Audit and major events—such as the growth in cannabis-related businesses or the 0 Legal ongoing COVID-19 pandemic—to perpetrate the fraud.2 0 Operations FINRA has observed potential misrepresentations about low-priced securities 0 Risk issuers’ involvement with COVID-19 related products or services, such as 0 Senior Management vaccines, test kits, personal protective equipment and hand sanitizers. These misrepresentations appear to have been part of potential pump-and-dump Key Topics or market manipulation schemes that target unsuspecting investors.3 These 0 COVID-19-related manipulations are the most recent manifestation of this Anti-Money Laundering type of fraud. 0 Fraud 0 Low-Priced Securities This Notice provides information that may help FINRA member firms 0 Trading that engage in low-priced securities business assess and, as appropriate, strengthen their controls to identify and mitigate their risk, and the risk to their customers, including specified adults and seniors,4 of becoming involved Referenced Rules & Notices in activities related to fraud involving low-priced securities. -
Theoretical and Practical Aspects of Algorithmic Trading Dissertation Dipl
Theoretical and Practical Aspects of Algorithmic Trading Zur Erlangung des akademischen Grades eines Doktors der Wirtschaftswissenschaften (Dr. rer. pol.) von der Fakult¨at fuer Wirtschaftwissenschaften des Karlsruher Instituts fuer Technologie genehmigte Dissertation von Dipl.-Phys. Jan Frankle¨ Tag der m¨undlichen Pr¨ufung: ..........................07.12.2010 Referent: .......................................Prof. Dr. S.T. Rachev Korreferent: ......................................Prof. Dr. M. Feindt Erkl¨arung Ich versichere wahrheitsgem¨aß, die Dissertation bis auf die in der Abhandlung angegebene Hilfe selbst¨andig angefertigt, alle benutzten Hilfsmittel vollst¨andig und genau angegeben und genau kenntlich gemacht zu haben, was aus Arbeiten anderer und aus eigenen Ver¨offentlichungen unver¨andert oder mit Ab¨anderungen entnommen wurde. 2 Contents 1 Introduction 7 1.1 Objective ................................. 7 1.2 Approach ................................. 8 1.3 Outline................................... 9 I Theoretical Background 11 2 Mathematical Methods 12 2.1 MaximumLikelihood ........................... 12 2.1.1 PrincipleoftheMLMethod . 12 2.1.2 ErrorEstimation ......................... 13 2.2 Singular-ValueDecomposition . 14 2.2.1 Theorem.............................. 14 2.2.2 Low-rankApproximation. 15 II Algorthmic Trading 17 3 Algorithmic Trading 18 3 3.1 ChancesandChallenges . 18 3.2 ComponentsofanAutomatedTradingSystem . 19 4 Market Microstructure 22 4.1 NatureoftheMarket........................... 23 4.2 Continuous Trading -
Phi Beta Kappa Number
Phi Beta Kappa Number ~ DECEMRER, 1918 I 3 --/ Sigtna Kappa Triangle VOL. XIII DECEMBER, 1918 NO. 1 ... , ~' • 'Ev KTJP p.ta ooo~.. OFFICIAL PUBLICATION OF SIGMA KAPPA SORORITY PHI BETA KAPPA NUMBER GEORGE BANTA, Official Printer and Publisher 450 to 454 Ahnaip St., Menasha, Wlsconein. TRIANGLE DIRECTORY Editor-in-chief MRS. FRANCIS MARSHALL WIGMORE c!o The Orland Register, Orland, Cal. Chapter Editor FRITZI NEUMANN 701 A St. S. E., Washington, D. C. Alumnm Editor FLORENCE SARGENT CARLL South China, Maine . Exchange Editor MABEL GERTRUDE MATTOON 127 N. Malabar St., Huntington Park, Cal. Contributing Editor GRACE COBURN SMITH 2137 Bancroft St., Washington, D. C. Circulation Manager HATTIE MAY BAKER 24 Sunset Road, West Somerville, Mass. All communications r egarding subscriptions should be sent direct to Miss Baker. SIGMA KAPPA TRIANGLE is issued m December, March, June, and September. All chapters, active and alumnre, must send all manuscript to their respective editors (at the addresses given above) on or before the Fifteenth of October, J anuary, April, and July. Price $1.25 per annum. Single copies 35 cents. Entered as second-cia s matter October 15, 1910, at the postoffice at Menasha, Wis., under the act of March 3, 1879. Acceptance for mailing at special rate of postage provided f or in section 1103, Act of October 3, 1917, authorized, .July 31, 1918. SIGMA KAPPA SORORITY Founded at Colby College in 1874 FOUNDERS MRS. L. D. CARVER, nee Mary Caffrey Lowe, 26 Gurney St., Cam bridge, Mass. ELIZABETH GORHAM HOAG (deceased). MRS. J. B. PIERCE, nee Ida M. Fuller, 201 Linwood Blvd., Kansas City, Mo.