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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

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

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

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

China and the Geopolitics of Oil in the Asian Pacific Region

Bustelo, Pablo - EconWPA - 2005

China’s growing demand for oil is significantly changing the international geopolitics of energy, especially in the Asian Pacific region. The recent growth in oil consumption, combined with forecasts of increased oil imports (especially from the Middle East), have led to deep concern among...

Persistent link: https://www.econbiz.de/10005118931

A Residential Energy Demand System for Spain

Labandeira, Xavier; Labeaga, José M.; Rodríguez, Miguel - EconWPA - 2005

Sharp price fluctuations and increasing environmental and distributional concerns, among other issues, have led to a renewed academic interest in energy demand. In this paper we estimate, for the first time in Spain, an energy demand system with household microdata. In doing so, we tackle...

Persistent link: https://www.econbiz.de/10005119094