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The Microstructure of Stock Markets
Biais, Bruno; Glosten, Larry; Spatt, Chester S - C.E.P.R. Discussion Papers - 2002
We survey the literature analysing the price formation and trading process, and the consequences of market organization for price discovery and welfare. We develop a united perspective on theoretical, empirical and experimental approaches. We discuss the evidence on transaction costs and the...
Persistent link: https://www.econbiz.de/10005788974
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Option Pricing and Foreign Investment under Political Risk
Cherian, Joseph A; Perotti, Enrico C - C.E.P.R. Discussion Papers - 1999
component. We show that both the time series and the term structure of conditional volatility in general is downward sloping and … reputation. Another testable implication is that in price series without a policy reversal, implied volatility from option prices … will exceed actual volatility. Over time, and in the absence of a reversal, this wedge progressively disappears. This may …
Persistent link: https://www.econbiz.de/10005656360
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Loss Functions in Option Valuation: A Framework for Model Selection
Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2005
In this paper, we investigate the importance of different loss functions when estimating and evaluating option pricing models. Our analysis shows that it is important to take into account parameter uncertainty, since this leads to uncertainty in the predicted option price. We illustrate the...
Persistent link: https://www.econbiz.de/10005791774
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Imperfect Market Monitoring and SOES Trading
Foucault, Thierry; Röell, Ailsa A; Sandås, Patrik - C.E.P.R. Discussion Papers - 1999
We develop a model of price formation in a dealership market where monitoring of the information flow requires costly effort. The result is imperfect monitoring, which creates profit opportunities for speculators, who do not act as dealers but simply monitor the information flow and quote...
Persistent link: https://www.econbiz.de/10005791723
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Bid-Ask Spreads with Indirect Competition among Specialists
Gehrig, Thomas; Jackson, Matthew O. - C.E.P.R. Discussion Papers - 1997
We examine the bid-ask quotes offered by specialists (or dealers) who face indirect competition from other specialists who trade in related assets. In the context of a simple model where investors have mean variance preferences, we characterize the equilibrium bids and asks quoted by K...
Persistent link: https://www.econbiz.de/10005504767
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The impact of dark trading and visible fragmentation on market quality
de Jong, Frank; Degryse, Hans; van Kervel, Vincent - C.E.P.R. Discussion Papers - 2011
Two important characteristics of current equity markets are the large number of trading venues with publicly displayed order books and the substantial fraction of trading that takes place in the dark, outside such visible order books. This paper evaluates the impact of dark trading and...
Persistent link: https://www.econbiz.de/10009359491
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The Use of Flow Analysis in Foreign Exchange: Explanatory Analysis
Gehrig, Thomas; Menkhoff, Lukas - C.E.P.R. Discussion Papers - 2002
This Paper provides questionnaire evidence on the role of flow analysis for professional traders and fund managers. This evidence suggests that besides fundamental information and technical analysis, the analysis of flows provides an independent third type of information for professionals. The...
Persistent link: https://www.econbiz.de/10005666449
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Does Anonymity Matter in Electronic Limit Order Markets?
Foucault, Thierry; Moinas, Sophie; Theissen, Erik - C.E.P.R. Discussion Papers - 2003
We analyse the effect of concealing limit order traders’ identities on market liquidity. We develop a model in which limit order traders have asymmetric information on the cost of limit order trading (which is determined by the exposure to informed trading). A thin limit order book signals to...
Persistent link: https://www.econbiz.de/10005666673
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Stock Market Quality in the Prescence of a Traded Option
de Jong, Cyriel; Koedijk, Kees; Schnitzlein, Charles - C.E.P.R. Discussion Papers - 2002
option is positive, informational efficiency is higher in the market for the stock, and volatility is lower. We argue that …
Persistent link: https://www.econbiz.de/10005789115
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The Rise of Fund Managers in Foreign Exchange
Gehrig, Thomas; Menkhoff, Lukas - C.E.P.R. Discussion Papers - 2004
This Paper analyses the behaviour and motivation of fund managers in foreign exchange markets reflected in questionnaire evidence. We find that fund managers and FX dealers differ significantly. Fund managers rely more on fundamentals, basically due to their longer forecasting horizons, and...
Persistent link: https://www.econbiz.de/10005791422