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New types of non-trade related participation in commodity futures markets

Rutten, Lamon - EconWPA - 2003

involvement of banks. The impact of this new form of "speculation" on the price formation process on commodity futures markets is …

Persistent link: https://www.econbiz.de/10005077040

An Analysis of the Profiles and Motivations of Habitual Commodity Speculators

Canoles, W. Bruce; Thompson, Sarahelen R.; Irwin, Scott H. - EconWPA - 1997

The focus of this study is the habitual speculator in commodity futures markets. The speculator's activity broadens a market, creates essential liquidity, and performs an irreplaceable pricing function. Working knowledge of the profiles and motivations of habitual speculators is essential to...

Persistent link: https://www.econbiz.de/10005134865

Speculation in First-Price Auctions with Resale

Troger, Thomas - EconWPA - 2003

We analyze first-price auctions with two asymmetric bidders, where the winner can offer the good for resale to the loser. One bidder has a private value for the good, the other bidder - the speculator - has zero value. We show that, independently of the resale market rules, the speculator's...

Persistent link: https://www.econbiz.de/10005134987

Speculation in Second-Price Auctions with Resale

Garratt, Rod; Troger, Thomas - EconWPA - 2003

equilibria that are profitable for a speculator. With no reserve price in the initial auction, speculation can enhance the … initial seller's expected revenue. On the other hand, speculation can harm the initial seller even if she chooses an optimal …

Persistent link: https://www.econbiz.de/10005118641

Macroeconomics of Speculation

Erturk, Korkut - EconWPA - 2005

speculation per se, ignoring asset price bubbles and their macroeconomic effects. That is perhaps because his views were formed … during the era of financial regulation, when speculation “could do no harm as bubbles on a steady stream of enterprise … a whirlpool of speculation” has begun to ring true again. To deepen our understanding of financial fragility under …

Persistent link: https://www.econbiz.de/10005561366

Speculation in Standard Auctions with Resale

Garratt, Rod; Troger, Thomas - EconWPA - 2004

We analyze the role resale creates for zero-value bidders, called speculators, in standard auctions with symmetric independent private values buyers. English/second-price auctions always have equilibria with active resale markets and positive profits for a speculator. In first- price/Dutch...

Persistent link: https://www.econbiz.de/10005561846

Phenomenology of the interest curve

BOUCHAUD, Jean-Philippe; CONT, Rama; KAROUI, Nicole EL; … - EconWPA - 1997

This paper contains a statistical description of the whole U.S. forward rate curve (FRC), based on data from the period 1990-1996. We find that the average deviation of the FRC from the spot rate grows as the square- root of the maturity, with a proportionality constant which is comparable to...

Persistent link: https://www.econbiz.de/10005413172

Equity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model

Taflin, Erik - EconWPA - 1999

A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its variance and on annual ROE's. Existence of a unique...

Persistent link: https://www.econbiz.de/10005125679

Portfolio Selection with Two-Stage Preferences

Taboga, Marco - EconWPA - 2005

We propose a model of portfolio selection under ambiguity, based on a two-stage valuation procedure which disentangles ambiguity and ambiguity aversion. The model does not imply 'extreme pessimism' from the part of the investor, as multiple priors models do. Furthermore, its analytical...

Persistent link: https://www.econbiz.de/10005134917

Portfolio Selection with Probabilistic Utility, Bayesian Statistics, and Markov Chain Monte Carlo

Rossi, Pietro; Tavoni, Massimo; Cocco, Flavio; … - EconWPA - 2002

We propose a novel portfolio selection approach that manages to ease some of the problems that characterise standard expected utility maximisation. The optimal portfolio is no longer defined as the extremum of a suitably chosen utility function: the latter, instead, is reinterpreted as the...

Persistent link: https://www.econbiz.de/10005413052