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The Design of Financial Exchanges: Some Open Questions at the Intersection of Econ and CS
The Design of Financial Exchanges: Some Open Questions at the Intersection of Econ and CS Eric Budish, University of Chicago Simons Institute Conference: Algorithmic Game Theory and Practice Nov 2015 Overview 1. The economic case for discrete-time trading I Financial exchange design that is predominant around the world continuous limit order book is economically awed I Flaw: treats time as a continuous variable (serial processing) I Solution: treat time as a discrete variable, batch process using an auction. Frequent batch auctions. I Eric Budish, Peter Cramton and John Shim (BCS) 2015, Quarterly Journal of Economics 2. The computational case for discrete-time trading I Discrete time respects the limits of computers and communications technology. Not innitely fast. I Benets for exchanges, algo traders, regulators I Qualitative/informal argument in BCS 2015, would benet greatly from Econ/CS research 3. Other Econ/CS Questions about the Design of Financial Exchanges I Flash crashes I Speed vs. Smarts Tradeo I Circuit Breakers Overview 1. The economic case for discrete-time trading I Financial exchange design that is predominant around the world continuous limit order book is economically awed I Flaw: treats time as a continuous variable (serial processing) I Solution: treat time as a discrete variable, batch process using an auction. Frequent batch auctions. I Eric Budish, Peter Cramton and John Shim (BCS) 2015, Quarterly Journal of Economics 2. The computational case for discrete-time trading I Discrete time respects the limits of computers and communications technology. Not innitely fast. I Benets for exchanges, algo traders, regulators I Qualitative/informal argument in BCS 2015, would benet greatly from Econ/CS research 3. -
Margin Requirements Across Equity-Related Instruments: How Level Is the Playing Field?
Fortune pgs 31-50 1/6/04 8:21 PM Page 31 Margin Requirements Across Equity-Related Instruments: How Level Is the Playing Field? hen interest rates rose sharply in 1994, a number of derivatives- related failures occurred, prominent among them the bankrupt- cy of Orange County, California, which had invested heavily in W 1 structured notes called “inverse floaters.” These events led to vigorous public discussion about the links between derivative securities and finan- cial stability, as well as about the potential role of new regulation. In an effort to clarify the issues, the Federal Reserve Bank of Boston sponsored an educational forum in which the risks and risk management of deriva- tive securities were discussed by a range of interested parties: academics; lawmakers and regulators; experts from nonfinancial corporations, investment and commercial banks, and pension funds; and issuers of securities. The Bank published a summary of the presentations in Minehan and Simons (1995). In the keynote address, Harvard Business School Professor Jay Light noted that there are at least 11 ways that investors can participate in the returns on the Standard and Poor’s 500 composite index (see Box 1). Professor Light pointed out that these alternatives exist because they dif- Peter Fortune fer in a variety of important respects: Some carry higher transaction costs; others might have higher margin requirements; still others might differ in tax treatment or in regulatory restraints. The author is Senior Economist and The purpose of the present study is to assess one dimension of those Advisor to the Director of Research at differences—margin requirements. -
Morning Briefing Global Economic Trading Calendar
A Eurex publication focused on European financial markets, produced by MNl Morning Briefing March 12h 2015 Thursday sees a full day of data, with Council Member KlaasKnot speaks and be up 0.4%also excluding the German and French final inflation in Amsterdam. gasoline station sales. numbers the early feature. EMU data at 1000GMT sees the The US January business At 0700GMT, the German final January industrial output numbers inventories data will cross the wires February harmonised inflation data cross the wires. at 1400GMT. will be published. to be followed by the French numbers at 0745GMT Across the Atlantic, the calendar gets The value of business inventories is and the Spanish data at 0800GMT. underway at 1230GMT, with the expected to fall 0.2% in January after release of the February retail sales, small gains in recent months. ECB Executive Board Member February import/export index and the Benoit Coeure will deliver a speech jobless claims data for the March 7 Late data sees the US February on the future of euro area week. Treasury Statement set for release at investment, quantitative easing, and 1800GMT and Greek debt, in Paris, starting The level of initial jobless claims is at0745GMT. expected to fall by 12,000 to 308,000 the M2 money supply data for the in the March 7 week after rising by Mar 2 week at 2030GMT. Then, at 0915GMT, ECB Governing 7,000 in the previous week. The four- Council Member Jens Weidmann will week moving average rose by The U.S. Treasury is expected to hold a press conference, in 10,250 to 304,750 in the February 28 post a $188.5 billion budget deficit Frankfurt. -
Dow Jones Industrial Average Futures and Options
EQUITY PRODUCTS Dow Jones Industrial Average Futures and Options E-mini Dow ($5), DJIA ($10) and Big Dow DJIA ($25) contracts offer flexible opportunities to trade the large-cap U.S. Equity market. About the Dow Jones Industrial Average Benefits The Dow Jones Industrial Average (DJIA) is a price-weighted index of 30 blue chip U.S. companies • Transparent, deep liquid markets representing nine economic sectors including financial service, technology, retail, entertainment and consumer goods. The leadership position of the component stocks in The Dow tends to result in an • Global access virtually 24 hours a day to extremely high correlation of the DJIA to broader U.S. indexes, such as the S&P 500 Index. the speed and efficiency of electronically traded contracts Trading Platform • Simplified benchmarking with broad U.S. These index contracts are now available on CME Globex – a robust electronic trading platform stock market exposure through 30 delivering fast, efficient and anonymous trading. For more information on CME Globex, representative blue-chip stocks visit www.cmegroup.com. • Centralized source to manage all your global equity exposure needs E-mini Dow ($5) Futures Average Daily Volume by Month • Favorable performance bond (margin) 250,000 requirements vs. alternative trading instruments 200,000 • Central clearing and counterparty guarantee of CME Clearing 150,000 100,000 www.cmegroup.com/equityindexresearch Learn how to take advantage of 50,000 opportunities from a popular S&P 500 vs DJIA spread using CME Group Equity 0 Index contract 07 07 07 b − 03 b − 05 b − 06 eb − 04 eb − 07 Apr − 02Jun − Aug02 − 02Oct − 02Dec − 02Fe Apr − 03Jun − Aug03 − 03Oct − 03Dec − 03F Apr − 04Jun − Aug04 − 04Oct − 04Dec − 04Fe Apr − 05Jun − Aug05 − Oct05 − 05Dec − 05Fe Apr − 06Jun − Aug06 − Oct06 − 06Dec− 06F Apr − 07Jun − Aug07 − Oct − Dec − For more information, visit www.cmegroup.com/dow. -
Price Drift Before US Macroeconomic News
Working Paper Series Alexander Kurov, Price drift before U.S. Alessio Sancetta, Georg Strasser macroeconomic news: private and Marketa Halova Wolfe information about public announcements? No 1901 / May 2016 Note: This Working Paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. Abstract We examine stock index and Treasury futures markets around releases of U.S. macroeconomic announcements. Seven out of 21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices begin to move in the \correct" direction about 30 minutes before the release time. The pre-announcement price drift accounts on average for about half of the to- tal price adjustment. These results imply that some traders have private infor- mation about macroeconomic fundamentals. The evidence suggests that the pre- announcement drift likely comes from a combination of information leakage and superior forecasting based on proprietary data collection and reprocessing of public information. Keywords: Macroeconomic news announcements; financial markets; pre-announcement effect; drift; informed trading JEL classification: E44; G14; G15 ECB Working Paper 1901, May 2016 1 Non-technical Summary Macroeconomic indicators play an important role in business cycle forecasting and are closely watched by financial markets. Some of these indicators appear to influence financial market prices even ahead of their official release time. This paper examines the prevalence of pre-announcement price drift in U.S. stock and bond markets and looks for possible explanations. We study the impact of announcements on second-by-second E-mini S&P 500 stock index and 10-year Treasury note futures from January 2008 to March 2014. -
Mao Indictment
Case 4:18-cr-00606 Document 1 Filed in TXSD on 10/10/18 Page 1 of 8 UNITED STATES DISTRICT COURT OCT 1 0 2018 SOUTHERN DISTRICT OF TEXAS HOUSTON DIVISION UNITED STATES OF AMERICA § § v. § CRIMINAL NO. § 18 CR 60 6 YUCHUN ("BRUCE") MAO, § Defendant. § INDICTMENT The Grand Jury charges that at all times relevant to this Indictment: The Defendant 1. Defendant YUCHUN ("BRUCE") MAO was employed as a trader at a proprietary trading firm with offices in, among other places, New York, New York, and Chicago, Illinois (hereinafter "Trading Firm A"). 2. MAO worked with two co-conspirators, CC-1 and CC-2, on a trading team (hereinafter, the "Trading Team") at Trading Firm A that traded, among other things, futures contracts on the Chicago Mercantile Exchange ("CME") and the Chicago Board of Trade ("CBOT"). Relevant Definitions and Market Background 3. The CME Group Inc. ("CME Group") was a commodities marketplace made up of several exchanges, including CME and the CBOT, which were based in Chicago, Illinois. At all relevant times, CME and CBOT were registered entities with the U.S. Commodity Futures Trading Commission ("CFTC"). 4. A futures contract was a standardized, legally binding agreement that, once executed, obligated the parties to the contract to buy or to sell a specific product or financial -1- Case 4:18-cr-00606 Document 1 Filed in TXSD on 10/10/18 Page 2 of 8 instrument in the future. That is, the buyer and seller of a futures contract agreed on a price today for a product or financial instrument to be delivered (by the seller), in exchange for money (to be provided by the buyer), on a future date. -
Briefing.Com
PORTFOLIO STRATEGY | PUBLISHED BY RAYMOND JAMES & ASSOCIATES Michael Gibbs, Director of Equity Portfolio & Technical Strategy | (901) DECEMBER 9, 2020 | 9:02 AM EST 579-4346 | [email protected] Joey Madere, CFA | (901) 529-5331 | [email protected] Richard Sewell, CFA | (901) 524-4194 | [email protected] Mitch Clayton, CMT, Senior Technical Analyst | (901) 579-4812 | [email protected] Morning Brew - December 9, 2020 U.S. FUTURES (BRIEFING.COM) The S&P 500 futures trade five points, or 0.1%, above fair value following yesterday's record closes in the benchmark index, Nasdaq Composite, and Russell 2000. Stimulus developments have been of interest this morning. Briefly, Treasury Secretary Mnuchin offered a new $916 billion stimulus bill that includes $600 direct payments to Americans but no enhanced unemployment benefits. The bill is slightly larger than the $908 billion bipartisan bill that excludes direct payments but includes unemployment relief. Democratic Congressional leadership called it progress, according to Bloomberg, but reiterated the need for unemployment relief and said talking points should still be focused on the bipartisan plan. They also shot down Senate Majority Leader McConnell's suggestion of leaving out funding for state and local governments. When the market opens for trading, attention will divert back to equities for the DoorDash (DASH) IPO, which priced shares at $102.00 for a $38.7 billion valuation on a fully-diluted basis. On the data front, investors will receive the JOLTS - Job Openings report for October and Wholesale Inventories for October (Briefing.com consensus 0.9%) at 10:00 a.m. -
Index Last Change Stock Futures Little Changed After S&P Notches Another
DAILY MARKET REPORT 26.08.2020 Index Last Change DJIA 28,248.44 60.02 S&P 500 3,443.62 12.34 NASDAQ 11466.47 86.75 NIKKEI 23,301.54 4.77 HANG SENG 25,488.78 2.56 DJ EURSTOXX 50 3,329.71 2.03 FTSE 100 6,037.01 67.72 CAC 40 5,008.27 0.38 DAXX 13,061.62 4.92 US Stock futures little changed after S&P notches another record U.S. stock futures were little changed in early morning trading on Wednesday after the S&P 500 closed at a new record high. Dow futures dipped 43 points. The S&P 500 futures contract sat just below the flatline while Nasdaq 100 futures traded in positive territory. Software company Salesforce reported blowout earnings after the bell on Tuesday. The soon-to-be Dow member rose more than 13% in extended trading after beating on the top and bottom lines of its second quarter results. Salesforce will replace Exxon Mobil, Amgen will replace Pfizer and Honeywell International will replace Raytheon Technologies in the Dow average, S&P Dow Jones Indices said Monday. The changes are driven by Apple’s coming stock split, which will reduce the technology weighting in the price-weighted average. HP Enterprise, homebuilder Toll Brothers and retailer Urban Outfitters jumped after the bell following their better-than-expected earnings. On Tuesday, the Dow Jones Industrial Average lost 60 points as Apple, the gauge’s biggest influence, snapped a five-day winning streak. The tech giant closed the session down about 0.8%. -
For Additional Information
April 2015 Attached please find the updated Foreign Listed Stock Index Futures and Options Approvals Chart, current as of April 2015. All prior versions are superseded and should be discarded. Please note the following developments since we last distributed the Approvals Chart: (1) The CFTC has approved the following contracts for trading by U.S. Persons: (i) Singapore Exchange Derivatives Trading Limited’s futures contract based on the MSCI Malaysia Index; (ii) Osaka Exchange’s futures contract based on the JPX-Nikkei Index 400; (iii) ICE Futures Europe’s futures contract based on the MSCI World Index; (iv) Eurex’s futures contracts based on the Euro STOXX 50 Variance Index, MSCI Frontier Index and TA-25 Index; (v) Mexican Derivatives Exchange’s mini futures contract based on the IPC Index; (vi) Australian Securities Exchange’s futures contract based on the S&P/ASX VIX Index; and (vii) Moscow Exchange’s futures contract based on the MICEX Index. (2) The SEC has not approved any new foreign equity index options since we last distributed the Approvals Chart. However, the London Stock Exchange has claimed relief under the LIFFE A&M and Class Relief SEC No-Action Letter (Jul. 1, 2013) to offer Eligible Options to Eligible U.S. Institutions. See note 16. For Additional Information The information on the attached Approvals Chart is subject to change at any time. If you have questions or would like confirmation of the status of a specific contract, please contact: James D. Van De Graaff +1.312.902.5227 [email protected] Kenneth M. -
CME Group and Nasdaq Extend Exclusive Nasdaq-100 Futures License Through 2029
October 1, 2018 CME Group and Nasdaq Extend Exclusive Nasdaq-100 Futures License Through 2029 Nasdaq futures and options on futures trade an average of 437,000-plus contracts each day, an increase of 52 percent year-to-date CHICAGO, Oct. 1, 2018 /PRNewswire/ -- CME Group and Nasdaq today announced a ten-year extension of CME Group's exclusive license to offer futures and options on futures based on the Nasdaq-100 and other Nasdaq indexes, through 2029. As the world's leading and most diverse derivatives marketplace, CME Group operates the largest equity index futures complex in the world. Nasdaq is a leading global provider of trading, clearing, exchange technology, listing, information and public company services. "We are extremely pleased to extend our exclusive licensing agreement with Nasdaq, said CME Group Chairman and Chief Executive Officer Terry Duffy. "Building on more than 20 years of partnership, this agreement will ensure market participants worldwide will continue to have seamless access to our suite of Nasdaq products, allowing them to manage risk or gain exposure to the 100 largest non-financial companies. Customers also benefit from capital efficiencies by trading alongside our industry-leading equity index products." "The Nasdaq-100 has been a top performing large cap growth index over the last ten years and has been providing investors with access to the world's most innovative companies, including Amazon, Apple, Facebook, Alphabet, Intel, Microsoft, and Starbucks among many others," said Adena Friedman, President and CEO of Nasdaq. "We have been partners with CME Group for more than 20 years and extending our relationship enables market participants access to our global benchmark products in order to manage their equity market risk." In 1982, CME Group pioneered futures trading on equity indices. -
Federal Register/Vol. 85, No. 39/Thursday, February 27, 2020
11596 Federal Register / Vol. 85, No. 39 / Thursday, February 27, 2020 / Proposed Rules COMMODITY FUTURES TRADING All comments must be submitted in F. § 150.8—Severability COMMISSION English, or if not, be accompanied by an G. § 150.9—Process for Recognizing Non- English translation. Comments will be Enumerated Bona Fide Hedging 17 CFR Parts 1, 15, 17, 19, 40, 140, 150, posted as received to https:// Transactions or Positions With Respect and 151 to Federal Speculative Position Limits comments.cftc.gov. You should submit H. Part 19 and Related Provisions— RIN 3038–AD99 only information that you wish to make Reporting of Cash-Market Positions available publicly. If you wish the I. Removal of Part 151 Position Limits for Derivatives Commission to consider information III. Legal Matters that you believe is exempt from A. Introduction AGENCY: Commodity Futures Trading disclosure under the Freedom of B. Key Statutory Provisions Commission. Information Act (‘‘FOIA’’), a petition for C. Ambiguity of Section 4a With Respect ACTION: Proposed rule. to Necessity Finding confidential treatment of the exempt D. Resolution of Ambiguity SUMMARY: The Commodity Futures information may be submitted according E. Evaluation of Considerations Relied Trading Commission (‘‘Commission’’ or to the procedures established in § 145.9 Upon by the Commission in Previous 1 ‘‘CFTC’’) is proposing amendments to of the Commission’s regulations. Interpretation of Paragraph 4a(a)(2) regulations concerning speculative The Commission reserves the right, F. Necessity Finding but shall have no obligation, to review, G. Request for Comment position limits to conform to the Wall IV. Related Matters Street Transparency and Accountability pre-screen, filter, redact, refuse, or remove any or all submissions from A. -
“Spoofing”: US Law and Enforcement
Resource ID: w-020-9748 “Spoofing”: US Law and Enforcement PRACTICAL LAW FINANCE AND AARON STEPHENS, ZACH FARDON, KATHERINE KIRKPATRICK, MICHAEL WATLING, MATTHEW WISSA, AND MARGARET NETTESHEIM, KING & SPALDING LLP Search the Resource ID numbers in blue on Westlaw for more. A Practice Note providing an overview of the This Note summarizes US law on spoofing and how spoofing is US legal and regulatory framework relating prosecuted in the US. This Note also provides examples of the types of trading practices that may constitute spoofing. to spoofing, a market manipulation offense, including relevant criminal prosecutions and US SPOOFING LAW AND ENFORCEMENT: AT A GLANCE civil enforcement cases. Enforcement CFTC (civil). authorities Securities and Exchange Commission (SEC) (civil). Financial Industry Regulatory Authority Spoofing is a form of market manipulation in which a trader submits (FINRA) (civil). and then cancels offers or bids in a security or commodity on an Department of Justice (DOJ) (criminal). exchange or other trading platform with the co-existent intent to Current Law Dodd-Frank Act, Section 747. cancel the bid or offer before it can be executed. Commodity Exchange Act (CEA), Section 4c(a)(5)(C). Spoofing may take various forms, but it often involves the placing of Securities Exchange Act of 1934, as Amended non-bona-fide, large or small volume orders on one side of the order (Exchange Act), Sections 10(b) and 9(a)(2). book and then canceling those orders either immediately or within Securities Act of 1933, as Amended (Securities Act), a short period of time after placement. A spoofer’s intent may be to Section 17(a).