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Impact of information cost and switching of trading strategies in an artificial stock market.
Liu, Yi-Fang; Zhang, Wei; Xu, Chao; Andersen, Jørgen … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double … and the market volatility under different structures of investors. We find that there exists a positive relationship … between the market volatility and the percentage of switchers. We therefore conclude that the switchers are a destabilizing …
Persistent link: https://www.econbiz.de/10010762660
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Learning by Trading in Infinite Horizon Strategic Market Games with Default.
Brangewitz, Sonja; Giraud, Gaël - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012
We study the consequences of dropping the perfect competition assumption in an infinite horizon model with infinitely-lived traders and collateralized assets together with asymmetric information among players and incomplete monitoring. Trading assets is not only a way to hedge oneself against...
Persistent link: https://www.econbiz.de/10010711848
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The dollar squeeze of the financial crisis.
Bottazzi, Jean-Marc; Luque, Jaime; Páscoa, Mário R.; … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012
By Covered Interest rate Parity (CIP), the FX swap implied currency interest rates should coincide with actual interest rates. When a difference occurs, the residual is referred to as the cross currency basis. We link the Euro-Dollar currency basis (e.g. in 2008) to shadow prices of dollar...
Persistent link: https://www.econbiz.de/10009493571
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Learning by Trading in Infinite Horizon Strategic Market Games with Default.
Brangewitz, Sonja; Giraud, Gaël - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012
We study the consequences of dropping the perfect competition assumption in a standard infinite horizon model with infinitely-lived traders and real collateralized assets, together with one additional ingredient : information among players is asymmetric and monitoring is incomplete. The key...
Persistent link: https://www.econbiz.de/10010585896
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Efficient frontier for robust higher-order moment portfolio selection.
Jurczenko, Emmanuel F.; Maillet, Bertrand; Merlin, Paul M. - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
This article proposes a non-parametric portfolio selection criterion for the static asset allocation problem in a robust higher-moment framework. Adopting the Shortage Function approach, we generalize the multi-objective optimization technique in a four-dimensional space using L-moments, and...
Persistent link: https://www.econbiz.de/10005797738
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Towards an understanding approach of the insurance linked securities market.
Gatumel, Mathieu; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
The paper aims to present the insurance linked securities market behaviour, that has changed a lot the past three years, both in terms of structure and in terms of ceded risks. After having introduced some stylized facts characterizing the insurance linked securities we capture their market...
Persistent link: https://www.econbiz.de/10005220162
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Dynamic analysis of the insurance linked securities index.
Gatumel, Mathieu; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
financial crisis. Some stylized facts of the index, like the non-Gaussianity, the asymmetry or the clusters of volatility, are …
Persistent link: https://www.econbiz.de/10005670858
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A multi-horizon scale for volatility.
Subbotin, Alexander - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic …
Persistent link: https://www.econbiz.de/10005510612
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Detrending Persistent Predictors.
Boucher, Christophe; Maillet, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011
Researchers in finance very often rely on highly persistent Ñ nearly integrated Ñ explanatory variables to predict returns. This paper proposes to stand up to the usual problem of persistent regressor bias, by detrending the highly auto-correlated predictors. We find that the statistical...
Persistent link: https://www.econbiz.de/10009003411
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A short note on option pricing with Lévy Processes.
Guegan, Dominique; Lalaharison, Hanjarivo - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
In this paper, we provide exact formulas for the pricing of European options under the risk neutral measure, whereas under the historic measure the data follow two types of models : a GARCH process with Lévy innovations, or a GARCH process with Poisson jumps. This approach aims to take...
Persistent link: https://www.econbiz.de/10008727368