We consider a financial network where banks are heterogeneous in scales and each bank has only local knowledge regarding the network. Each bank must make counterparty and portfolio decisions while facing uncertainty regarding the network structure. Such uncertainty plays an important role in...

Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important stylized facts of financial time series. This paper presents a market microstructure model, that is able to generate volatility clustering with hyperbolic autocorrelations...

The rate of information diffusion and consequently price discovery, is conditional upon not only the design of the market microstructure, but also the informational structure. This paper presents a market microstructure model showing that an increasing number of information hierarchies among...

In this study we examine the rationale behind informed traders decision to speculate on the volatility of the common stock by trading in the derivative or in the cash markets. Using a continuous-time trading model, we demonstrate that the quality of the private information regarding the...

In this study, we examine the rationale that informed traders use in choosing various financial instruments in order to speculate on the volatility of the underlying asset, here a common stock. Using a continuous-time trading model, we demonstrate that the quality of the private information...

This paper constructs a dynamic model of household consumption decisions and accordingly designs empirical analyses to identify how infrastructure investment affects private consumption. The estimation results of provincial panel data reveal that infrastructure investment can not only indirectly...

In this study, we examine the rationale that informed traders use in choosing various financial instruments in order to speculate on the volatility of the underlying asset, here a common stock. Using a continuous-time trading model, we demonstrate that the quality of the private information...

The rate of information diffusion and consequently price discovery, is conditional upon not only the design of the market microstructure, but also the informational structure. This paper presents a market microstructure model showing that an increasing number of information hierarchies among...

Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important stylized facts of financial time series. This paper presents a market microstructure model, that is able to generate volatility clustering with hyperbolic autocorrelations...