金融交易與市場結(jié)構(gòu)2013夏第三課

金融交易與市場結(jié)構(gòu)2013年夏第三課OrderdrivenmarketBrokerWhyPeopleTradeGoodMarketOrderDrivenMarketvs.quotedrivenmarketOrderbooktransparencyLiquidityissueOralAuctionExampleTimeTraderSideSizePrice10:01BeaBuy320.010:05SamSell220.110:08BenBuy220.010:09SolSell119.810:10StuSell520.210:15BifBuy4market10:18BobBuy220.110:20SueSell620.010:29BudBuy719.8Callvs.ContinuousMarketUniformpricingruleDiscriminatorypricingruleTradersurplus作業(yè)Question(1)：對(duì)同一個(gè)tradeschedule，證明uniformpricingrulecallmarket規(guī)則下面能最大化tradersurplus；并請(qǐng)說明在continuousmarketdiscriminatorypricingrule下面，最后實(shí)現(xiàn)的tradersurplus距離上述最大值出現(xiàn)差距的原因在什么地方BrokerWhatdotheydo？SolveClearingandSettlementProvideAccesstoExchangesandDealersAsExpertTraderstotradeforclientsOrdermanagementforabsentclientsClearingClearing:allactivitiesfromthetimeacommitmentismadeforatransactionuntilitissettledInvolves:reporting/monitoring,riskmargining,nettingoftradestosinglepositions,taxhandling,andfailurehandling.Whyitisnecessary?Andwhybrokerisbetter?Settlementtheprocesswherebysecuritiesorinterestsinsecuritiesaredelivered,usuallyagainstpayment,tofulfillcontractualobligationsTheStructureofABrokerageFirm(1)FrontOfficeSalesandTradingOperation:interactwithClientsFloorOperation:interactwithExchangeCorporateFinanceDept./InvestmentBankingDeptResearchDept.CustomerServiceAgentsTheStructureofABrokerageFirm(2)BackOfficeAccountingCorporateReorganizationMarketDataandOrder-routingCreditManagementComplianceTheStructureofABrokerageFirm(3)ProprietaryOperationsDefinition:tradingforthefirm’sownaccountCashManagementandStockLendingandBorrowingRiskManagementBrokerProfitabilityRevenuesCommissionsPaymentforOrderflowInterestShortInterestRebateUnderwritingfeesThePrincipal-AgentIssueBestExecutionDualTradingProblemOrderPreferencingDishonestBrokersFrontrunningInappropriateOrderExposureFraudulentTradeAssignmentPrearrangedTradingandKickbackSchemesUnauthorizedTradingandChurningSecurityTheftWhyPeopleTradeTheeco-systemofthemarketTypesofthepeoplewhoaretrading:UtilitarianTraderThetradingisnotentirelyprofitmotivated.Profit-motivatedTradersThetradingisentirelyprofitmotivated.FutileTraders（profitmotivated，howeverfutile）Thetradingisprofitmotivated,howevernotsuccessfulTheUtilitarianTradersInvestorandLenderAssetExchangerHedgerGambler:inthepursuitofexcitementofbettingFledglingTolearnwhethertheycantradeprofitablyCross-subsidizersMotivatedbyexternalbenefitsuchascompensationfrombrokerTheprofit-motivatedtradersSpeculatorsProfitfromtheirpredictionoffuturepricechangesDealersProfitfromsupplyingliquidity作業(yè)Question2，如果有一個(gè)50-50的賭局（擲硬幣猜面），有人說如果輸了，接下來就每次加倍賭注去賭，最后總能贏錢，你的評(píng)價(jià)是什么，這樣做理性嗎？SpeculatorsInformedtraderAcquireandactoninformationaboutfundamentalinstrumentvaluesParasitictraderOrderAnticipatorandBlufferTechnicalTradersPredictpricechangesfromtechnicaldatathatgenerallyincludepastandcurrentprices,volumes,shortinterests,moneyflowetcFutileTradersInefficientTraderLacksskill,resource,informationaccessSo-calledpseudo-informedtradersVictimizedtraderRelyotherstoprovideinformationortradingadvices,howeverfailtogetwhattheyexpectedfromagentsRogueTradersVictimizetheiremployerorclient.TheFamousNickLeesonandFallofBaringsBankSpeculators:InformedTraderFundamentalValuesInformedTradersestimatefundamentalvaluebasedonbothprivateandpublicinformationStylesofInformedTradingValueTradersNewsTradersInformation-orientedtechnicaltradersArbitrageursSpeculator:OrderAnticipatorFrontrunnerFrontrunningother’sorderSentiment-orientedtechnicaltradersSqueezersDealerProfitableliquidityservice