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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

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

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

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

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

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

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

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

Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures.

Dana, Rose-Anne; Van, Cuong Le - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature to insure existence of Pareto optima and equilibria when short-selling is allowed and investors hold a single belief about future returns, is reconsidered. Investors use measures...

Persistent link: https://www.econbiz.de/10005510595

On the equivalence of financial structures with long-term assets.

Bonnisseau, Jean-Marc; Chery, Achis - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014

In a stochastic financial exchange economy, two financial structures are equivalent if, for each given state price, regardless the associated arbitrage free price, the marketable payoffs are identical. The key property of two equivalent financial structures is that, when associated with any...

Persistent link: https://www.econbiz.de/10011105959