金融交易与市场结构2013夏第二课

金融交易与市场结构2013年夏第二课Thiscourseisallabouttrading.ThepeoplewhotradeThemarketwheretheytradeTherulesthatgoverntrading.Itisnotaboutthesecuritiesandcontractsthatpeopletrade.Howtoprice,design,issuethemetcbelongtocoursessuchasinvestment,assetpricingandcorporatefinance

NotJustBuyLowandSellHighIfeveryoneknowsto“buylowandsellhigh”Thenyoushouldaskyourself:Howcomesometradersconsistentlyprofitfromtradingwhileotherslose?GoldmanSachsMay9,2013Bloombergnewstitlereads“GoldmanTradersDoubleNumberOfLosingDaysLastQuarter”from1to2“Thebankgenerated$5.22billionfromitstradingdivisioninthefirstquarterof2013”Ontheotherhand证监会前副主席范福春：“股票不是人人都可以玩的”InthiscourseYouwilllearn:Howpricescometoreflectinformationaboutfundamentalvalue.Whomakesmarketsliquid.Whysomeconsistentlywinwhileotherslose.Youwilllearntopredicthowwillvarioustradingrulesaffectpriceefficiency,liquidityandtradingprofit.Whatistradingexactly?Inessence,tradingisabi-directionalsearchproblemBuyerlooksforsellertostrikeadealoninstrument，priceandquantity,forsellerlikewise作业question(1):举例生活中其他重要的bi-directionalsearchproblem，阐述如何更好促进这个双向搜索问题的解决的要点。TheTradingIndustryWhoaretheplayers“BuySide”and“SellSide”definedwiththeirstanceonLiquidityDon’tgetconfusedwith“Long”and“Short”“BuySide”Traders(1)InstitutionTradersMutualFundPensionFundInsuranceFundTrustsandEndowmentMoneyManagerRetailTradersIndividualswhoconducttheirowntrading“BuySide”Traders(2)CategorybyTradingIntentionInvestorSpeculatorHedgerBorrowerAssetExchangerGambler“SellSide”PlayersBrokerDealerDealer-Broker作业Question（2）:whatdoestheveryexistenceofthebusinessofsell-sidedependon?卖方到底赚的谁的钱，为什么可以赚到？TradingFacilitatorsExchangesClearingandSettlementAgentsDepositoriesCustodiansInstrumentsInstrument:whatarebeingtradedinclude:commonstocks,preferredstocks,bonds,convertiblebonds,warrants,options,futurecontracts,forwardcontracts,foreignexchangecontracts,swaps,reinsurancecontracts,pollutioncredits,evenmanybettingcontracts.Market：theplacetradersgathertotradePhysicalExchangesorElectronicSystemSomeimportantfeaturesStockMarketsenjoyexaggeratedattentionVolume,numberofinstrumentsandliquidityTrendtoconsolidateFiveImportantCharacteristicsofMarket

LiquidityTransactioncostsInformativepricesVolatilityTradingProfitsMarketRegulationTheRoleofRegulationRegulatorsGovernmentAgencySelf-organizedAgencyOrdersWhatisorder?Ordersaretradeinstructions.InstrumenttotradeBuyorSellQuantityOptionalproperties:price,conditions,whenandhowtotradeWhouseordersAnyonewhowishestotradewithouttherighttoarrangehis/herowntradesThosewhoarrangetheirown(andothers)tradersdon’tuseorder,typicallydealerClearCommunicationisessentialImportantconceptsBidandOffer(ask)BestbidandofferBid/askspreadStandingOrdersOfferanddemandliquidityTradepriceMarketOrdersTradewithbestpriceavailableDemandLiquidity/ImmediacyBenefitandCost:GuaranteedFillMarketOrderspaythespreadMarketImpactExecutionPriceUncertaintyExample：MarketOrderLimitorderTradewithbestpriceavailablewithnoworsethanspecifiedlimitpriceLimitorderplacement:LimitPricePlacementBuyOrdersSellOrders>BestofferMarketableBehindthemkt=BestofferMarketableAtthemarketBetweenspreadInthemarketInthemarket=BestbidAtthemarketMarketable<BestbidBehindthemktMarketableStandinglimitordersasoptiontoofferliquidityOptiontotradenotoptioncontractThevalueofthisoptiondependsLimitpricerelativetothemarketHowlongwillitstandPricevolatilityValuablelimitordersvanishfastBenefitandcostoflimitorderCompensation:BetterpriceRiskofusingstandinglimitpriceExecutionuncertaintyBuyer’sremorseBuyer’sremorseexample:auction作业(3):如果你要交易，你怎么选择使用marketorder还是limitorderStopordersDefinitionExampleDifferencebetweenstopordersandlimitordersStopordersandliquidityOthertypesofordersMarket-If-TouchedordersTick-SensitiveordersMarket-Not-HeldValidityandexpirationinstructionsDay-OrderGood-until-CancelImmediate-or-cancelGood-after-(somedate)Market-On-OpenMarket-On-CloseOtherorderinstructionsSpreadOrdersDisplayInstructionsSubstitutionOrdersSpecialSettlementInstructionsTradingSessionsContinuousMarketsCallMarketTradingHoursMarketTypesExecutionSystemsQuot