Automated trade execution systems are examined with respect to the degree to which they automate the price discovery process. Seven levels of automation of price discovery are identified, and 47 systems are classified according to these criteria. Systems operating at various levels of automation...

A taxonomy of existing and planned automated trade execution systems in financial markets is provided. Over 50 automated market structures in 16 countries are analyzed. The classification scheme is organized around the principle that such markets consist of an algorithm that performs a trade...

This dissertation contains three essays concerning two broad areas, namely, optimal capital structure and risky assets modeling. In the first paper, we study corporate debt values, capital structure, and the term structure of interest rates in a unified framework. We employ numerical techniques...

This dissertation focuses on the heterogeneous production technologies in banking and finance within the context of efficiency-analyses.The first essay studies the cost efficiency of Turkish banking industry. Studies of bank efficiency tend to draw conclusions from pooled estimates, assuming...

The so-called purchasing-power parity (PPP) puzzle takes one of two forms. In its first form, early tests of the PPP-hypothesis failed to reject unit roots in real exchange rates, thus rejecting the hypothesis of PPP holding in the long term. In the more recent literature, the literature on the...

The recent literature on “convergence� of cross-country per capita incomes has been dominated by two competing hypotheses: “global convergence� and “club-convergence�. This debate has recently relied on the study of limiting...

Actual investment performance reflects the underlying strategy of the portfolio manager and the execution costs incurred in realizing those objectives. Execution costs, especially in illiquid markets, can dramatically reduce the notional return to an investment strategy. This paper examines the...