Nasdaq Market Center Systems Description
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DECLARATION in Accordance with Point 18. of the Market Maker
DECLARATION In accordance with point 18. of the Market Maker Agreement concluded by and between Erste Befektetési Zrt. and Budapest Stock Exchange, Erste Befektetési Zrt. hereby declare that the company undertakes the market making of the following securities with the conditions described below: -Erste Arany Turbo Long 001 Warrant (ISIN: AT0000A22LG3; Ticker: EBGOLDTL001) Conditions of the market making hereby undertaken by Erste Befektetési Zrt. Market making period within trading hours: Free trading period Bid-ask spread: Market maker median price +/- 20% Minimum order quantity: 100 pieces Validity date of market maker agreement: By termination of the certificate Date: 09.08.2018 _______________________________________ Erste Befektetési Zrt. DECLARATION In accordance with point 18. of the Market Maker Agreement concluded by and between Erste Befektetési Zrt. and Budapest Stock Exchange, Erste Befektetési Zrt. hereby declare that the company undertakes the market making of the following securities with the conditions described below: -Erste Arany Turbo Long 002 Warrant (ISIN: AT0000A22LH1; Ticker: EBGOLDTL002) Conditions of the market making hereby undertaken by Erste Befektetési Zrt. Market making period within trading hours: Free trading period Bid-ask spread: Market maker median price +/- 20% Minimum order quantity: 100 pieces Validity date of market maker agreement: By termination of the certificate Date: 09.08.2018 _______________________________________ Erste Befektetési Zrt. DECLARATION In accordance with point 18. of the Market Maker Agreement concluded by and between Erste Befektetési Zrt. and Budapest Stock Exchange, Erste Befektetési Zrt. hereby declare that the company undertakes the market making of the following securities with the conditions described below: -Erste Ezüst Turbo Long 001 Warrant (ISIN: AT0000A22LJ7; Ticker: EBSILVTL001) Conditions of the market making hereby undertaken by Erste Befektetési Zrt. -
BROKER‐DEALER MEMBERSHIP APPLICATION The
BROKER‐DEALER MEMBERSHIP APPLICATION The Nasdaq Stock Market (“NQX”), Nasdaq BX (“BX”), Nasdaq PHLX (“PHLX”), Nasdaq ISE (“ISE”), Nasdaq GEMX (“GEMX”), Nasdaq MRX (“MRX”) (Collectively “Nasdaq”) A. Applicant Profile Full legal name of Applicant Organization (must be a registered broker dealer with the Securities and Exchange Commission): Date: CRD No. SEC No. 8‐ Main office address: Type of Main phone: Organization Corporation Partnership LLC Name of individual completing application: Email Address: Phone: Application Type Initial Nasdaq Application Amendment Add Nasdaq affiliated exchange/trading platform Change in business activity Full Membership ‐ Applicant is seeking membership Waive‐In Membership ‐ Applicant must be approved to a Nasdaq affiliated exchange for the first time. Refer to on at least one Nasdaq affiliated exchange or FINRA required supplemental material in Section M NOTE: FINRA members applying to Nasdaq for the first time are eligible to waive‐in on NQX, BX, ISE, GEMX and MRX. Approved members of NQX, BX, PHLX, ISE, GEMX or MRX may be eligible for waive‐in on additional Nasdaq affiliated exchanges. Indicate which Nasdaq SRO(s) Applicant is seeking membership on (check all that apply): The Nasdaq Stock Market Nasdaq BX Nasdaq PHLX ISE Equity Equity Equity GEMX Options Options Options MRX Indicate Nasdaq SRO(s) on which Applicant is an approved member, if applicable: The Nasdaq Stock Market Nasdaq BX Nasdaq PHLX ISE Equity Equity Equity GEMX Options Options Options MRX If Applicant is applying to PHLX, will PHLX be the Designated Examining Authority (“DEA”)? Yes ~ Must provide ALL required supplemental material with this application as outlined in Sections M and N No ~ Provide the SRO assigned as DEA for Applicant Organization ________________________________ Nasdaq Exchange Broker Dealer Membership Application 6/2021 1 | Page B. -
Enterprise License
ENTERPRISE LICENSE OVERVIEW The Enterprise License options may not be available to all firms. Distributors may still be liable for the applicable distributor fees. For some products, there may be a minimum subscription length. Fees outlined below are monthly, and apply per Distributor unless otherwise noted. For additional information, please contact your Account Manager for details. ENTERPRISE LICENSES OFFERED: Enterprise Enterprise Description # Nasdaq U.S. NASDAQ DEPTH [TOTALVIEW/LEVEL 2] DISPLAY PROFESSIONAL AND NON PROFESSIONAL Stock [INTERNAL & EXTERNAL]: Permits Distributor to provide Nasdaq Depth through any electronic system Market 1 approved by Nasdaq to Professional and Non-Professional Subscribers who are natural persons and with whom the broker-dealer has a brokerage relationship. Use of the data obtained through this license by any Professional Subscriber shall be limited to the context of the brokerage relationship between that person and the broker-dealer. A Professional Subscriber who obtains data under this subsection may not use that data within the scope of any professional engagement. A separate enterprise license would be required for each discrete electronic system that is approved by Nasdaq and used by the broker-dealer. In addition to the Enterprise License fee, the applicable subscriber fees still apply. Distributors are exempt from payment of the Enhanced Display Solutions Distributor Fee. Distributors remain liable for the Enhanced Display Solutions (EDS) Subscriber Fees (see www.nasdaqtrader.com for pricing detail). Price: 25,000 USD PER MONTH + Subscriber fees of 60 USD or 9 USD per month for professionals or non-professionals respectively or EDS Subscriber fee for Nasdaq Depth Data U.S. -
Effects of the Limit Order Book on Price Dynamics
Effects of the Limit Order Book on Price Dynamics Tolga Cenesizoglu Georges Dionne Xiaozhou Zhou November 2014 CIRRELT-2014-60 Effects of the Limit Order Book on Price Dynamics Tolga Cenesizoglu1, Georges Dionne1,2,*, Xiaozhou Zhou1,2 1 Department of Finance, HEC Montréal, 3000 Côte-Sainte-Catherine, Montréal, Canada H3T 2A7 2 Interuniversity Research Centre on Enterprise Networks, Logistics and Transportation (CIRRELT) Abstract. In this paper, we analyze whether the state of the limit order book affects future price movements in line with what recent theoretical models predict. We do this in a linear vector autoregressive system which includes midquote return, trade direction and variables that are theoretically motivated and capture different dimensions of the information embedded in the limit order book. We find that different measures of depth and slope of bid and ask sides as well as their ratios cause returns to change in the next transaction period in line with the predictions of Goettler, Parlour, and Rajan (2009) and Kalay and Wohl (2009). Limit order book variables also have significant long term cumulative effects on midquote return, which is stronger and takes longer to be fully realized for variables based on higher levels of the book. In a simple high frequency trading exercise, we show that it is possible in some cases to obtain economic gains from the statistical relation between limit order book variables and midquote return. Keywords. High frequency limit order book, high frequency trading, high frequency transaction price, asset price, midquote return, high frequency return. Results and views expressed in this publication are the sole responsibility of the authors and do not necessarily reflect those of CIRRELT. -
The Time-Varying Liquidity Risk of Value and Growth Stocks
EDHEC-Risk Institute 393-400 promenade des Anglais 06202 Nice Cedex 3 Tel.: +33 (0)4 93 18 32 53 E-mail: [email protected] Web: www.edhec-risk.com The Time-Varying Liquidity Risk of Value and Growth Stocks April 2010 Ferhat Akbas Mays Business School, Texas A&M University, College Station Ekkehart Boehmer Affiliate Professor, EDHEC Business School Egemen Genc Lundquist College of Business, University of Oregon, Eugene Ralitsa Petkova Mays Business School, Texas A&M University, College Station Abstract We study the liquidity exposures of value and growth stocks over business cycles. In the worst times, value stocks have higher liquidity betas than in the best times, while the opposite holds for growth stocks. Small value stocks have higher liquidity exposures than small growth stocks in the worst times. Small growth stocks have higher liquidity exposures than small value stocks in the best times. Our results are consistent with a flight-to-quality explanation for the countercyclical nature of the value premium. Exposure to time-varying liquidity risk captures 35% of the small- stock value premium and 100% of the large-stock value premium. We thank seminar participants at Texas A&M University and the University of Oregon for helpful comments and suggestions. EDHEC is one of the top five business schools in France. Its reputation is built on the high quality of its faculty and the privileged relationship with professionals that the school has cultivated since its establishment in 1906. EDHEC Business School has decided to draw on its extensive knowledge of the professional environment and has therefore focused its research on themes that satisfy the needs of professionals. -
A Primer on U.S. Stock Price Indices
A Primer on U.S. Stock Price Indices he measurement of the “average” price of common stocks is a matter of widespread interest. Investors want to know how “the Tmarket” is doing, and to be able to compare their returns with a meaningful benchmark. Money managers often have their compensation tied to performance, typically measured by comparing their results to a benchmark portfolio, so they and their clients are interested in the benchmark portfolio’s returns. And policymakers want to judge the potential for sudden adjustments in stock prices when differences from “fundamental value” emerge. The most widely quoted stock price index, the Dow Jones Industrial Average, has been supplemented by other popular indices that are constructed in a different way and pose fewer problems as a measure of stock prices. At present, a number of stock price indices are reported by the few companies that we will consider in this paper. Each of these indices is intended to be a benchmark portfolio for a different segment of the universe of common stocks. This paper discusses some of the issues in constructing and interpreting stock price indices. It focuses on the most widely used indices: the Dow Jones Industrial Average, the Stan- dard & Poor’s 500, the Russell 2000, the NASDAQ Composite, and the Wilshire 5000. The first section of this study addresses issues of construction and interpretation of stock price indices. The second section compares the movements of the five indices in the last two decades and investigates the Peter Fortune relationship between the returns on the reported indices and the return on “the market.” Our results suggest that the Dow Jones Industrial Average (Dow 30) The author is a Senior Economist and has inherent problems in its construction. -
Portfolio Management Under Transaction Costs
Portfolio management under transaction costs: Model development and Swedish evidence Umeå School of Business Umeå University SE-901 87 Umeå Sweden Studies in Business Administration, Series B, No. 56. ISSN 0346-8291 ISBN 91-7305-986-2 Print & Media, Umeå University © 2005 Rickard Olsson All rights reserved. Except for the quotation of short passages for the purposes of criticism and review, no part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording, or otherwise, without the prior consent of the author. Portfolio management under transaction costs: Model development and Swedish evidence Rickard Olsson Master of Science Umeå Studies in Business Administration No. 56 Umeå School of Business Umeå University Abstract Portfolio performance evaluations indicate that managed stock portfolios on average underperform relevant benchmarks. Transaction costs arise inevitably when stocks are bought and sold, but the majority of the research on portfolio management does not consider such costs, let alone transaction costs including price impact costs. The conjecture of the thesis is that transaction cost control improves portfolio performance. The research questions addressed are: Do transaction costs matter in portfolio management? and Could transaction cost control improve portfolio performance? The questions are studied within the context of mean-variance (MV) and index fund management. The treatment of transaction costs includes price impact costs and is throughout based on the premises that the trading is uninformed, immediate, and conducted in an open electronic limit order book system. These premises characterize a considerable amount of all trading in stocks. -
DECLARATION in Accordance with Point
DECLARATION In accordance with point 18. of the Market Maker Agreement concluded by and between Erste Befektetési Zrt. and Budapest Stock Exchange, Erste Befektetési Zrt. hereby declare that the company undertakes the market making of the following securities with the conditions described below: -Erste BUX Turbo Long 45 Warrant (ISIN: AT0000A2N9T8; Ticker: EBBUXTL45) Conditions of the market making hereby undertaken by Erste Befektetési Zrt. Market making period within trading hours: Free trading period Bid -ask spread: Market maker median p rice +/ - 20% Minimum order quantity: 100 pieces Validity date of market maker agreement: By termination of the certificate Date: 20.01.2021 _______________________________________ Erste Befektetési Zrt. DECLARATION In accordance with point 18. of the Market Maker Agreement concluded by and between Erste Befektetési Zrt. and Budapest Stock Exchange, Erste Befektetési Zrt. hereby declare that the company undertakes the market making of the following securities with the conditions described below: -Erste BUX Turbo Long 46 Warrant (ISIN: AT0000A2N9U6; Ticker: EBBUXTL46) Conditions of the market making hereby undertaken by Erste Befektetési Zrt. Market making period within trading hours: Free trading period Bid -as k spread: Market maker median price +/ - 20% Minimum order quantity: 100 pieces Validity date of market maker agreement: By termination of the certificate Date: 20.01.2021 _______________________________________ Erste Befektetési Zrt. DECLARATION In accordance with point 18. of the Market Maker Agreement concluded by and between Erste Befektetési Zrt. and Budapest Stock Exchange, Erste Befektetési Zrt. hereby declare that the company undertakes the market making of the following securities with the conditions described below: -Erste BUX Turbo Long 47 Warrant (ISIN: AT0000A2N9V4; Ticker: EBBUXTL47) Conditions of the market making hereby undertaken by Erste Befektetési Zrt. -
The Order Book As a Queueing System: Average Depth and Influence of the Size of Limit Orders Ioane Muni Toke
The order book as a queueing system: average depth and influence of the size of limit orders Ioane Muni Toke To cite this version: Ioane Muni Toke. The order book as a queueing system: average depth and influence of the size of limit orders. Quantitative Finance, Taylor & Francis (Routledge), 2015, 15 (5), pp.795-808. 10.1080/14697688.2014.963654. hal-01006410 HAL Id: hal-01006410 https://hal.archives-ouvertes.fr/hal-01006410 Submitted on 16 Jun 2014 HAL is a multi-disciplinary open access L’archive ouverte pluridisciplinaire HAL, est archive for the deposit and dissemination of sci- destinée au dépôt et à la diffusion de documents entific research documents, whether they are pub- scientifiques de niveau recherche, publiés ou non, lished or not. The documents may come from émanant des établissements d’enseignement et de teaching and research institutions in France or recherche français ou étrangers, des laboratoires abroad, or from public or private research centers. publics ou privés. The order book as a queueing system: average depth and influence of the size of limit orders Ioane Muni Toke ERIM, University of New Caledonia BP R4 98851 Noumea CEDEX, New Caledonia [email protected] Applied Maths Laboratory, Chair of Quantitative Finance Ecole Centrale Paris Grande Voie des Vignes, 92290 Chˆatenay-Malabry, France [email protected] Abstract In this paper, we study the analytical properties of a one-side order book model in which the flows of limit and market orders are Poisson processes and the distribution of lifetimes of cancelled orders is exponen- tial. -
Informed Traders and Limit Order Markets$
ARTICLE IN PRESS Journal of Financial Economics 93 (2009) 67–87 Contents lists available at ScienceDirect Journal of Financial Economics journal homepage: www.elsevier.com/locate/jfec Informed traders and limit order markets$ Ronald L. Goettler a,Ã, Christine A. Parlour b, Uday Rajan c a Booth School of Business, University of Chicago, USA b Haas School of Business, University of California, Berkeley, USA c Ross School of Business, University of Michigan, Ann Arbor, USA article info abstract Article history: We consider a dynamic limit order market in which traders optimally choose whether to Received 1 January 2008 acquire information about the asset and the type of order to submit. We numerically Received in revised form solve for the equilibrium and demonstrate that the market is a ‘‘volatility multiplier’’: 17 June 2008 prices are more volatile than the fundamental value of the asset. This effect increases Accepted 6 August 2008 when the fundamental value has high volatility and with asymmetric information Available online 5 April 2009 across traders. Changes in the microstructure noise are negatively correlated with JEL classification: changes in the estimated fundamental value, implying that asset betas estimated from G14 high-frequency data will be incorrect. C63 & 2009 Published by Elsevier B.V. C73 D82 Keywords: Limit order market Informed traders Endogenous information acquisition Computational game 1. Introduction Understanding dynamic order choice under asym- metric information is important because rational agents Many financial markets around the world, including use different trading strategies for different assets. The the Paris, Stockholm, Shanghai, Tokyo, and Toronto stock characteristics of an asset (such as the volatility of exchanges, are organized as limit order books. -
Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes
Federal Reserve Bank of New York Staff Reports Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes Michel van der Wel Albert J. Menkveld Asani Sarkar Staff Report no. 395 September 2009 This paper presents preliminary findings and is being distributed to economists and other interested readers solely to stimulate discussion and elicit comments. The views expressed in the paper are those of the authors and are not necessarily reflective of views at the Federal Reserve Bank of New York or the Federal Reserve System. Any errors or omissions are the responsibility of the authors. Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes Michel van der Wel, Albert J. Menkveld, and Asani Sarkar Federal Reserve Bank of New York Staff Reports, no. 395 September 2009 JEL classification: G10, G14, G12, G19 Abstract We develop a new likelihood-based approach to signing trades in the absence of quotes. This approach is equally efficient as the existing Markov-chain Monte Carlo methods, but more than ten times faster. It can address the occurrence of multiple trades at the same time and allows for analysis of settings in which trade times are observed with noise. We apply this method to a high-frequency data set of thirty-year U.S. Treasury futures to investigate the role of the market maker. Most theory characterizes the market maker as an uninformed, passive supplier of liquidity. Our findings suggest, however, that some market makers actively demand liquidity for a substantial part of the day and that they are informed speculators. -
Single Stock Dividend Futures
EURONEXT DERIVATIVES SINGLE STOCK DIVIDEND FUTURES What are Single Stock Why trade Single Stock Who are Single Stock Dividend Futures? Dividend futures? Dividend Futures for? Single Stock Dividend Futures are Access new trading opportunities Investors who want to hedge risk exchange-traded derivatives contracts by taking long or short positions associated with dividend exposure, that allow investors to take positions on Single Stock Dividend Futures, diversify their trading portfolio and on dividend payments. or trade them against the dividend reduce its volatility exposure. index futures (CAC 40® or AEX Index®). Market Makers Euronext’s new Single Stock Dividend Futures complement its existing dividend index future offering (CAC 40 Dividend BNP Paribas Index Future and AEX Dividend Index Future), giving market Yanis Escudero participants additional investment strategies. [email protected] +44 (0) 207 595 1691 Dividends are a key component for equity and equity derivatives holders and are mostly used as a hedging tool. However, dividends are also becoming an asset Gabriel Messika class of their own: a dividend investment can be seen as corresponding to an [email protected] equity investment, while often proving more resilient and less volatile than stocks. +44 (0) 207 595 1819 Why trade Single Stock Dividend Futures? Nicolas Certner Benefit from an efficient hedging tool helping you to manage your [email protected] dividend exposure +44 (0) 207 595 595 1342 Diversify your portfolio by investing