The Impact of HFT on the Speed of Adjustment to New Information: Evidence from Interest Rate Derivatives

2018 ◽  
Author(s):  
Alex Frino ◽  
Michael Garcia ◽  
Ivy Zeyang Zhou
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Speed Of Adjustment ◽  
New Information ◽  
The Impact

Impact of algorithmic trading on speed of adjustment to new information: Evidence from interest rate derivatives

2020 ◽  
Vol 40 (5) ◽  
pp. 749-760
Author(s):  
Alex Frino ◽  
Michael Garcia ◽  
Zeyang Zhou
Keyword(s):  
Interest Rate ◽  
Algorithmic Trading ◽  
Interest Rate Derivatives ◽  
Speed Of Adjustment ◽  
New Information

scholarly journals Multiscale Analysis on the Pricing of Intensity-Based Defaultable Bonds

2013 ◽  
Vol 2013 ◽  
pp. 1-9
Author(s):  
Sun-Hwa Cho ◽  
Jeong-Hoon Kim ◽  
Yong-Ki Ma
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Multiscale Analysis ◽  
Slow Time ◽  
Bond Price ◽  
Constant Intensity ◽  
Interest Rate Derivatives ◽  
Default Intensity ◽  
Defaultable Bonds ◽  
The Impact

This paper studies the pricing of intensity-based defaultable bonds where the volatility of default intensity is assumed to be random and driven by two different factors varying on fast and slow time scales. Corrections to the constant intensity of default are obtained and then how these corrections influence the term structure of interest rate derivatives is shown. The results indicate that the fast scale correction produces a more significant impact on the bond price than the slow scale correction and the impact tends to increase as time to maturity increases.

Dampak Kebijakan Moneter Pada Output Di Negara-Negara ASEAN Tahun 1980-2014

2017 ◽  
Vol 4 (1) ◽  
pp. 58-70
Author(s):  
Nur Widiastuti
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Fixed Effects ◽  
Empirical Studies ◽  
Negative Relationship ◽  
Least Square ◽  
Fixed Effects Model ◽  
State Data ◽  
Ordinary Least Square ◽  
The Impact

The Impact of monetary Policy on Ouput is an ambiguous. The results of previous empirical studies indicate that the impact can be a positive or negative relationship. The purpose of this study is to investigate the impact of monetary policy on Output more detail. The variables to estimatate monetery poicy are used state and board interest rate andrate. This research is conducted by Ordinary Least Square or Instrumental Variabel, method for 5 countries ASEAN. The state data are estimated for the period of 1980 – 2014. Based on the results, it can be concluded that the impact of monetary policy on Output shown are varied.Keyword: Monetary Policy, Output, Panel Data, Fixed Effects Model

Determinants of Inflation in Vietnam: A VECM Approach

2015 ◽  
Vol 22 (04) ◽  
pp. 26-50
Author(s):  
Ngoc Tran Thi Bich ◽  
Huong Pham Hoang Cam
Keyword(s):  
Interest Rate ◽  
Crude Oil ◽  
Error Correction ◽  
Budget Deficit ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Domestic Credit ◽  
Short Run ◽  
The Impact

This paper aims to examine the main determinants of inflation in Vietnam during the period from 2002Q1 to 2013Q2. The cointegration theory and the Vector Error Correction Model (VECM) approach are used to examine the impact of domestic credit, interest rate, budget deficit, and crude oil prices on inflation in both long and short terms. The results show that while there are long-term relations among inflation and the others, such factors as oil prices, domestic credit, and interest rate, in the short run, have no impact on fluctuations of inflation. Particularly, the budget deficit itself actually has a short-run impact, but its level is fundamentally weak. The cause of the current inflation is mainly due to public's expectations of the inflation in the last period. Although the error correction, from the long-run relationship, has affected inflation in the short run, the coefficient is small and insignificant. In other words, it means that the speed of the adjustment is very low or near zero. This also implies that once the relationship among inflation, domestic credit, interest rate, budget deficit, and crude oil prices deviate from the long-term trend, it will take the economy a lot of time to return to the equilibrium state.

FAKTOR DETERMINAN PENYALURAN KREDIT BANK PERSERO

2018 ◽  
Vol 23 (1) ◽  
pp. 60-71
Author(s):  
Wigiyanti Masodah
Keyword(s):  
Interest Rate ◽  
Linear Regression ◽  
Interest Rates ◽  
Regression Models ◽  
Linear Regression Models ◽  
Negative Impacts ◽  
Main Activity ◽  
The Impact ◽  
The Given ◽  
Multiple Linear Regression Models

Offering credit is the main activity of a Bank. There are some considerations when a bank offers credit, that includes Interest Rates, Inflation, and NPL. This study aims to find out the impact of Variable Interest Rates, Inflation variables and NPL variables on credit disbursed. The object in this study is state-owned banks. The method of analysis in this study uses multiple linear regression models. The results of the study have shown that Interest Rates and NPL gave some negative impacts on the given credit. Meanwhile, Inflation variable does not have a significant effect on credit given. Keywords: Interest Rate, Inflation, NPL, offered Credit.

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

2009 ◽  
Author(s):  
Duy Minh Dang ◽  
Christina Christara ◽  
Kenneth R. Jackson ◽  
Asif Lakhany
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Pricing Framework
Sign in / Sign up

Export Citation Format

Share Document