We consider the effect of asymmetric information on price formation process in a financial market where private information is held by a market maker. A Bayesian game is proposed in which there is price competition between two market makers with two different information partitions. At each...

We consider the effect of asymmetric information on price formation process in a financial market where private information is held by a market maker. A Byesian game is proposed in which there is price competition between two market makers with two different information partition.

This paper presents a simple two-country model with mobile capital and immobile labour, in which there are two classes of individuals, the workers and the capital owners. A source-based tax on capital income is used to finance transfers to workers. If the two countries are homogeneous in all...

In this paper we demonstrate that even if policies prior to reform have been rational, it is possible, in fact in certain policy areas likely, that a green tax reform, contrary to the perceived wisdom among economists, will be associated with a double-dividend, i.e. with both environmental and...

In this paper, we apply a collection of parametric (Normal, Normal GARCH, Student GARCH, RiskMetrics and high-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to intraday data for three stocks traded on the New York...

In this paper, we apply a collection of parametric (Normal, Normal GARCH, Student GARCH, RiskMetrics and high-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to intraday data for three stocks traded on the NewY ork...

This paper introduces the logarithmic autoregressive conditional duration model (Log-ACD model). The logarithmic version allows for more flexibility than the ACD model of Engle and Russel (1995), when additional variables are included in the model. We apply the Log-ACD model to bid/ask prices...

One important aspect of financial markets is that there might be some traders that intentionally mislead other market participants by creating illusions in order to obtain a profit. We call this new concept illusionary finance. We present an analysis of how illusions can be created and...

This paper proposes a class of asymmetric Autoregressive Conditional Duration models, which extends the ACD model of Engle and Russell (1997). The asymmetry consists of letting the duration process depend on the state of the price process in the beginning and at the end of each duration. If the...

We propose a dynamic portfolio selection model that maximizes expected returns subject to a Value-at-Risk constraint. The model allows for time varying skewness and kurtosis of portfolio distributions estimating the model parameters by weighted maximum likelihood in a increasing window setup. We...