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Market imperfections, equilibrium and arbitrage
Jouini, Elyès - EconWPA - 2003
frictionless. The main result is that a price process is arbitrage free (or, equivalently, compatible with some equilibrium) if and … by arbitrage follows from there. Contingent claims can be priced by taking their expected value with respect to an … equivalent martingale measure. If this value is unique, the claim is said to be priced by arbitrage. The new probabilities can be …
Persistent link: https://www.econbiz.de/10005076947
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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
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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
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Why VAR Fails: Long Memory and Extreme Events in Financial Markets
Los, Cornelis A. - EconWPA - 2004
The Value-at-Risk (VAR) measure is based on only the second moment of a rates of return distribution. It is an insufficient risk performance measure, since it ignores both the higher moments of the pricing distributions, like skewness and kurtosis, and all the fractional moments resulting from...
Persistent link: https://www.econbiz.de/10005413041
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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
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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
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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
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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
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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
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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