金融交易與市場結(jié)構(gòu)2013夏第二課

金融交易與市場結(jié)構(gòu)2013年夏第二課Thiscourseisallabouttrading.ThepeoplewhotradeThemarketwheretheytradeTherulesthatgoverntrading.Itisnotaboutthesecuritiesandcontractsthatpeopletrade.Howtoprice,design,issuethemetcbelongtocoursessuchasinvestment,assetpricingandcorporatefinance

NotJustBuyLowandSellHighIfeveryoneknowsto“buylowandsellhigh”Thenyoushouldaskyourself:Howcomesometradersconsistentlyprofitfromtradingwhileotherslose?GoldmanSachsMay9,2013Bloombergnewstitlereads“GoldmanTradersDoubleNumberOfLosingDaysLastQuarter”from1to2“Thebankgenerated$5.22billionfromitstradingdivisioninthefirstquarterof2013”O(jiān)ntheotherhand證監(jiān)會前副主席范福春：“股票不是人人都可以玩的”InthiscourseYouwilllearn:Howpricescometoreflectinformationaboutfundamentalvalue.Whomakesmarketsliquid.Whysomeconsistentlywinwhileotherslose.Youwilllearntopredicthowwillvarioustradingrulesaffectpriceefficiency,liquidityandtradingprofit.Whatistradingexactly?Inessence,tradingisabi-directionalsearchproblemBuyerlooksforsellertostrikeadealoninstrument，priceandquantity,forsellerlikewise作業(yè)question(1):舉例生活中其他重要的bi-directionalsearchproblem，闡述如何更好促進(jìn)這個雙向搜索問題的解決的要點。TheTradingIndustryWhoaretheplayers“BuySide”and“SellSide”definedwiththeirstanceonLiquidityDon’tgetconfusedwith“Long”and“Short”“BuySide”Traders(1)InstitutionTradersMutualFundPensionFundInsuranceFundTrustsandEndowmentMoneyManagerRetailTradersIndividualswhoconducttheirowntrading“BuySide”Traders(2)CategorybyTradingIntentionInvestorSpeculatorHedgerBorrowerAssetExchangerGambler“SellSide”PlayersBrokerDealerDealer-Broker作業(yè)Question（2）:whatdoestheveryexistenceofthebusinessofsell-sidedependon?賣方到底賺的誰的錢，為什么可以賺到？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作業(yè)(3):如果你要交易，你怎么選擇使用marketorder還是limitorderStopordersDefinitionExampleDifferencebetweenstopordersandlimitordersStopordersandliquidityOthertypesofordersMarket-If-TouchedordersTick-SensitiveordersMarket-Not-HeldValidityandexpirationinstructionsDay-OrderGood-until-CancelImmediate-or-cancelGood-after-(somedate)Market-On-OpenMarket-On-CloseOtherorderinstructionsSpreadOrdersDisplayInstructionsSubstitutionOrdersSpecialSettlementInstructionsTradingSessionsContinuousMarketsCallMarketTradingHoursMarketTypesExecutionSystemsQuot