Trading Volume, Asset Price and Flexible Transaction Cost

2005 ◽  
Author(s):  
Hua Cheng
Keyword(s):  
Transaction Cost ◽  
Trading Volume ◽  
Asset Price

Asset price volatility and trading volume with rational beliefs

2004 ◽  
Vol 23 (4) ◽  
pp. 795-829 ◽  
Author(s):  
Ho-Mou Wu ◽  
Wen-Chung Guo
Keyword(s):  
Trading Volume ◽  
Asset Price ◽  
Price Volatility ◽  
Rational Beliefs

scholarly journals Heterogeneous traders, price-volume signals, and complex asset price dynamics

2005 ◽  
Vol 2005 (1) ◽  
pp. 19-29 ◽  
Author(s):  
Frank H. Westerhoff
Keyword(s):  
Asset Pricing ◽  
Asset Prices ◽  
Trading Volume ◽  
Deterministic Model ◽  
Asset Price ◽  
Pricing Model ◽  
Price Trend ◽  
Asset Pricing Model ◽  
Intrinsic Values ◽  
Current Price

We seek to develop a novel asset pricing model with heterogeneous traders. Fundamental traders expect that asset prices converge towards their intrinsic values, whereas chart traders rely on both price and volume signals to determine their orders. To be precise, the larger the trading volume, the more they believe in the persistence of the current price trend. Simulations of our nonlinear deterministic model reveal that interactions between fundamentalists and chartists may cause intricate endogenous price fluctuations. Contrary to the intuition, we find that chart trading may increase market stability.

scholarly journals PENGARUH BIAYA TRANSAKSI TERHADAP PERIODE KEPEMILIKAN SAHAM DI BURSA EFEK INDONESIA

2017 ◽  
pp. 1-17
Author(s):  
Donalson Silalahi
Keyword(s):  
Transaction Cost ◽  
Trading Volume ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Investment Horizon ◽  
Cost Information ◽  
Holding Period ◽  
Period Increase ◽  
Relationship Of ◽  
The Relationship

The theoretical suggests that, the higher transaction cost resulting in longer holding periods. Based on this concept, many studies have been done and show that: the transaction cost has a positive and significant effect on holding period. Other research suggests that: the transaction cost has a negative and significant effect on holding period. Therefore, the issue of this research is to explain why the influence of the transaction cost on holding period are not consistent. To achieve these objectives, to conducted research in Indonesia Stock Exchange during the years 2010 - 2011 and using the purposive sampling as the sampling technique. Samples were observed at 1.056 and data were analyzed using the multiple regression. The results showed that: (1), the effect of transaction cost on holding period depends on the components of transaction cost (information friction and real friction). (2), information friction has a negative and significant effect on holding period. (3), real friction has a positive and significant effect on holding period. (4), the influence of information friction and real friction on holding period increase the higher of traded volume and listed shares. (5), the relationship of decomposition of transaction cost on holding period is monotonic. Based on the results of this research: (1), in making decisions regarding the holding period of shares in Indonesia Stock Exchange, investors should consider the component of transaction cost (information friction and real friction). In addition to the information, in determining the holding period, investors should also attention the trading volume and the number of shares listed. (2), transaction cost and its components can be used in shaping investors' portfolios and investment horizon period. (3), transaction cost can be used the company in issuing shares.

Knock-In and Stocks Market Effect Due to ELS Issuance and Hedging

2015 ◽  
Vol 23 (2) ◽  
pp. 289-321
Author(s):  
Hyuncheul Lim ◽  
Youngsoo Choi
Keyword(s):  
Trading Volume ◽  
Asset Price ◽  
Major Product ◽  
Knock Out ◽  
Shortfall Risk ◽  
Put Option ◽  
Hedging Strategies ◽  
Rate Environment ◽  
Step Down ◽  
Real Market

In this paper we analyze the shortfall risk implied in the auto call step down equity linked securities (ELS) based on two underlying assets, which is a major product of the rapidly growing ELS market as the low interest rate environment continues. And we also present the hedging strategies for managing shortfall risk. In the position of auto call step down ELS issuer, 1) until the underlying asset price reaches at knock-in (KI) level, the delta of the underlying is continually and significantly increased in order to hedge the short position of the Down and Out (DO) option and the long position of the put option inherent in ELS, 2) however, the hedger must reduce this delta as soon as the underperformed underlying price touches KI level, which triggers the vanishing of the DO option. As a way to manage these shortfall risks, this paper proposes two new hedging strategies of minimizing these shortfall risks and depending on the KI probability. Also this paper shows that these hedging strategies provide better performance than traditional BS hedging strategy when these hedging strategies are applied to a sample product with real market data. As the policy proposals, first, in order to prevent the concentration of the KI prices, ELS issue amount based on the same underlying is needed to be determined in consideration of both the average market trading volume and maximum leverage delta. Second, in the realm of pin risk such as Knock-In or Knock-Out, where the leverage increases, it is recommended to mitigate the risk management delta limit based on the BS model which is made under the assumption of continuous hedging infinitesimally.

scholarly journals Investigating the Impacts of Transaction Cost under a Tradable Credit Scheme with Heterogenous Users

2021 ◽  
Vol 2021 ◽  
pp. 1-17
Author(s):  
Fang Zhang ◽  
Jian Lu ◽  
Xiaojian Hu ◽  
Tenghui Liu
Keyword(s):  
Transaction Cost ◽  
Network Flow ◽  
Trading Volume ◽  
User Equilibrium ◽  
Trading Market ◽  
Tradable Credit Scheme ◽  
Trial And Error Method ◽  
Tradable Credit ◽  
Specific Number ◽  
Error Method

In this paper, the impacts of transaction cost are investigated under a tradable credit scheme (TCS) considering user heterogeneity. Under the credit scheme, a certain number of credits are initially distributed among all the travelers for a specific O-D pair, and a link-specific number of credits are charged from travelers using that link. The scheme allows for free trading of the credits among travelers, and both the sellers and buyers need to pay an extra transaction cost, which is associated with trading volume. Travelers in the network are assumed to be heterogenous with a discrete value of time (VOT). For a given tradable credit scheme and discrete VOT set, the combined network user equilibrium (UE) and credit-trading market equilibrium (ME) are formulated as a variational inequality (VI) problem, and the conditions for the uniqueness of the network flow pattern and the credit price at equilibrium are established. A bisection-based trial-and-error method is proposed to solve the proposed VI problems. Based on the simulation results, the computational advantages of the proposed method are demonstrated. Then, an example network is presented to investigate the effect of transaction cost in different kinds of markets. It is found that the implementation of transaction cost can suppress trading volume and either elevate or drive down the equilibrium credit price. Besides, it is also found that users with the lowest VOT suffer the most from the increase in transaction cost, while those with the higher VOT are more likely to experience a reduction in travel cost with the implementation of TCS.

scholarly journals Automated Algorithmic Trading for Cryptocurrencies

2021 ◽  
pp. 326-330
Author(s):  
Sarafatema Peerzade ◽  
Dnyaneshwari Wayal ◽  
Gauri Kale
Keyword(s):  
Automatic System ◽  
Trading Volume ◽  
Asset Price ◽  
Project Work ◽  
Algorithmic Trading ◽  
Effective Strategy ◽  
Trade Volume ◽  
Algorithmic Strategy ◽  
Market Variables

The proposed project work is totally supported and easy yet effective strategy named as Martingale. An automatic system which only requires only some pre-coded instructions to execute trades on variety of market variables starting from asset price to trading volume. The strategy along with each cryptocurrency, the benchmark against which the algorithm is tested is that the market’s performance. Returns are compared with the buying and so multiplying the trade volume at each loss and different scenarios are analysed to work out the chance related to the buying compared with an algorithmic strategy. Results are going to be in love with the market’s actual trends and also with some alternate possible trends to check all market scenarios. An internet interface will accompany the presentation allowing the users to check the strategies by entering their parameters and instantly seeing the results

The Chinese Warrants Bubble: Evidence from Brokerage Account Records

2020 ◽  
Vol 34 (1) ◽  
pp. 264-312 ◽  
Author(s):  
Neil D Pearson ◽  
Zhishu Yang ◽  
Qi Zhang
Keyword(s):  
Trading Volume ◽  
Feedback Loop ◽  
Asset Price ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
Price Increases ◽  
Feedback Trading ◽  
Put Warrants

Abstract We use brokerage account records to study trading during the Chinese put warrants bubble and find evidence consistent with extrapolative theories of speculative asset price bubbles. We identify the event that started the bubble and show that investors engaged in a form of feedback trading based on their own past returns. The interaction of feedback trading with the precipitating event caused additional buying and price increases in a feedback loop, and estimates of the trading volume due to this mechanism explain prices and returns during the bubble.

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