Evidence from the Toronto Stock Exchange
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Revealing High-Frequency Trading Provision of Liquidity With
Revealing High-Frequency Trading Provision of Liquidity with Visualization Michael Hirsch Dianne Cook Monash University Monash University Wellington Rd, Clayton VIC 3800, Australia Wellington Rd, Clayton VIC 3800 Australia [email protected] [email protected] Paul Lajbcygier Rob Hyndman Monash University Monash University Wellington Rd, Clayton VIC 3800, Australia Wellington Rd, Clayton VIC 3800 Australia [email protected] [email protected] ABSTRACT 1. INTRODUCTION Liquidity is crucial for successful financial markets. It ensures that all investors are able to buy and sell assets quickly at a fair price. This paper describes a visual exploration of the liquidity provision High Frequency Traders (HFTs) utilize sophisticated algorithms by high frequency traders (HFTs) on financial exchanges. operating with extreme speed and are frequently cited as liquidity Financial exchanges have morphed from ‘open outcry’ pits, providers. The objective of this paper is to investigate the liquidity physically populated by traders shouting orders to each other, to provision of a number of HFTs to determine their effects on their current form comprising warehouses of networked computer aggregate marketplace liquidity. We consider a large data set servers, silently matching orders generated by different traders’ collected from the Australian Securities Exchange throughout computer algorithms. These fast electronic financial exchanges 2013, providing a near complete picture of all trading activity. have transformed the business of trading -
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. -
Appendix F. List of Questionnaires and Record Books, with Selected Facsimiles
Appendix F. List of Questionnaires and Record Books, With Selected Facsimiles Page Page General Forms Census of Construction Industries NC-9901 Report of Organization ---------------------- 2 CC-1509 Building Construction—General NC-9926 Classification Report ------------------------ 5 Contractors and Operative Builders ----------------102 NC-9923 General Schedule --------------------------- 6 CC-1609 Heavy Construction Other Than Building Census of Retail Trade Construction—Contractors --------------------------106 CB-5202 Paint, Glass, Wallpaper --------------------- 8 CC-1729 Painting and Paper Hanging Special Trade Contractors ----------------------------------- 110 CB-5302 General Merchandise------------------------ 11 Census of Manufactures CB-5400 Food ------------------------------------------ 15 MA-1000(L) 1992 Annual Survey of Manufactures--- 114 CB-5504 Gasoline Service Stations------------------- 19 MC-2002 Meat Processing Plants--------------------- 118 Census of Wholesale Trade MC-2004 Dairy Products-------------------------------127 CB-5001 Short Form ----------------------------------- 23 Census of Mineral Industries CB-5012 Motor Vehicles ------------------------------- 25 MC-1001 Iron, Ferroalloy, Uranium, and CB-5013 Motor Vehicles Parts and Supplies --------- 29 Miscellaneous Metal Ores --------------------------138 CB-5099 Miscellaneous Durable Goods -------------- 33 MC-1301 Oil and Gas Field Operations --------------146 Census of Service Industries MC-1401 Stone, Sand, and Gravel -------------------153 CB-7001 Hotels -
Two Market Models Powered by One Cutting Edge Technology
Two Market Models Powered by One Cutting Edge Technology NYSE Amex Options NYSE Arca Options CONTENTS 3 US Options Market 3 US Options Market Structure 4 Traded Volume and Open Interest 4 Most Actively Traded Issues 4 Market Participation 5 Attractive US Options Dual Market Structure 5 NYSE Arca & NYSE Amex Options Private Routing 6-7 NYSE Arca Options - Market Structure - Trading - Market Making - Risk Mitigation - Trading Permits (OTPs) - Fee Schedule 8-10 NYSE Amex Options - Market Structure - Trading - Market Making - Risk Mitigation - Trading Permits (ATPs) - Fee Schedule - Marketing Charge 10 Membership Forms US Options Market The twelve options exchanges: NYSE Arca Options offers a price-time priority trading model and The US Options market is one of the largest, most liquid and operates a hybrid trading platform that combines a state-of-the- fastest growing derivatives markets in the world. It includes art electronic trading system, together with a highly effective options on individual stocks, indices and structured products open-outcry trading floor in San Francisco, CA such as Exchange Traded Funds (ETFs). The US Options market therefore presents a tremendous opportunity for derivatives NYSE Amex Options offers a customer priority trading model traders. and operates a hybrid trading platform that combines an Key features include : electronic trading system, supported by NYSE Universal Trading Twelve US Options exchanges Platform technology, along with a robust open-outcry trading floor at 11 Wall Street in New York, NY Over 4.0 billion contracts traded on the exchanges in 2012 BATS Options offers a price-time priority trading model and Over 15 million contracts traded on average operates a fully electronic trading platform per day (ADV) in 2012 The Boston Options Exchange (BOX) operates a fully electronic Over 3,900 listed equity and index based options market The Penny Pilot Program was approved by the SEC in January The Chicago Board of Options Exchange (CBOE), launched in 2007. -
United States
IMF Country Report No. 15/91 UNITED STATES FINANCIAL SECTOR ASSESSMENT PROGRAM April 2015 DETAILED ASSESSMENT OF IMPLEMENTATION ON THE IOSCO OBJECTIVES AND PRINCIPLES OF SECURITIES REGULATION This Detailed Assessment of Implementation on the IOSCO Objectives and Principles of Securities Regulation on the United States was prepared by a staff team of the International Monetary Fund. It is based on the information available at the time it was completed in March 2015. Copies of this report are available to the public from International Monetary Fund Publication Services 700 19th Street, N.W. Washington, D.C. 20431 Telephone: (202) 623-7430 Telefax: (202) 623-7201 E-mail: [email protected] Internet: http://www.imf.org Price: $18.00 a copy International Monetary Fund Washington, D.C. © 2015 International Monetary Fund UNITED STATES DETAILED ASSESSMENT OF March 2015 IMPLEMENTATION IOSCO OBJECTIVES AND PRINCIPLES OF SECURITIES REGULATION Prepared By This Detailed Assessment Report was prepared in the Monetary and Capital context of an IMF Financial Sector Assessment Markets Department Program (FSAP) mission in the United States during October-November 2014, led by Aditya Narain, IMF and overseen by the Monetary and Capital Markets Department, IMF. Further information on the FSAP program can be found at http://www.imf.org/external/np/fsap/fssa.aspx. UNITED STATES CONTENTS GLOSSARY _________________________________________________________________________________________ 3 EXECUTIVE SUMMARY ___________________________________________________________________________ -
Notice of Filing of Proposed Rule Change to Modify Phlx Options 8, Section 26, “Trading Halts, Business Continuity and Disaster Recovery”
SECURITIES AND EXCHANGE COMMISSION (Release No. 34-90880; File No. SR-Phlx-2021-03) January 8, 2021 Self-Regulatory Organizations; Nasdaq PHLX LLC; Notice of Filing of Proposed Rule Change to Modify Phlx Options 8, Section 26, “Trading Halts, Business Continuity and Disaster Recovery” Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (“Act”)1, and Rule 19b-4 thereunder,2 notice is hereby given that on January 7, 2021 Nasdaq PHLX LLC (“Phlx” or “Exchange”) filed with the Securities and Exchange Commission (“SEC” or “Commission”) the 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 interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to modify Phlx Options 8, Section 26, “Trading Halts, Business Continuity and Disaster Recovery” to permit a Virtual Trading Crowd in the event that the Trading Floor is unavailable. The text of the proposed rule change is available on the Exchange’s Website at https://listingcenter.nasdaq.com/rulebook/phlx/rules, at the principal office of the Exchange, and at the Commission’s Public Reference Room. II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the Exchange included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the 1 15 U.S.C. -
Providing the Regulatory Framework for Fair, Efficient and Dynamic European Securities Markets
ABOUT CEPS Founded in 1983, the Centre for European Policy Studies is an independent policy research institute dedicated to producing sound policy research leading to constructive solutions to the challenges fac- Competition, ing Europe today. Funding is obtained from membership fees, contributions from official institutions (European Commission, other international and multilateral institutions, and national bodies), foun- dation grants, project research, conferences fees and publication sales. GOALS •To achieve high standards of academic excellence and maintain unqualified independence. Fragmentation •To provide a forum for discussion among all stakeholders in the European policy process. •To build collaborative networks of researchers, policy-makers and business across the whole of Europe. •To disseminate our findings and views through a regular flow of publications and public events. ASSETS AND ACHIEVEMENTS • Complete independence to set its own priorities and freedom from any outside influence. and Transparency • Authoritative research by an international staff with a demonstrated capability to analyse policy ques- tions and anticipate trends well before they become topics of general public discussion. • Formation of seven different research networks, comprising some 140 research institutes from throughout Europe and beyond, to complement and consolidate our research expertise and to great- Providing the Regulatory Framework ly extend our reach in a wide range of areas from agricultural and security policy to climate change, justice and home affairs and economic analysis. • An extensive network of external collaborators, including some 35 senior associates with extensive working experience in EU affairs. for Fair, Efficient and Dynamic PROGRAMME STRUCTURE CEPS is a place where creative and authoritative specialists reflect and comment on the problems and European Securities Markets opportunities facing Europe today. -
Metal Men Metal Men Marc Rich and the $10 Billion Scam A
Metal Men Metal Men Marc Rich and the $10 Billion Scam A. Craig Copetas No part of this publication may be reproduced or transmitted in any form or by any means, electronic, or mechanical, including photocopy, recording, scanning or any information storage retrieval system, without explicit permission in writing from the Author. © Copyright 1985 by A. Craig Copetas First e-reads publication 1999 www.e-reads.com ISBN 0-7592-3859-6 for B.D. Don Erickson & Margaret Sagan Acknowledgments [ e - reads] Acknowledgments o those individual traders around the world who allowed me to con- duct deals under their supervision so that I could better grasp the trader’s life, I thank you for trusting me to handle your business Tactivities with discretion. Many of those traders who helped me most have no desire to be thanked. They were usually the most helpful. So thank you anyway. You know who you are. Among those both inside and outside the international commodity trad- ing profession who did help, my sincere gratitude goes to Robert Karl Manoff, Lee Mason, James Horwitz, Grainne James, Constance Sayre, Gerry Joe Goldstein, Christine Goldstein, David Noonan, Susan Faiola, Gary Redmore, Ellen Hume, Terry O’Neil, Calliope, Alan Flacks, Hank Fisher, Ernie Torriero, Gordon “Mr. Rhodium” Davidson, Steve Bronis, Jan Bronis, Steve Shipman, Henry Rothschild, David Tendler, John Leese, Dan Baum, Bert Rubin, Ernie Byle, Steven English and the Cobalt Cartel, Michael Buchter, Peter Marshall, Herve Kelecom, Misha, Mark Heutlinger, Bonnie Cutler, John and Galina Mariani, Bennie (Bollag) and his Jets, Fredy Haemmerli, Wil Oosterhout, Christopher Dark, Eddie de Werk, Hubert Hutton, Fred Schwartz, Ira Sloan, Frank Wolstencroft, Congressman James Santini, John Culkin, Urs Aeby, Lynn Grebstad, Intertech Resources, the Kaypro Corporation, Harper’s magazine, Cambridge Metals, Redco v Acknowledgments [ e - reads] Resources, the Swire Group, ITR International, Philipp Brothers, the Heavy Metal Kids, and . -
1 INFORMATION AS PUBLIC and PRIVATE GOOD: the PARIS BOURSE in the XIX CENTURY This Version, April 2015 Preliminary Version Pleas
INFORMATION AS PUBLIC AND PRIVATE GOOD: THE PARIS BOURSE IN THE XIX CENTURY This version, April 2015 Preliminary version Please do not quote without authors’ authorization Jérémy Ducros (EHESS-PSE) 1, Elisa Grandi (Paris Diderot), Pierre-Cyrille Hautcoeur (EHESS-PSE), Raphael Hekimian (Paris Ouest Nanterre), Angelo Riva (EBS and PSE) Paper presented at the EABH conference “Inflation, Money, Output” Prague, Czech National Bank, May 14th, 2015 Abstract The recent financial crisis highlighted the weak empirical foundations of the analytical models used to shape stakeholders’ expectations, financial innovation and regulations. One of the reasons is the scarcity of long-run financial micro-data available to test these models, especially when it comes to structural changes, which are vital to evaluating the impact of financial regulations, the causes of economic fluctuations, and interactions between economic (if not demographic and social) change and the financial systems. This deficit is particularly glaring at European level. Most of the European research projects have no choice but to use the American financial microdatabases, such as the CRSP database (Center for Research in Security Prices). Their exclusive use precludes any understanding of the particularities of the European markets, and hinders the development of models and financial products tailored to them and based on robust stylized facts. Based on the digitalization of the French Stock Exchanges’ sources, the “Data for Financial History” (DFIH) project aims at filling this gap for France. The project proposes to build a database of fortnightly spot and forward prices of securities, and ancient and modern options from 1796 to 1977 listed on the French stock markets (Paris Stock Exchange, Paris OTC market, Lyon, Bordeaux, Marseille, Lille, Nantes, Toulouse and Nancy Exchanges) and all the useful securities events for creating uniform price series over time. -
Trading Around the Clock: Global Securities Markets and Information Technology
Acronyms and Glossary Acronyms ACT —Automated Confirmation Transaction LIFFE —London International Financial Futures [System] (NASD) Exchange ADP —Automatic Data Processing, Inc. MATIF —Financial Futures Market (France) ADR —American Depository Receipt MOF —Ministry of Finance (Japan) AMEx —American Stock Exchange MONEP —Paris Options Market (France) BIS —Bank for International Settlement MOU —Memoranda of Understanding BOTCC —Board of Trade Clearing Corp. MSE —Midwest Stock Exchange CBOE -Chicago Board Options Exchange NASD —National Association of Securities Dealers CBOT —Chicago Board of Trade NASDAQ —NASD Automated Quotation system CCITT -Comite Consultatif International Nikkei 225 —Nikkei 225 futures contracts (Japan) Telegraphique et Telephon (International NSCC —National Stock Clearing Corp. Telecommunications Union) NYMEX —New York Mercantile Exchange —Commodity Exchange Act NYSE —New York Stock Exchange CEDEL —Centrale de Livraison de Valeurs OCC -Options Clearing Corp. (U.S.) Mobilieres OECD -Organization for Economic Cooperation CFTC —Commodity Futures Trading Commission and Development (U.S.) ONA -Open network architecture (of computer CME -Chicago Mercantile Exchange systems) CNs -Continuous Net Settlement OSE -Osaka Stock Exchange (Japan) DTC —Depository Trust Corp. OSF50 -Osaka Securities Exchange Stock Futures DVP -delivery-versus-payment (Japan) EC —European [Economic] Community OTC -Over-the-counter FIBv —Federation International des Bourses de PHLX —Philadelphia Stock Exchange Valeurs PSE —Pacific Stock Exchange —Federal -
The Australian Stock Market Development: Prospects and Challenges
Risk governance & control: financial markets & institutions / Volume 3, Issue 2, 2013 THE AUSTRALIAN STOCK MARKET DEVELOPMENT: PROSPECTS AND CHALLENGES Sheilla Nyasha*, NM Odhiambo** Abstract This paper highlights the origin and development of the Australian stock market. The country has three major stock exchanges, namely: the Australian Securities Exchange Group, the National Stock Exchange of Australia, and the Asia-Pacific Stock Exchange. These stock exchanges were born out of a string of stock exchanges that merged over time. Stock-market reforms have been implemented since the period of deregulation, during the 1980s; and the Exchanges responded largely positively to these reforms. As a result of the reforms, the Australian stock market has developed in terms of the number of listed companies, the market capitalisation, the total value of stocks traded, and the turnover ratio. Although the stock market in Australia has developed remarkably over the years, and was spared by the global financial crisis of the late 2000s, it still faces some challenges. These include the increased economic uncertainty overseas, the downtrend in global financial markets, and the restrained consumer confidence in Australia. Keywords: Stock Market, Australia, Stock Exchange, Capitalization, Stock Market *Corresponding Author. Department of Economics, University of South Africa, P.O Box 392, UNISA, 0003, Pretoria, South Africa Email: [email protected] **Department of Economics, University of South Africa, P.O Box 392, UNISA, 0003, Pretoria, South Africa Email: [email protected] / [email protected] 1. Introduction key role of stock market liquidity in economic growth is further supported by Yartey and Adjasi (2007) and Stock market development is an important component Levine and Zevros (1998). -
RG06-118 (Revised) Rule Change Regarding Open Outcry Crossing
Regulatory Circular RG06-118 To: Members From: Legal Division Date: December 18, 2006 Re: Rule Change Regarding Open Outcry Crossing Priority (REVISED) A rule change that amends CBOE Rule 6.74, Crossing Orders, has recently become effective (see Release 34-54726; SR-CBOE-2006-89). Rule 6.74 is an open outcry crossing rule that was adopted prior to the time that CBOE established the Hybrid Trading System, which, among other things, introduced dynamic quotes and the ability for non-public customer orders to be placed in the electronic book. The rule change updated Rule 6.74 to (i) clarify the priority of in-crowd market participants (“ICMPs”)1 and these electronic trading interests when crossing orders in open outcry, and (ii) clarify the applicability of Section 11(a)(1) of the Securities Exchange Act of 1934 (the “Exchange Act”) to crossing transactions. It should be noted that the rule change pertains only to open outcry crossing priority. The open outcry priority rules applicable to non-crossing transactions, which are described in Rules 6.45, 6.45A and 6.45B, have not changed. With respect to open outcry crossing priority, the rule change provides the following: • Crossing Priority Generally: For purposes of establishing priority for bids and offers under the various open outcry crossing procedures described in Rule 6.74, the rule change clarifies that, at the same price, generally: (i) bids and offers of ICMPs have first priority to trade in a crossing transaction (except as otherwise provided in the Rule with respect to public customer orders resting in the electronic book); and (ii) all other bids and offers, including bids and offers of broker-dealer orders in the electronic book and electronic quotes of Market-Makers, have second priority to trade in a crossing transaction.