This paper proposes a new method for determining the upper bound of any investment strategy's maximum profit, applied in a given time window [0, T]. This upper bound is defined once all the prices are known at time T and therefore represents the ex-post maximum efficiency of any investment...

The promotion of both market fairness and efficiency has long been a goal of securities market regulators worldwide. Accelerated digital disruption and abusive trading behaviors, such as the GameStop mania, prompt regulatory changes. It is unclear how this "democratization" of trading power...

The purpose of this document is to review a variety of liquidity measures actively used by academics and practitioners, and to stress their advantages and limits. We focus on bond market that is an Over-The-Counter (OTC) dealer market. In a typical OTC transaction, a buyer or seller contacts an...

Cet article propose d'analyser les conséquences de la mise en place de Solvency 2 sur le comportement de placement des compagnies d'assurance et, ce faisant, sur le financement de l'économie. Notre analyse revient sur l'opposition potentielle entre l'objectif de stabilité et celui...

In the supply chain of investment services, trading activity is at the heart of several breakthroughs resulting from the rise of new forms of competition and new regulations. The Market in Financial Instruments Directive (MiFID) constitutes a major revolution in the organization of the trading...

This paper investigates if a firm's ethical issues, in conjunction with its governance, affect its standing within financial markets. A firm's ethical reputation arises from its involvement in ethical violations and incidents while a comprehensive index proxies for governance. We assess a firm's...

We build an agent-based model to study how the interplay between low- and high- frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash crashes. In the model, low-frequency agents adopt...

The paper purports to stress how the two major contributions of Bacharach: "Variable Frame Theory" (VFT) and "Team Reasoning" (TR) improve Standard Non-Cooperative Game Theory in some relevant aspects which I point out. The aims are to show: (i) how Bacharach respectively justifies coordination...

This paper applies a social learning model to the optimal consumption rule of Allen & Carroll (2001), and delivers convincing convergence dynamics towards the optimal rule. These findings constitute a significant improvement regarding previous results in the literature, both in terms of speed of...

The widespread evidence of multiple bank lending relationships in credit markets suggests that firms are interested in setting up a diversity of banking links. However, it is hard to know from the empirical data whether a firm's observed number of lenders is symptomatic of financial constraints...