empirical investigation of the relationship between exchange rate
... flow oriented exchange model proposed by Dornbusch and Fisher (1980) states that stock prices movements are caused by exchange rate movements. In the language of Granger Causality, we can say that unidirectional causality stock price movements are caused by fluctuation in exchange rate. The model is ...
... flow oriented exchange model proposed by Dornbusch and Fisher (1980) states that stock prices movements are caused by exchange rate movements. In the language of Granger Causality, we can say that unidirectional causality stock price movements are caused by fluctuation in exchange rate. The model is ...
Informed Trading in Parallel Auction and Dealer Markets
... The predictions of the theoretical models of Seppi (1990), Grossman (1992), Easley, Kiefer, and O’Hara (1996), Pagano and Roell (1992, 1996), and Benveniste, Marcus, and Wilhelm (1992) have been empirically verified by De Jong, Nijman, and Roell (1996), Smith, Turnbull, and White (2001), Fong, Madh ...
... The predictions of the theoretical models of Seppi (1990), Grossman (1992), Easley, Kiefer, and O’Hara (1996), Pagano and Roell (1992, 1996), and Benveniste, Marcus, and Wilhelm (1992) have been empirically verified by De Jong, Nijman, and Roell (1996), Smith, Turnbull, and White (2001), Fong, Madh ...
mandlebrot
... Benoit Mandelbrot's Contributions to Price Analysis Before his death, Benoit Mandelbrot was one of the most celebrated mathematicians in the world, and most of his work was based on the belief that the wider view of price behavior in financial markets is primitive and in need of large revisions. Man ...
... Benoit Mandelbrot's Contributions to Price Analysis Before his death, Benoit Mandelbrot was one of the most celebrated mathematicians in the world, and most of his work was based on the belief that the wider view of price behavior in financial markets is primitive and in need of large revisions. Man ...
Finding Your Way Around the Book`s Web Site
... rely on the stock market being efficient. But, if you feel that stocks might be mispriced, there is another aspect of risk to be concerned with. That is the risk of paying too much for a stock, or selling for too little, for the price of an overpriced stock is likely to fall and that of an underpric ...
... rely on the stock market being efficient. But, if you feel that stocks might be mispriced, there is another aspect of risk to be concerned with. That is the risk of paying too much for a stock, or selling for too little, for the price of an overpriced stock is likely to fall and that of an underpric ...
High-Frequency Trading in the US Treasury Market
... orders are submitted at less aggressive levels. These findings are in contrast with those suggesting that HF trading narrows spreads (Jovanovic and Menkveld , 2011; Hendershott, Jones and Menkveld, 2011; and Menkveld, 2013), but they are in line with others recording that HF market orders negativel ...
... orders are submitted at less aggressive levels. These findings are in contrast with those suggesting that HF trading narrows spreads (Jovanovic and Menkveld , 2011; Hendershott, Jones and Menkveld, 2011; and Menkveld, 2013), but they are in line with others recording that HF market orders negativel ...
Volatility trading in options market: How does it a ect where
... the agent is informed or not; they set bid and ask prices competitively and rationally so as to yield zero expected prot on each trade given the information conveyed by the trade history in the two markets. Market markers cope with an adverse selection problem. They oset losses due to informed tra ...
... the agent is informed or not; they set bid and ask prices competitively and rationally so as to yield zero expected prot on each trade given the information conveyed by the trade history in the two markets. Market markers cope with an adverse selection problem. They oset losses due to informed tra ...
comparative analysis of functional food producers` profitability in
... a factors that may cause the difference in profitability between two analyzed companies. The “Imlek’s” gross margin is quite stable in each of the observed years and shows signs of a slight increase in both 2012 and 2013. The same tendency can be noticed in the analysis of the operating profit ratio ...
... a factors that may cause the difference in profitability between two analyzed companies. The “Imlek’s” gross margin is quite stable in each of the observed years and shows signs of a slight increase in both 2012 and 2013. The same tendency can be noticed in the analysis of the operating profit ratio ...
The Round-the-Clock Market for US Treasury Securities
... he U.S. Treasury securities market is one of the most important financial markets in the world. Treasury bills, notes, and bonds are issued by the federal government in the primary market to finance its budget deficits and meet its short-term cash-management needs. In the secondary market, the Feder ...
... he U.S. Treasury securities market is one of the most important financial markets in the world. Treasury bills, notes, and bonds are issued by the federal government in the primary market to finance its budget deficits and meet its short-term cash-management needs. In the secondary market, the Feder ...
A Fully-Dynamic Closed-Form Solution for ∆-Hedging
... * This research is based upon work supported by the National Science Foundation Graduate Research Fellowship under Grant No. DGE-0646086 and the Fannie and John Hertz Foundation Graduate Fellowship. The author would like to thank both organizations for their generous support. ...
... * This research is based upon work supported by the National Science Foundation Graduate Research Fellowship under Grant No. DGE-0646086 and the Fannie and John Hertz Foundation Graduate Fellowship. The author would like to thank both organizations for their generous support. ...
eui working papers - Cadmus - European University Institute
... The empirical results with data on the German Mark and Japanese Yen (against the U.S. Dollar) lend support to our theoretical model: following an increase in transaction costs, price dispersion increases, even controlling for fundamental volatility. The plan of the paper is as follows. Section 2 for ...
... The empirical results with data on the German Mark and Japanese Yen (against the U.S. Dollar) lend support to our theoretical model: following an increase in transaction costs, price dispersion increases, even controlling for fundamental volatility. The plan of the paper is as follows. Section 2 for ...
Exchange-Traded Barrier Option and VPIN: Evidence from Hong Kong
... according to extrapolative expectations, which are mainly based on past returns, and that they appear to be trend followers. In this study, we consider speculators to be uninformed traders who may ask for a higher return if the market is not satisfactory. Many orders caused by retail uninformed trad ...
... according to extrapolative expectations, which are mainly based on past returns, and that they appear to be trend followers. In this study, we consider speculators to be uninformed traders who may ask for a higher return if the market is not satisfactory. Many orders caused by retail uninformed trad ...
Project Analysis
... If NPV is positive, they must seek to understand why such an attractive project did not come from a competitor. And if the firm goes ahead with the project, and other copy a such a profitable idea, will the firm still have some competitive advantage? ...
... If NPV is positive, they must seek to understand why such an attractive project did not come from a competitor. And if the firm goes ahead with the project, and other copy a such a profitable idea, will the firm still have some competitive advantage? ...
Longshots, Overconfidence and Efficiency on the Iowa Electronic Market
... events. Thus, our analysis is a test between unbiased pricing and two potential biases, one reflecting over-weighting of low probability events that is consistent with a longshot bias and one reflecting overweighting of high probability events that is consistent with an overconfidence bias. Whether ...
... events. Thus, our analysis is a test between unbiased pricing and two potential biases, one reflecting over-weighting of low probability events that is consistent with a longshot bias and one reflecting overweighting of high probability events that is consistent with an overconfidence bias. Whether ...
Longshots, Overconfidence and Efficiency on the Iowa Electronic Market
... with no uncertainty about their value at that time and the market repeats itself under essentially identical conditions monthly. Finally, the structure of the market and the contracts traded imply that the price of a particular contract at any point in time should equal the market consensus probabi ...
... with no uncertainty about their value at that time and the market repeats itself under essentially identical conditions monthly. Finally, the structure of the market and the contracts traded imply that the price of a particular contract at any point in time should equal the market consensus probabi ...
PresentationPrague_talavera
... In Specification (2), equilibrium relationship between relative and the exchange rate are determined according to Specification (1). While the equilibrium relationship nests the law of one price, it also allows deviations from the law of one price (i.e., α can be less than one). ...
... In Specification (2), equilibrium relationship between relative and the exchange rate are determined according to Specification (1). While the equilibrium relationship nests the law of one price, it also allows deviations from the law of one price (i.e., α can be less than one). ...
Market force, ecology and evolution
... where P is the price at time t, D is the excess demand (i.e. demand – supply), and f is an increasing function. (For a full list of notations see Table 1.) In classic treatments of Walrasian tatonnement, agents signal their excess demand to each other and adjust prices, but only make transactions wh ...
... where P is the price at time t, D is the excess demand (i.e. demand – supply), and f is an increasing function. (For a full list of notations see Table 1.) In classic treatments of Walrasian tatonnement, agents signal their excess demand to each other and adjust prices, but only make transactions wh ...
Stock Split Revisited: Evidence from U.S. and China Sheridan
... China stops after six months and in some cases reverses in the subsequent six months. Using detailed trading data from the Shanghai Stock Exchange and information on State Owned Enterprise (SOE) privatizations, we find that individual investors are net buyers after split announcements while mutual f ...
... China stops after six months and in some cases reverses in the subsequent six months. Using detailed trading data from the Shanghai Stock Exchange and information on State Owned Enterprise (SOE) privatizations, we find that individual investors are net buyers after split announcements while mutual f ...
Prestigious Stock Exchanges - Federal Reserve Bank of New York
... VC firms also affect the market structure of venture capital (Hochberg, Ljungqvist, and Lu 2007, 2009). On a topic perhaps more closely related to our study, many applications of so-called world-system theories (Wallerstein 1974; Chase-Dunn 1985; Sacks, Ventresca, and Uzzi 2000; Alderson and Beckfie ...
... VC firms also affect the market structure of venture capital (Hochberg, Ljungqvist, and Lu 2007, 2009). On a topic perhaps more closely related to our study, many applications of so-called world-system theories (Wallerstein 1974; Chase-Dunn 1985; Sacks, Ventresca, and Uzzi 2000; Alderson and Beckfie ...
Failure is an Option: Impediments to Short Selling and
... The market for short exposure in the United States clears differently from the market for long exposure. This difference has attracted considerable recent interest from both the SEC and market participants who frequently short-sell or whose stock is sold short.1 The interest is in both the economic ...
... The market for short exposure in the United States clears differently from the market for long exposure. This difference has attracted considerable recent interest from both the SEC and market participants who frequently short-sell or whose stock is sold short.1 The interest is in both the economic ...
Why Trade Forex
... banks, and institutional traders who are seeking the same potential rewards from their own trading activities. Forex traders frequently jump in and out of the market and closely monitor their positions throughout the day. Forex trading strategies are the key to successful online currency trading but ...
... banks, and institutional traders who are seeking the same potential rewards from their own trading activities. Forex traders frequently jump in and out of the market and closely monitor their positions throughout the day. Forex trading strategies are the key to successful online currency trading but ...
Stock Price Predictability
... Ostdiek (2001) show that optimal portfolio decisions can be affected to an economically significant degree by return predictability, even when the amount of predictability, as measured by R-squared, is small. The second category of semi-strong form predictor variables for stock returns includes cale ...
... Ostdiek (2001) show that optimal portfolio decisions can be affected to an economically significant degree by return predictability, even when the amount of predictability, as measured by R-squared, is small. The second category of semi-strong form predictor variables for stock returns includes cale ...
SP92: The Equivalence of Screen Based Continuous-Auction and Dealer Markets
... market licenses some traders to act as market makers, but in an auction market these same traders are not licensed to provide this facility, but free entry into the market allows them submit limit orders because they anticipate a profitable trading gain. (ii) A continuous-auction market allows for t ...
... market licenses some traders to act as market makers, but in an auction market these same traders are not licensed to provide this facility, but free entry into the market allows them submit limit orders because they anticipate a profitable trading gain. (ii) A continuous-auction market allows for t ...
Transparency and Bypass in Electronic Financial
... York Stock Exchange (NYSE), regional stock exchanges in Boston, Chicago, Cincinnati, Philadelphia, San Francisco, and through over-the-counter, or "third-market" dealers, and in several overseas stock markets. ...
... York Stock Exchange (NYSE), regional stock exchanges in Boston, Chicago, Cincinnati, Philadelphia, San Francisco, and through over-the-counter, or "third-market" dealers, and in several overseas stock markets. ...
Earnings Release
... captured by the dispersion observed between analysts’ predictions [Abarbanell, Lanen and Verrechia (1995)]. Finally, an alternative method presented by Maddala and Nimalendran (1995) is the non-observed component approach that uses earnings surprises as a non-observed explicative variable in differe ...
... captured by the dispersion observed between analysts’ predictions [Abarbanell, Lanen and Verrechia (1995)]. Finally, an alternative method presented by Maddala and Nimalendran (1995) is the non-observed component approach that uses earnings surprises as a non-observed explicative variable in differe ...