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Here's My Market Thesis and Strategy

I believe we are going through a corrective process right now, which is triggered in part by seasonality..

I actively avoid making market predictions. I have no idea where the indices will be months from now, and I believe it is futile to even guess. However, I still have to develop trading strategies, and that means having some sort of market thesis in place. If I see evidence that my thesis is incorrect, then I can shift my strategy, but I need to formulate a general theory to use as a framework.

My view of the market right now is fairly simple. I believe we are going through a corrective process right now, which is triggered in part by seasonality. We will see many different reasons stated for the market action, but primarily it is just the natural ebb and flow that occurs. We need periodic down cycles to set up the next cycle.

I'm not going to try to guess how long this corrective cycle will last or how deep it will go. I do not think we will see the start of a significant bear market, but that is always possible.

With that thesis in mind, my strategy is pretty easy to formulate. I'm holding highs levels of cash. I have some positions in a few favorites that I'm willing to add to as they develop. I am not in any rush to ramp up my long exposure until I see better price action. There will be some upside action that will try to suck us in during the short term, but I don't expect to see a good, sustained upside to build until after third-quarter earnings start to hit.

That is my market thesis and strategy. Now I have to execute on it. That means managing the positions I have and not letting any losses grow too much. I want to keep my precious capital safe and be in the position to be aggressive when things improve, which I think may take a few weeks.

Currently, the indices are rolling over again, and we have another intraday reversal to the downside. There has been a series of these in the last two weeks, and it is a clear sign that corrective action is playing out. It is exactly what is needed, but many folks become frustrated and impatient and want it to end.

I'm going to try to find some short-term plays to focus on, but as far as building longer-term positions, I'm not going to do very much right now.

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PhD Dissertations

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Three essays on international mutual fund flows , three essays on political contributions and firm performance , corporate cash holdings, firm performance, and ceo compensation , two essays on how do investors perceive the optimal capital structure and an essay on mutual fund volatility decomposition and manager skill , behavioral explanations of investors’ trading in financial markets , the impact of fresh eyes: how a change in the engagement team impacts the reporting of internal control material weaknesses , international evidence on the effect of economic policy uncertainty on stock market liquidity , mutual funds: governance and holdings , the effect of investor sentiment on earnings management , rational expectations or behaviorally inefficient markets , essays on product market dynamics and corporate cash holdings across countries , cognitive biases, style investing, and stock return predictability , merger means of payment and analyst biases around merger announcement date , fear and the housing market , institutional investors and cross-border mergers and acquisitions: the 2000-2012 period , in times of financial distress: perspectives from valuation, information asymmetry and returns , executive compensation and idiosyncratic risk , cointegration, causality and price discovery in the nafta markets: a study of sector indices and trade flow data from the perspective of us markets , reassessing anomalies and puzzles , three essays on market anomalies and efficient market hypothesis .


This thesis contains three chapters discussing different aspects of financial markets. The first chapter studies the impact of learning information about future non-fundamental shocks on stock price dynamics and provides a new insight into how rational speculators can cause inefficiency and volatility to stock markets during periods of information technology advancement. I construct an infinite-period competitive market model and analyze how an increase in non-fundamental signal precision affects trading strategy of rational investors, price formation, and efficiency. Contradicting to traditional rational speculative theory, I found that higher non-fundamental signal precision can increase stock return volatility, increase price sensitivity to both current and future non-fundamental shocks, and decrease price informativeness. Moreover, even though investors have better information about future stock prices, they can predict stock returns less accurately. This is because the investors expect that their future counterparts will also trade more aggressively on new non-fundamental information that arrives in the future, causing future stock prices to be endogenously more volatile to new non-fundamental shocks which are unpredictable to the investors at the present. The second chapter develops a game-theoretic dynamic model to study strategic dealer choice of buy-side investors in over-the-counter (OTC) secondary asset markets and provides a new theory of why periphery dealers, despite locating at inferior positions in OTC dealer network, can survive and co-exist with core dealers. My theory is based on a premise that buy-side investors form a non-binding long-term relationship with core dealers to obtain costly liquidity in bad periods. The main finding is that periphery dealers can help investors with infrequent liquidity needs, those who cannot form the relationship with core dealers directly due to commitment problem, successfully obtain costly liquidity in bad periods. By connecting with several investors and forming relationship with a core dealer on their behalf, periphery dealer will have enough power to pressure the core dealer to commit to the relationship. Therefore, investors with infrequent liquidity needs will trade with periphery dealers to obtain the benefit of long-term relationship, granting market power to periphery dealers to co-exist with core dealers. The third chapter develops a game-theoretic model to study strategic formation of financial network. In the model, a finite number of risk-averse agents who invest in risky projects can issue and trade forward contracts (i.e. assets) to obtain fractions of investment return of other agents. All trades are bilateral, each involving two parties with trading relationship privately bargaining on asset price and quantity. The main objective is to examine how structural properties of trading network determine trading decision of the agents and equilibrium asset allocation. To this end, I use the concept of line graph transformation to identify network of asset flows and map positions of trading links onto the equilibrium outcome. The main insight is that equilibrium asset allocation corresponds to a generalized Bonacich centrality of the network of asset flows.

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Search for dissertations about: "Financial markets"

Showing result 1 - 5 of 167 swedish dissertations containing the words Financial markets .

1. Empirical essays on financial markets, firms, and derivatives

Author : Niclas Hagelin ; Ingrid M. Werner ; Stockholms universitet ; [] Keywords : SOCIAL SCIENCES ; SAMHÄLLSVETENSKAP ; SAMHÄLLSVETENSKAP ; SOCIAL SCIENCES ; Financial markets ; Stock markets ; Future markets ; Options ; Derivates ; Hedging ; Derivathandel ; Business studies ; Företagsekonomi ; Business Administration ; företagsekonomi ;

Abstract : This thesis consists of five self-contained studies. The first three investigate the impact of derivatives on the markets for the underlying assets, while the other two examine how and why firms use derivatives. A summary of each of the five studies follows. READ MORE

2. Essays on Financial Markets

Author : Hans Byström ; Nationalekonomiska institutionen ; [] Keywords : SAMHÄLLSVETENSKAP ; SOCIAL SCIENCES ; SAMHÄLLSVETENSKAP ; SOCIAL SCIENCES ; Electricity Futures ; Option Pricing ; Compass Rose ; Covariance Matrix ; Chaos ; Stochastic Volatility ; Financial Markets ; GARCH ; Financial science ; Finansiering ;

Abstract : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. READ MORE

3. Globalisation revisited : Rethinking economics and transnational financial markets

Author : Erik Andersson ; Göteborgs universitet ; Göteborgs universitet ; Gothenburg University ; [] Keywords : SAMHÄLLSVETENSKAP ; SOCIAL SCIENCES ; globalisation ; governance ; hegemony ; financial markets ;

Abstract : .... READ MORE

4. Essays on systemic risk and financial market volatility

Author : Dominika Krygier ; Nationalekonomiska institutionen ; [] Keywords : SAMHÄLLSVETENSKAP ; SOCIAL SCIENCES ; SAMHÄLLSVETENSKAP ; SOCIAL SCIENCES ; systemic risk ; Volatility ; Volatility forecasting ; Bitcoin ; implicit guarantees ; Financial stability ; Leverage ; Value-at-Risk ; CoVaR ; networks ; Centrality ; interconnectedness ; Financial crisis ; Stock market ; Banks ; Financial Markets ;

Abstract : This doctoral thesis consists of four independent research papers. All papers are empirical and cover the area of financial market risk, with a particular focus on systemic risk and volatility in financial markets. READ MORE

5. Information and financial markets

Author : Stefan Anchev ; Jörgen Hellström ; Rickard Olsson ; Juha-Pekka Kallunki ; Umeå universitet ; [] Keywords : SOCIAL SCIENCES ; SAMHÄLLSVETENSKAP ; SAMHÄLLSVETENSKAP ; SOCIAL SCIENCES ; Information ; dissemination of information ; production of private information ; information disadvantage ; investor base ; stock return anomalies ; stock price informativeness ; quantity of firm disclosure ; less sophisticated individual investors ;

Abstract : The results in this thesis are consistent with the hypotheses that: 1) the incomplete dissemination of information across investors helps in explaining the occurrence and the persistence of cross-sectional stock return anomalies, 2) the properties of the investor base of a stock have implications for the informativeness of the stock's price and 3) a greater quantity of firm disclosure places less sophisticated investors at an information disadvantage. Overall, the thesis provides new empirical evidence about the role of information in financial markets. READ MORE

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Home > Publicly Accessible Penn Dissertations > 3805

Publicly Accessible Penn Dissertations

Essays On Decentralized Financial Markets

Ruslan Sverchkov , University of Pennsylvania

Date of Award

Degree type.


Degree Name

Doctor of Philosophy (PhD)

Graduate Group

First advisor.

Vincent Glode

Second Advisor

Itay Goldstein

In the first chapter, To Pool or Not to Pool? Security Design in OTC Markets with Vincent Glode and Christian C. Opp, we study security issuers' decision whether to pool assets when facing counterparties endowed with market power, as is common in over-the-counter markets. Unlike in competitive markets, pooling assets may be suboptimal in the presence of market power --- both privately and socially --- in particular, when the potential gains from trade are large. In these cases, pooling assets reduces the elasticity of trade volume in the relevant part of the payoff distribution, exacerbating inefficient rationing associated with the exercise of market power. Our results shed light on recently observed time-variation in the prevalence of pooling in financial markets.

In the second chapter, Selling to Investor Network: Allocations in the Primary Corporate Bond Market, I develop a model of the primary market for corporate bonds, in which an issuer optimally chooses an issuance price and allocations to investors based on their trading connections in the secondary over-the-counter market. Expected secondary market liquidity, which depends on the structure of the trading network in this market, determines investors' demands in the primary market and, in turn, the issuer's revenues. I show that trading by less connected investors has a relatively high negative impact on expected secondary market liquidity and disproportionately reduces the demands of all investors in the primary market. As a result, the issuer can increase her profits by restricting allocations of new bonds only to more connected investors. This explains the commonly observed exclusion of small institutional investors from the primary market, which is often coupled with seemingly underpriced bonds.

In the third chapter, Initial Coin Offerings as a Commitment to Competition with Itay Goldstein and Deeksha Gupta, we model Initial Coin Offerings (ICOs) of utility tokens, which are increasingly used to finance the development of online platforms where buyers and sellers can meet to exchange services or goods. Utility tokens serve as the sole medium of exchange on a platform and can be traded in a secondary market. We show that such a financing mechanism allows an entrepreneur to give up monopolistic rents associated with the control of the platform and make a credible commitment to long-run competitive prices. The entrepreneur optimally chooses to have an ICO, rather than operate as a monopolist, only if future consumers of the platform participate in financing. ICOs, therefore, endogenously require crowd-funding to be viable.

Recommended Citation

Sverchkov, Ruslan, "Essays On Decentralized Financial Markets" (2020). Publicly Accessible Penn Dissertations . 3805. https://repository.upenn.edu/edissertations/3805

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