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A Self-Consistent Model for the Forward Price Dynamics

Makhankov, Vlad - EconWPA - 2003

applications in power industries. This model with stochastic volatility of the forward price is built using the ideas and equations … of stochastic differential geometry in order to close the system of equations for the forward price and its volatility … conditions for a stochastic process described forward price volatility. We compare our results with those known from the …

Persistent link: https://www.econbiz.de/10005124894

LIMIT ORDER BOOK RECONSTRUCTION AND BEYOND: AN APPLICATION TO ISTANBUL STOCK EXCHANGE

Ekinci, Cumhur - EconWPA - 2005

We discuss the use of order book as a source of information and show step by step the procedure of its reconstruction for the case of Istanbul Stock Exchange. We then propose many new variables derived from the order book potentially prolific for future research. We also put forward an original...

Persistent link: https://www.econbiz.de/10005076959

SIZE AND HETEROGENEITY MATTER. A MICROSTRUCTURE-BASED ANALYSIS OF REGULATION OF SECONDARY MARKETS FOR GOVERNMENT BONDS.

Martinez-Resano, J. Ramon - EconWPA - 2005

market structure leads to a critical review of microstructure conclusions relevant specifically for government debt markets … towards a fragmented microstructure at odds both with exchange-like arrangements and with ordinary regulatory approaches … without due regard to the specifics of the bond market. As a specific application of this idea, the paper critically reviews …

Persistent link: https://www.econbiz.de/10005134902

Competition among Alternative Option Market Structures: Evidence from Eurex vs. Euwax

Bartram, Sohnke M.; Fehle, Frank R. - EconWPA - 2003

We study option market design by providing a theoretical motivation and comprehensive empirical analysis of two … fundamentally different option market structures, the Eurex derivatives exchange and Euwax, the world’s largest market for bank … two market structures based on option investor clienteles which differ with respect to the probability of selling the …

Persistent link: https://www.econbiz.de/10005134941

Alternative Market Structures for Derivatives

Bartram, Sohnke M.; Fehle, Frank R. - EconWPA - 2003

also indicates that bid-ask spreads in either market are lowered by competition from the other market. We present a … potential explanation for the co-existence of the two market structures which suggests that the bank-issued option market caters …

Persistent link: https://www.econbiz.de/10005413164

Gains and losses: the same or different choices? A “non-ideal” economics approach.

Harin, Alexander - EconWPA - 2005

Ideal economics? A “non-ideal” economics approach has been proposed, which considers the possibility of arrangement infringements. It gives promises for both solving fundamental problems of economic theory and creation of new directions and fields of research. The approach application in...

Persistent link: https://www.econbiz.de/10005124942

Gains and losses. The same or different choices?

Harin, Alexander - EconWPA - 2005

Arrangements (agreements, contracts, projects, etc.) are widespread economic events and are the fundamental concept of the economic theory. Infringements (breaches, modifications, changes, etc.) of arrangements are common and have a significant importance for the economic theory. For many years...

Persistent link: https://www.econbiz.de/10005125490

Scientific Revolution. A Farewell to EconWPA.

Harin, Alexander - EconWPA - 2005

A revolution in economics. Is it possible? Is its concept a transition from ideal to real economics? The way to the transition may be a new aspect of uncertainty. Problems, which can be solved, research fields, which can be augmented or created, and fields of applications in practical economy...

Persistent link: https://www.econbiz.de/10005126070

Networks and market laws

Quesada, Antonio - EconWPA - 2004

The effects on the market price of a change in the number of buyers, in the number of sellers, in the prices sellers … set and in the buyers’ reservation prices are established in a simple network model of a market. …

Persistent link: https://www.econbiz.de/10005135061

The Effects of a Sudden CO2 reduction in Spain

Labandeira, Xavier; Rodriguez, Miguel - EconWPA - 2004

Spanish emissions of carbon dioxide have grown by more than 40% in 2004 with respect to 1990. This is not compatible with the EU allocation of Kyoto-mandated CO2 reduction, even taking into account that Spanish emissions are allowed to rise by 15% in 2010. The reasons for this situation stem...

Persistent link: https://www.econbiz.de/10005407804