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on Market Microstructure |
| By: | IWATSUBO Kentaro; Clinton WATKINS; XU Tao |
| Abstract: | We investigate intraday seasonality in, and relationships between, informational efficiency, volatility, volume, and liquidity. Platinum and gold, both traded in overlapping sessions in Tokyo and New York, provide an interesting comparison because Tokyo is an internationally important trading venue for platinum but not for gold. Our analysis indicates that both platinum and gold markets in Tokyo are dominated by uninformed trading, while there is evidence supporting both uninformed and informed trading in New York. Separating global trading hours into Tokyo, London, and New York day sessions, we also find that uninformed trading is more prevalent during the Tokyo day session while informed trading dominates the New York day session for both metals in both locations. This evidence suggests that futures markets for the same underlying commodity on different exchanges have different microstructure characteristics, while both informed and uninformed traders choose when to trade depending on market characteristics in different time zones. |
| Date: | 2017–11 |
| URL: | http://d.repec.org/n?u=RePEc:eti:dpaper:17120&r=mst |
| By: | Arash Fahim; Wan-Yu Tsai |
| Abstract: | This paper concerns the numerical solution of a fully nonlinear parabolic double obstacle problem arising from a finite portfolio selection with proportional transaction costs. We consider the optimal allocation of wealth among multiple stocks and a bank account in order to maximize the finite horizon discounted utility of consumption. The problem is mainly governed by a time-dependent Hamilton-Jacobi-Bellman equation with gradient constraints. We propose a numerical method which is composed of Monte Carlo simulation to take advantage of the high-dimensional properties and finite difference method to approximate the gradients of the value function. Numerical results illustrate behaviors of the optimal trading strategies and also satisfy all qualitative properties proved in Dai et al. (2009) and Chen and Dai (2013). |
| Date: | 2017–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1711.01017&r=mst |