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87 records from EconBiz based on author Name
1. Competitive Quote Flipping and Trade Clusters
abstractWe model the decision to exhaust depth, which either flips the best quote to the opposite side or widens the spread. Such events often revert to the previous best quote. The model implies that quote flipping results in trade clusters at the competitive equilibrium. Using the S&P E-mini futures contract, we find on average three-quarters of quote changes revert and about one-third of these events are isolated over a 20-millisecond window. Trade clusters arise before a quote change, where 18.1% of all volume occurs near a reverting change in quotes. Empirically, this model explains up to 38% of quote changes
Fishe, Raymond P.H; Roberts, John S.;2022
Availability: Link Link
2. Resiliency in the E-mini futures market
Fishe, Raymond P. H.; Haynes, Richard; Onur, Esen;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
Citations: 1 (based on OpenCitations)
3. Competitive Quote Flipping and Trade Clusters
abstractWe model the decision to exhaust depth by high speed traders, which either flips the best bid or ask quote to the opposite side or widens the spread. Such events are common and often revert to the previous best quote levels. Consistent with the model, such quote flipping results in large trade clusters at the competitive equilibrium. Using the order book for the S&P E-mini futures contract, we document quote changes and find on average 78% of these revert to previous best quote levels within 3 seconds and about one-third of these events are isolated over a 40 millisecond window from other quote changes. Trade clusters are found before a quote change. Specifically, 18.1% of volume arises within 2 milliseconds of an isolated, reverting change in quotes. Empirically, this model explains at least as much quote change activity as does a liquidity replacement view
Fishe, Raymond P.H.; Roberts, John S.;2020
Availability: Link Link
Citations: 1 (based on OpenCitations)
4. Anticipatory traders and trading speed
Fishe, Raymond P. H.; Haynes, Richard; Onur, Esen;2019
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
5. Resiliency in the E‐mini futures market
Fishe, Raymond P. H.; Haynes, Richard; Onur, Esen;2021
Availability: Link
Citations: 1 (based on OpenCitations)
6. Anticipatory Traders and Trading Speed
abstractWe examine whether speed is an important characteristic of traders who anticipate local price trends. These anticipatory participants correctly trade prior to the overall market and systematically act before other participants. They use manual and algorithmic order entry methods, but most are not fast enough to be high frequency traders (HFTs). Those anticipating price trends have impacts as if they are informed traders, while the case for anticipatory participants affecting the volume of other traders is rejected. A follow-up sample shows significant attrition in accounts and difficulty maintaining the anticipatory strategies. To identify anticipatory traders, we devise novel methods to isolate local price trends using order book data from the WTI crude oil futures market
Fishe, Raymond P. H.; Haynes, Richard; Onur, Esen;2017
Availability: Link Link
Citations: 2 (based on OpenCitations)
7. Who Receives IPO Allocations? An Analysis of 'Regular' Investors
abstractWe analyze 1.56 million account allocations in a sample of 265 initial public offerings (IPOs) to investigate the importance of on-going relationships between investors and underwriters. We find a sizable set of both institutional and retail investors who receive frequent allocations in IPOs. These regular investors receive greater monetary first-day gains, but lower average returns than other investors. This suggests that underwriters require regular investors to participate in weak offerings, but compensate them with continued access to underpriced shares. We develop measures of the reliance on regular investors in IPOs and investigate its determinants and consequences. Inconsistent with the predictions of bookbuilding models, we find no clear relationship between these measures and underpricing of IPOs
Boehmer, Ekkehart; Fishe, Raymond P.H.;2017
Availability: Link Link
Citations: 9 (based on OpenCitations)
8. Foreign Central Bank activities in US futures markets
Fishe, Raymond P. H.; Robe, Michel A.; Smith, Aaron D.;2016
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
Citations: 3 (based on OpenCitations)
9. Words that Matter for Asset Pricing : The Case of IPOs
abstractWe examine how useful the popular Loughran and McDonald (2011, LM) tonal word lists are for extracting information in IPO prospectuses about first-day returns. We find that there is much more information in word use than captured by the LM tonal lists. We show that the connection between LM lists and returns is nuanced and inconsistent; it belies simple tonal narratives. Specifically, we assess frequency of use, predictive content, comprehensiveness, and consistency of predictive impact for the LM lists. Words in the negative, positive, uncertainty, and weak-modal lists occur in IPO prospectuses more frequently than random, but only the negative and uncertainty words collectively predict first-day returns. We develop a new method based on the False Discovery Rate (FDR) to identify words that affect IPO tail returns. We measure the amount of information in the LM lists compared to these FDR words and find that the LM lists are not comprehensive because they capture only a small fraction of the information in words associated with returns. We also find that the impact of LM words on first-day returns is a fraction of the impact of FDR words. We show that the LM word lists send inconsistent signals on pricing to investors: some LM words on the same lists are positively correlated with first-day IPO returns, whereas others are negatively correlated
Fishe, Raymond P.H.; North, David S.; Smith, Aaron;2014
Availability: Link Link
10. Foreign Central Bank Activities in U.S. Futures Markets
abstractWe analyze the daily positions of 31 foreign Central Banks in U.S. interest rate futures markets between 2003 and 2011 to investigate whether such positions reveal targeted hedging or informed profit-making decisions. Central Bank positions before the financial crisis of 2007-2009 are consistent with hedging some underlying balance sheet exposure. During and after the crisis, the pattern suggests an attempt to enhance returns on foreign reserve assets. In particular, Central Banks held and profited from directional positions in 5- and 10-year T-Note futures in a manner indicative of a non-hedging strategy. We also examine whether Central Bank position changes show synchronization as if they are affected by common shocks or reflect coordinated policy actions. We identify differences before and after the onset of the financial crisis: Euro-linked Central Banks become more synchronized while non-European Central Banks show no significant change in synchronization during the crisis. We also document that Central Bank positions generally account for a small fraction of the overall size of these markets, so it is unlikely that these institutions' goal is to influence U.S. interest rates
Fishe, Raymond P. H.; Robe, Michel A.; Smith, Aaron D.;2014
Availability: Link Link
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