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John J. Siam - One of the best experts on this subject based on the ideXlab platform.

  • for Traders in Fixed-Income Markets
    2014
    Co-Authors: Ali R. Montazemi, John J. Siam
    Abstract:

    A Fixed-Income security is defined as one whose Income stream is Fixed for the duration of the loan and where the maturity and face value are known. It is estimated that the global Fixed-Income Market is about $40 trillion with the US having the lion’s share of $19 trillion. There were at least 74 trading platforms in North America and Europe in 2004. However, it is estimated that only about five percent of Fixed-Income trade is performed through electronic transaction systems. This is very low when compared with use of information systems in support of equity trade. Our research is guided by the following central question: What are the implications of using IT to mediate electronic brokerage relationships that are enacted through the work practices and interactions of actors representing buyers and sellers in financial institutions within the context of Fixed Income Market. This paper, based on interviews with the senior managements and traders of 10 major financial institutions, provides an overview of information system support for traders in Fixed-Income trade Markets

  • Examining Technology Enactment in the Fixed Income Market
    Journal of Computer Information Systems, 2011
    Co-Authors: Gokul Bhandari, John J. Siam
    Abstract:

    While the use of electronic trading systems (ETS) in Fixed Income (FI) Market is becoming more common in the last few years, only a small number of empirical studies have been conducted to examine their adoption and impact in the Market. In this study, we use the technology enactment framework (TEF) to identify various institutional and organizational factors that influence ETS adoption. Based on a comprehensive survey and face-to- face interviews with senior managers, sales representatives, and traders from major Canadian financial institutions, we find that the FI Market is characterized by a high level of embedded relationships and that the ETS users do not entirely trust their ETS. This study also presents, among others, important findings regarding the impact of ETS on the users' job performance and their perception about the asymmetric nature of benefits provided by ETS in the FI Market.

  • AMCIS - The Impact of Structural Embeddedness on Perceived Trust on Alternative Trading Systems, Trading Cost, and Access to Information in the Fixed-Income Market
    2008
    Co-Authors: Gokul Bhandari, John J. Siam
    Abstract:

    The Fixed Income (FI) Market is a financial Market where debt securities are traded commonly in the form of bonds. Unlike equity securities which are traded on exchanges, the debt securities are primarily traded in over-the-counter (OTC) Markets. While the use of electronic trading systems in the Fixed Income Market is growing, the majority of the FI Market is still driven by broker-dealer relationships with traders heavily relying on the phone-based communication for their trading. The concept of embeddedness has been used in several studies to explain the economic behavior and emergence of social relations in organizations. This research-in-progress is guided by these questions: What is the extent of embeddedness in the Fixed Income Market? What is the relationship between a financial institution’s embeddedness and its trading cost and access to privileged information? What is the impact of a financial institution’s embeddedness on its perceived trust on alternative trading systems and the telephone system?

  • Effect of Network Relations on the Adoption of Electronic Trading Systems
    The Missouri Review, 2008
    Co-Authors: Ali Reza Montazemi, John J. Siam, Akbar Esfahanipour
    Abstract:

    Information systems can serve as intermediaries between the buyers and the sellers in a Market, creating an "electronic Marketplace" that lowers the buyers' cost to acquire information about sellers' prices and product offerings. Although electronic trading systems provide potential to create an efficient Market structure, we witness that a $45 trillion Fixed-Income Market still makes little use of these systems. Low penetration of electronic trading systems in the Marketplace is at odds with the existing information technology research doctrine. The reason is that the creation of efficient Market structure through an electronic Marketplace is based on macro-level interfirm relationships that do not take into account the recurrent micro-level, interpersonal interaction among the Market actors. Our empirical investigation, based on face-to-face interviews with 90 Fixed-Income senior managers and traders from 25 financial institutions, provides a unique insight into the social capital based on social networks of interpersonal relationships in the Fixed-Income Market. Our research findings show that the Market structure of embedded interpersonal ties enables participants to take advantage of information asymmetry for profit taking. As a result, imposition of solely electronic trading systems on the present Fixed-Income Market structure is at odds with the present interfirm Market norms and business processes enacted for large transactions among Market makers and institutional investors.

  • the impact of structural embeddedness on perceived trust on alternative trading systems trading cost and access to information in the Fixed Income Market
    Americas Conference on Information Systems, 2008
    Co-Authors: Gokul Bhandari, John J. Siam
    Abstract:

    The Fixed Income (FI) Market is a financial Market where debt securities are traded commonly in the form of bonds. Unlike equity securities which are traded on exchanges, the debt securities are primarily traded in over-the-counter (OTC) Markets. While the use of electronic trading systems in the Fixed Income Market is growing, the majority of the FI Market is still driven by broker-dealer relationships with traders heavily relying on the phone-based communication for their trading. The concept of embeddedness has been used in several studies to explain the economic behavior and emergence of social relations in organizations. This research-in-progress is guided by these questions: What is the extent of embeddedness in the Fixed Income Market? What is the relationship between a financial institution’s embeddedness and its trading cost and access to privileged information? What is the impact of a financial institution’s embeddedness on its perceived trust on alternative trading systems and the telephone system?

Gokul Bhandari - One of the best experts on this subject based on the ideXlab platform.

  • Examining Technology Enactment in the Fixed Income Market
    Journal of Computer Information Systems, 2011
    Co-Authors: Gokul Bhandari, John J. Siam
    Abstract:

    While the use of electronic trading systems (ETS) in Fixed Income (FI) Market is becoming more common in the last few years, only a small number of empirical studies have been conducted to examine their adoption and impact in the Market. In this study, we use the technology enactment framework (TEF) to identify various institutional and organizational factors that influence ETS adoption. Based on a comprehensive survey and face-to- face interviews with senior managers, sales representatives, and traders from major Canadian financial institutions, we find that the FI Market is characterized by a high level of embedded relationships and that the ETS users do not entirely trust their ETS. This study also presents, among others, important findings regarding the impact of ETS on the users' job performance and their perception about the asymmetric nature of benefits provided by ETS in the FI Market.

  • AMCIS - The Impact of Structural Embeddedness on Perceived Trust on Alternative Trading Systems, Trading Cost, and Access to Information in the Fixed-Income Market
    2008
    Co-Authors: Gokul Bhandari, John J. Siam
    Abstract:

    The Fixed Income (FI) Market is a financial Market where debt securities are traded commonly in the form of bonds. Unlike equity securities which are traded on exchanges, the debt securities are primarily traded in over-the-counter (OTC) Markets. While the use of electronic trading systems in the Fixed Income Market is growing, the majority of the FI Market is still driven by broker-dealer relationships with traders heavily relying on the phone-based communication for their trading. The concept of embeddedness has been used in several studies to explain the economic behavior and emergence of social relations in organizations. This research-in-progress is guided by these questions: What is the extent of embeddedness in the Fixed Income Market? What is the relationship between a financial institution’s embeddedness and its trading cost and access to privileged information? What is the impact of a financial institution’s embeddedness on its perceived trust on alternative trading systems and the telephone system?

  • the impact of structural embeddedness on perceived trust on alternative trading systems trading cost and access to information in the Fixed Income Market
    Americas Conference on Information Systems, 2008
    Co-Authors: Gokul Bhandari, John J. Siam
    Abstract:

    The Fixed Income (FI) Market is a financial Market where debt securities are traded commonly in the form of bonds. Unlike equity securities which are traded on exchanges, the debt securities are primarily traded in over-the-counter (OTC) Markets. While the use of electronic trading systems in the Fixed Income Market is growing, the majority of the FI Market is still driven by broker-dealer relationships with traders heavily relying on the phone-based communication for their trading. The concept of embeddedness has been used in several studies to explain the economic behavior and emergence of social relations in organizations. This research-in-progress is guided by these questions: What is the extent of embeddedness in the Fixed Income Market? What is the relationship between a financial institution’s embeddedness and its trading cost and access to privileged information? What is the impact of a financial institution’s embeddedness on its perceived trust on alternative trading systems and the telephone system?

Carl Chiarella - One of the best experts on this subject based on the ideXlab platform.

  • the volatility structure of the Fixed Income Market under the hjm framework a nonlinear filtering approach
    Computational Statistics & Data Analysis, 2009
    Co-Authors: Carl Chiarella, Hing Hung
    Abstract:

    The dynamics for interest rate processes within the well-known multi-factor Heath, Jarrow and Morton (HJM) specification are considered. Despite the flexibility of and the notable advances in theoretical research about the HJM model, the number of empirical studies of it is still very sparse. This paucity is principally due to the difficulties in estimating models in this class, which are not only high-dimensional, but also nonlinear and involve latent state variables. The estimation of a fairly broad class of HJM models as a nonlinear filtering problem is undertaken by adopting the local linearization filter, which is known to have some desirable statistical and numerical features, so enabling the estimation of the model via the maximum likelihood method. The estimator is then applied to the US, the UK and the Australian Markets. Different two- and three-factor models are found to be the best for each Market, with the factors being the level, the slope and the ''twist'' effect. The contribution of each factor towards overall variability of the interest rates and the financial reward each factor claims are found to differ considerably from one Market to another.

  • the volatility structure of the Fixed Income Market under the hjm framework a nonlinear filtering approach
    Research Paper Series, 2005
    Co-Authors: Carl Chiarella, Hing Hung
    Abstract:

    This paper considers the dynamics for interest rate processes within a multi-factor Heath, Jarrow and Morton (1992) specification. Despite the flexibility of and the notable advances in theoretical research about the HJM models, the number of empirical studies is still inadequate. This paucity is principally because of the difficulties in estimating models in this class, which are not only high-dimensional, but also nonlinear and involve latent state variables. This paper treats the estimation of a fairly broad class of HJM models as a nonlinear filtering problem, and adopts the local linearization filter of Jimenez and Ozaki (2003), which is known to have some desirable statistical and numerical features, to estimate the model via the maximum likelihood method. The estimator is then applied to the interbank offered-rates of the U.S, U.K, Australian and Japanese Markets. The two-factor model, with the factors being the level and the slope effect, is found to be a reasonable choice for all of the Markets. However, the contribution of each factor towards overall variability of the interest rates and the financial reward each factor claims differ considerably from one Market to another.

  • the volatility structure of the Fixed Income Market under the hjm framework a nonlinear filtering approach
    2005
    Co-Authors: Carl Chiarella, Hing Hung
    Abstract:

    This paper considers the dynamics for interest rate processes within a multi-factor Heath, Jarrow and Morton (1992) specification. Despite the flexibility of and the notable advances in theoretical research about the HJM models, the number of empirical studies is still inadequate. This paucity is principally because of the difficulties in estimating models in this class, which are not only high-dimensional, but also nonlinear and involve latent state variables. This paper treats the estimation of a fairly broad class of HJM models as a nonlinear filtering problem, and adopts the local linearization filter of Jimenez and Ozaki (2003), which is known to have some desirable statistical and numerical features, to estimate the model via the maximum likelihood method. The estimator is then applied to the interbank offered-rates of the U.S, U.K, Australian and Japanese Markets. The two-factor model, with the factors being the level and the slope effect, is found to be a reasonable choice for all of the Markets. However, the contribution of each factor towards overall variability of the interest rates and the financial reward each factor claims differ considerably from one Market to another. A revised version of the paper is now published in "Computational Statistics and Data Analysis", Vol. 53, Issue 6, pp. 2075-2088.

  • Estimation of the Volatility Structure of the Fixed Income Market
    2004
    Co-Authors: Carl Chiarella
    Abstract:

    This paper considers the dynamics for interest rate processes within the Heath, Jarrow and Morton (1992) specification. It is well known that one of the difficulties in using this specification for estimation is the non-Markovian nature of the dynamics. The paper focuses on a fairly broad family of models that not only can be transformed into a Markovian dynamics, but also has an affine representation for the observed data, which overlaps but is not nested in the Duffie and Kan (1996) class of affine term structure models. The model parameters are estimated using a maximum likelihood function obtained via the local linearization filter proposed by Jimenez and Ozaki (2002, 2003). The method is then applied to analyze the volatility structure of the LIBOR Markets

Hing Hung - One of the best experts on this subject based on the ideXlab platform.

  • the volatility structure of the Fixed Income Market under the hjm framework a nonlinear filtering approach
    Computational Statistics & Data Analysis, 2009
    Co-Authors: Carl Chiarella, Hing Hung
    Abstract:

    The dynamics for interest rate processes within the well-known multi-factor Heath, Jarrow and Morton (HJM) specification are considered. Despite the flexibility of and the notable advances in theoretical research about the HJM model, the number of empirical studies of it is still very sparse. This paucity is principally due to the difficulties in estimating models in this class, which are not only high-dimensional, but also nonlinear and involve latent state variables. The estimation of a fairly broad class of HJM models as a nonlinear filtering problem is undertaken by adopting the local linearization filter, which is known to have some desirable statistical and numerical features, so enabling the estimation of the model via the maximum likelihood method. The estimator is then applied to the US, the UK and the Australian Markets. Different two- and three-factor models are found to be the best for each Market, with the factors being the level, the slope and the ''twist'' effect. The contribution of each factor towards overall variability of the interest rates and the financial reward each factor claims are found to differ considerably from one Market to another.

  • the volatility structure of the Fixed Income Market under the hjm framework a nonlinear filtering approach
    2005
    Co-Authors: Carl Chiarella, Hing Hung
    Abstract:

    This paper considers the dynamics for interest rate processes within a multi-factor Heath, Jarrow and Morton (1992) specification. Despite the flexibility of and the notable advances in theoretical research about the HJM models, the number of empirical studies is still inadequate. This paucity is principally because of the difficulties in estimating models in this class, which are not only high-dimensional, but also nonlinear and involve latent state variables. This paper treats the estimation of a fairly broad class of HJM models as a nonlinear filtering problem, and adopts the local linearization filter of Jimenez and Ozaki (2003), which is known to have some desirable statistical and numerical features, to estimate the model via the maximum likelihood method. The estimator is then applied to the interbank offered-rates of the U.S, U.K, Australian and Japanese Markets. The two-factor model, with the factors being the level and the slope effect, is found to be a reasonable choice for all of the Markets. However, the contribution of each factor towards overall variability of the interest rates and the financial reward each factor claims differ considerably from one Market to another. A revised version of the paper is now published in "Computational Statistics and Data Analysis", Vol. 53, Issue 6, pp. 2075-2088.

  • the volatility structure of the Fixed Income Market under the hjm framework a nonlinear filtering approach
    Research Paper Series, 2005
    Co-Authors: Carl Chiarella, Hing Hung
    Abstract:

    This paper considers the dynamics for interest rate processes within a multi-factor Heath, Jarrow and Morton (1992) specification. Despite the flexibility of and the notable advances in theoretical research about the HJM models, the number of empirical studies is still inadequate. This paucity is principally because of the difficulties in estimating models in this class, which are not only high-dimensional, but also nonlinear and involve latent state variables. This paper treats the estimation of a fairly broad class of HJM models as a nonlinear filtering problem, and adopts the local linearization filter of Jimenez and Ozaki (2003), which is known to have some desirable statistical and numerical features, to estimate the model via the maximum likelihood method. The estimator is then applied to the interbank offered-rates of the U.S, U.K, Australian and Japanese Markets. The two-factor model, with the factors being the level and the slope effect, is found to be a reasonable choice for all of the Markets. However, the contribution of each factor towards overall variability of the interest rates and the financial reward each factor claims differ considerably from one Market to another.

Márcio Poletti Laurini - One of the best experts on this subject based on the ideXlab platform.

  • Implicit Inflation and Risk Premiums in the Brazilian Fixed Income Market
    Emerging Markets Finance and Trade, 2016
    Co-Authors: Lucas Argentieri Mariani, Márcio Poletti Laurini
    Abstract:

    The breakeven inflation, the differential between nominal and real yields of bonds, is often used as a predictor of future inflation. The model presented here decomposes this interest rate differential into a risk premium and implicit inflation using a parametric formulation based on no-arbitrage conditions using nominal and indexed yield curves in Brazil, via an affine model of the Nelson–Siegel family. The measures of implicit inflation obtained from the model are shown to be unbiased estimators of future inflation for short horizons and carry some information for long horizons, and the model forecasts are superior to Market surveys.