Sizing hedge funds' Treasury market activities and holdings

FEDS Notes ◽  
2021 ◽  
Vol 2021 (2979) ◽  
Author(s):  
Ayelen Banegas ◽  
◽  
Phillip J. Monin ◽  
Lubomir Petrasek ◽  
◽  
...  
Keyword(s):  
Financial Market ◽  
Hedge Funds ◽  
Futures Markets ◽  
Regulatory Data ◽  
Treasury Market

Hedge funds play an increasingly important role in U.S. Treasury (UST) cash and futures markets, a role that has been widely discussed following the March 2020 U.S. Treasury sell-off. In this note, we analyze hedge funds' holdings of UST securities and their UST market activities in normal times and in times of financial market stress using regulatory data from the SEC Form PF. We also develop an approach to decompose the reported aggregate UST exposures into UST holdings and derivatives exposures.

Hedge Funds, Volatility, and Liquidity Provision in Energy Futures Markets

2007 ◽  
Vol 9 (4) ◽  
pp. 10-38 ◽  
Author(s):  
Michael S. Haigh ◽  
Jana Hranaiova ◽  
James A. Overdahl
Keyword(s):  
Hedge Funds ◽  
Futures Markets ◽  
Energy Futures ◽  
Liquidity Provision ◽  
Energy Futures Markets

scholarly journals Speculators, Prices, and Market Volatility

2016 ◽  
Vol 51 (5) ◽  
pp. 1545-1574 ◽  
Author(s):  
Celso Brunetti ◽  
Bahattin Büyükşahin ◽  
Jeffrey H. Harris
Keyword(s):  
Natural Gas ◽  
Financial Markets ◽  
Crude Oil ◽  
Hedge Funds ◽  
Futures Markets ◽  
Hedge Fund ◽  
Market Volatility ◽  
Price Changes ◽  
Oil And Natural Gas ◽  
Price Trends

We use data from 2005–2009 that uniquely identify categories of traders to test how speculators such as hedge funds and swap dealers relate to volatility and price changes. In examining various subperiods where price trends are strong, we find little evidence that speculators destabilize financial markets. To the contrary, hedge fund position changes are negatively related to volatility in corn, crude oil, and natural gas futures markets. Additionally, swap dealer activity is largely unrelated to contemporaneous volatility. Our evidence is consistent with the hypothesis that hedge funds provide valuable liquidity and largely serve to stabilize futures markets.

Blockchain adoption will grow amid bitcoin volatility

2018 ◽  
Keyword(s):  
Financial Market ◽  
Hedge Funds ◽  
Stock Exchange ◽  
Equity Markets ◽  
Market Volatility ◽  
Seminal Paper ◽  
Content Type ◽  
The Us ◽  
Market Capitalisation ◽  
Swiss Stock Exchange

Subject Crypto market dynamics. Significance The market capitalisation of cryptocurrencies fell to below 250 billion dollars on April 6 from a record high of 827 billion on January 7. Greater regulation, coupled with more volatile global equity markets and the April 15 US tax filing deadline had prompted substantial cryptocurrency selling. However, the valuation has since recovered to more than 325 billion dollars, supported by the US deadline passing, a seminal paper on April 10 by Blossom Finance declaring bitcoin investment allowable under Sharia law and, most importantly, interest in uses for blockchain continuing to grow. Impacts Many crypto hedge funds have shut, many ICOs have failed and this will continue, but among the blockchain firms there will be big successes. The Swiss stock exchange plans to launch a cryptocurrency version of the Swiss franc; Switzerland will expand as an ICO hub. The rise in financial market volatility since February will intensify and persist as global trade tensions are increasing.

Hedge Funds and Financial Market Dynamics

1998 ◽  
Author(s):  
Anne Jansen ◽  
Donald Mathieson ◽  
Barry Eichengreen ◽  
Laura Kodres ◽  
Bankim Chadha ◽  
...  
Keyword(s):  
Financial Market ◽  
Hedge Funds ◽  
Market Dynamics

The US Treasury market is vulnerable to stress

2021 ◽  
Keyword(s):  
Financial Market ◽  
Securities Market ◽  
Price Expectations ◽  
Content Type ◽  
Market Participants ◽  
The Us ◽  
Policy Conflicts ◽  
Treasury Market ◽  
Near Term ◽  
Corrective Intervention

Significance The US Treasuries securities market is the world's largest and most liquid financial market, and is relied on by market participants as a basis to price other risks. However, on several occasions in recent years, it has exhibited unusual behaviour under stress and required corrective intervention by the US Federal Reserve (Fed). Impacts The rebound remains vulnerable to COVID-19 spread, and the ongoing need for supportive measures will stoke policy conflicts for some time. The firmer link between policy and price expectations means that miscommunication may be more disruptive than in the 2013 ‘taper tantrum’. The Fed tapering of bond purchases over the near term could trigger interest rate rises, testing the resilience of the Treasury market.

APPLICATIONS OF AN SPRT-LIKE TEST IN PARI-MUTUEL WAGERING

2013 ◽  
Vol 4 (2) ◽  
pp. 63-78
Author(s):  
Lisa Porth ◽  
Earl Rosenbloom
Keyword(s):  
Market Efficiency ◽  
Financial Market ◽  
Hedge Funds ◽  
Regression Equation ◽  
Statistical Arbitrage

Pari-mutuel wagering functions as a very simple financial market, and has therefore been important in studying market efficiency.  In this study, an SPRT-like test reveals that probabilities from the win pool corrected for the favourite longshot bias using Asch and Quandt’s regression equation can be used to exploit the exacta pool, and probabilities obtained from the exacta pool can be used to exploit the win pool.  These finding differ from previously published studies that maintain that the win pool is largely efficient.  Further, these findings mirror statistical arbitrage strategies utilized by hedge funds, where pricing inefficiencies are exploited between related assets.

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