1、金融交易与市场结构,2013年夏,第三课,Order driven marketBrokerWhy People TradeGood Market,Order Driven Market,vs. quote driven marketOrder book transparencyLiquidity issue,Oral Auction,Example,Call vs. Continuous Market,Uniform pricing ruleDiscriminatory pricing rule Trader surplus作业Question(1)：对同一个trade schedule，证
2、明uniform pricing rule call market规则下面能最大化trader surplus；并请说明在continuous market discriminatory pricing rule下面，最后实现的trader surplus距离上述最大值出现差距的原因在什么地方,Broker,What do they do？,Solve Clearing and SettlementProvide Access to Exchanges and DealersAs Expert Traders to trade for clientsOrder management for a
3、bsent clients,Clearing,Clearing:all activities from the time a commitment is made for a transaction until it is settledInvolves: reporting/monitoring, risk margining, netting of trades to single positions, tax handling, and failure handling. Why it is necessary? And why broker is better?,Settlement,
4、the process whereby securities or interests in securities are delivered, usually against payment, to fulfill contractual obligations,The Structure of A Brokerage Firm (1),Front OfficeSales and Trading Operation: interact with ClientsFloor Operation: interact with ExchangeCorporate Finance Dept./Inve
5、stment Banking DeptResearch Dept.Customer Service Agents,The Structure of A Brokerage Firm (2),Back OfficeAccountingCorporate ReorganizationMarket Data and Order-routingCredit ManagementCompliance,The Structure of A Brokerage Firm (3),Proprietary Operations Definition: trading for the firms own acco
6、untCash Management and Stock Lending and BorrowingRisk Management,Broker Profitability,RevenuesCommissions Payment for Order flowInterestShort Interest RebateUnderwriting fees,The Principal-Agent Issue,Best ExecutionDual Trading ProblemOrder Preferencing,Dishonest Brokers,Front runningInappropriate
7、Order ExposureFraudulent Trade AssignmentPrearranged Trading and Kickback SchemesUnauthorized Trading and ChurningSecurity Theft,Why People Trade,The eco-system of the market,Types of the people who are trading:Utilitarian TraderThe trading is not entirely profit motivated.Profit-motivated Traders T
8、he trading is entirely profit motivated.Futile Traders （profit motivated， however futile）The trading is profit motivated, however not successful,The Utilitarian Traders,Investor and LenderAsset ExchangerHedgerGambler: in the pursuit of excitement of betting FledglingTo learn whether they can trade p
9、rofitablyCross-subsidizersMotivated by external benefit such as compensation from broker,The profit-motivated traders,SpeculatorsProfit from their prediction of future price changesDealersProfit from supplying liquidity作业 Question 2，如果有一个50-50的赌局（掷硬币猜面），有人说如果输了，接下来就每次加倍赌注去赌，最后总能赢钱，你的评价是什么，这样做理性吗？,Sp
10、eculators,Informed traderAcquire and act on information about fundamental instrument valuesParasitic traderOrder Anticipator and BlufferTechnical TradersPredict price changes from technical data that generally include past and current prices, volumes, short interests, money flow etc,Futile Traders,I
11、nefficient TraderLacks skill, resource, information accessSo-called pseudo-informed tradersVictimized traderRely others to provide information or trading advices, however fail to get what they expected from agentsRogue TradersVictimize their employer or client.The Famous Nick Leeson and Fall of Bari
12、ngs Bank,Speculators:Informed Trader,Fundamental ValuesInformed Traders estimate fundamental value based on both private and public informationStyles of Informed TradingValue TradersNews TradersInformation-oriented technical tradersArbitrageurs,Speculator: Order Anticipator,Front runnerFront running others orderSentiment-oriented technical tradersSqueezers,Dealer,Profitable liquidity service, sell “Immediacy” to the marketBid/Ask Spread Inventory risk作业 Question 3：假如一个市场没有utilitarian trader会怎么样，假如完全没有了profit-motivated trader会怎么样，假如profit-motivated trader里面只是没有了futile trader又会怎么样？,推荐阅读,
