Coming Trading Limits Applauded, Feared By NatGas Market Observers

Alan Lammey

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Coming Trading Limits Applauded, Feared By NatGas Market Observers

机译：NatGas市场观察员担心即将到来的交易限额受到鼓掌

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The Commodity Futures Trading Commission is moving toward establishing new rules to limit speculative energy trading. But while some advocacy groups are applauding the efforts, others say the changes could bring about huge unforeseen problems.

机译：大宗商品期货交易委员会正在努力建立新的规则，以限制投机性能源交易。但是，尽管有些倡导团体对这项努力表示赞赏，但另一些团体则表示，这些改变可能会带来无法预料的巨大问题。

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《Natural Gas Week.》 |2009年第13期|共2页
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Alan Lammey;
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1. Coming Trading Limits Applauded, Feared By NatGas Market Observers [J] . Alan Lammey Natural Gas Week. . 2009,第13期

机译：NatGas市场观察员担心即将到来的交易限额受到鼓掌
2. Financial Reform Law Limits Future Flexibility of US NatGas Trading [J] . Lauren ONeil Natural Gas Week. . 2010,第30期

机译：金融改革法限制了美国NatGas交易的未来灵活性
3. Commodities Regulator Will Hold Hearings on Speculative Position Limits, Takes Steps to Improve Market Transparency; Independent Producers Fear Any Limits on Hedging [J] . Foster Natural Gas Report Group Foster Natural Gas Report . 2009,第27a2753期

机译：大宗商品监管机构将举行投机性限价听证会，并采取措施提高市场透明度;独立生产者担心套期保值的任何限制
4. How Does Limit Order Book Information Affect Trading Strategy and Market Quality: Simulations of an Agent-Based Stock Market [C] . Cheng, Wei, Liu, Shan-cun, Jiao, He-ying, International Conference on Management and Service Science;MASS 2009 . 2009

机译：限制订单簿信息如何影响交易策略和市场质量：基于代理的股票市场的模拟
5. Issues of market efficiency in the Chinese stock markets: I. Day-of-the-week effect, month-of-the-year effect and turn-of-the-month effect in China's stock markets. II. Are the two stock markets (Shanghai and Shenzhen) in China integrated or segmented? III. The effects of re-imposing a 10% price limit on the Chinese stock markets. [D] . Feng, Licheng. 1999

机译：中国股票市场的市场效率问题：I.中国股票市场的周日效应，月度效应和月度效应。二。中国的两个股票市场（上海和深圳）是整合还是细分？三，重新对中国股市施加10％的价格限制的影响。
6. Ecology of trading strategies in a forex market for limit and market orders [O] . Takumi Sueshige, Kiyoshi Kanazawa, Hideki Takayasu, -1

机译：限价和市场订单的外汇市场交易策略生态
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

Coming Trading Limits Applauded, Feared By NatGas Market Observers

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