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Market imperfections, equilibrium and arbitrage

Jouini, Elyès - EconWPA - 2003

The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the … frictionless. The main result is that a price process is arbitrage free (or, equivalently, compatible with some equilibrium) if and … only if it is, when appropriately renormalized, a martingale for some equivalent probability measure. The theory of pricing …

Persistent link: https://www.econbiz.de/10005076947

System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets

Los, Cornelis A - EconWPA - 2004

This paper analyzes the systematic relationship between the stock market valuations, the nominal GDPs and the interest rates of six Asian countries, using not 'single equation regression,' but an alternative methodology based on complete, multidirectional, least squares projections. We compare...

Persistent link: https://www.econbiz.de/10005408169

Why VAR Fails: Long Memory and Extreme Events in Financial Markets

Los, Cornelis A. - EconWPA - 2004

.i.d. assumptions of classical asset returns theory are not satisfied in reality, more attention should be paid to the measurement of …. Regrettably, also, Extreme Value Theory is empirically not valid, because it is based on the uncorroborated i.i.d. assumption. …

Persistent link: https://www.econbiz.de/10005413041

Do Brokers Misallocate Customer Trades? Evidence From Futures Markets

Park, Hun Y.; Sarkar, Asani; Wu, Lifan - EconWPA - 1998

In the context of futures markets, we study whether brokers allocate more favorable trades to their own accounts, and less favorable trades to their customers. We find that, within a thirty minute trading bracket, brokers on average buy at a lower price and sell at a higher price for their own...

Persistent link: https://www.econbiz.de/10005413100

Persistence Characteristics of the Chinese Stock Markets

Los, Cornelis A.; Yu, Bing - EconWPA - 2005

This paper identifies such fundamental characteristics as the lack of ergodicity, stationarity, and independence, and it identifies the degree of initial persistence of the Chinese stock markets when they were more regulated. The index series are from the Shanghai (SHI) stock market and Shenzhen...

Persistent link: https://www.econbiz.de/10005561572

The Degree of Stability of Price Diffusion

Los, Cornelis A. - EconWPA - 2005

The distributional form of financial asset returns has important implications for the theoretical and empirical analyses in economics and finance. It is now a well-established fact that financial return distributions are empirically nonstationary, both in the weak and the strong sense. One first...

Persistent link: https://www.econbiz.de/10005134704

Dynamic State Tameness

Londoño, Jaime - EconWPA - 2005

An extension of the idea of state tameness is presented in a dynamic framework. The proposed model for financial markets is rich enough to provide analytical tools that are mostly obtained in models that arise as the solution of SDEs with deterministic coefficients. In the presented model the...

Persistent link: https://www.econbiz.de/10005134649

Equilibrium Pricing in Incomplete Markets

Jouini, Elyès; Bizid, Abdelhamid - EconWPA - 2003

. Our approach leads to an interval of admissible prices much better than the arbitrage pricing interval. …

Persistent link: https://www.econbiz.de/10005413106

Manipulated, Misled, Ignored, Abused: Residential Consumer Experience with Electric Deregulation in the United Kingdom

Jewell, Kevin - EconWPA - 2004

The United Kingdom began deregulating its electric market years before the U.S. Thus, the UK provides the best example of what can be expected in the deregulated residential retail electric market in the United States. . An extensive review of the evidence found: Questionable price savings:...

Persistent link: https://www.econbiz.de/10005076594

Resellers' Regulated Demand Price of 93 Octane Petrol in Namibia Relative to OPEC Crude Oil Price, 1991

Amavilah, Voxi H.S. - EconWPA - 2003

This paper examines the efficiency implications of regulated demand price of 93 octane petrol relative to OPEC crude oil price across 183 Namibian localities in 1991. It describes briefly pricing problems associated with managing petroleum and petro-products. Assuming that demand price depends...

Persistent link: https://www.econbiz.de/10005556127