Narrow search
Showing 1 - 10 of 103
Cover Image
Information Flow, Social Interactions and the Fluctuations of Prices in Financial Markets
Matos, João Amaro de - Econometric Society - 2004
We model how excess demand or excess supply can be generated in the presence of a social network of interactions, where agents are subject to external information and individual incentives. In this context we study price fluctuations in financial markets under equilibrium. In particular, we...
Persistent link: https://www.econbiz.de/10005170256
Cover Image
Testing for the martingale hypothesis in Asian stock prices: evidence from a new joint variance ratio test
Kim, Jae H. - Econometric Society - 2004
This paper tests for the martingale (or random walk) hypothesis in the stock prices of a group of Asian countries. The selected countries represent well-developed markets (Hong Kong and Japan) as well as emerging markets (Korea, Taiwan and Thailand). This paper adopts a new joint variance ratio...
Persistent link: https://www.econbiz.de/10005063663
Cover Image
Advances in economics and econometrics ; Vol. 3
Dewatripont, Mathias (contributor);  … - 2003
Persistent link: https://www.econbiz.de/10001742594
Cover Image
High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market
Tyurin, Konstantin - Econometric Society - 2004
The paper applies a popular methodology of competing risks to the analysis of the timing and interaction between the Deutsche Mark/U.S. dollar transactions, quotes, and cancellations in the Reuters D2000-2 electronic brokerage system. Consistently with previous stock market studies, the bid-ask...
Persistent link: https://www.econbiz.de/10005342260
Cover Image
Liquidity Discovery and Asset Pricing
Seppi, Duane; Gallmeyer, Michael; Hollifield, Burton - Econometric Society - 2004
preferences of future trading counter-parties causes randomness in future resale prices that we call liquidity risk. It is natural … to suppose that investors are asymmetrically informed about liquidity risk. Through a process of liquidity discovery …, trading volumes and prices reveal private information about future counter-party preferences. The liquidity discovery process …
Persistent link: https://www.econbiz.de/10005130211
Cover Image
Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market
Vigneron, Olivier; Gabaix, Xavier; Krishnamurthy, Arvind - Econometric Society - 2004
``Limits of Arbitrage" theories require that the marginal investor in a particular asset market be a specialized arbitrageur. Then the constraints faced by this arbitrageur (i.e. capital constraints) feed through into asset prices. We examine the mortgage-backed securities (MBS) market in this...
Persistent link: https://www.econbiz.de/10005130216
Cover Image
Understanding limit order book depth: conditioning on trade informativeness
Beltran, Helena; Menkveld, Albert J. - Econometric Society - 2004
-trade durations at times of relatively uninformative market orders, which is consistent with liquidity traders concentrating their …
Persistent link: https://www.econbiz.de/10005699633
Cover Image
Equilibrium Sorting of Heterogeneous Consumers Across Locations
Nesheim, Lars - Econometric Society - 2004
This paper develops a model in which a continuum of consumers choose from a continuum of locations indexed by school quality. It computes equilibria that are sustained by an equilibrium price function that matches consumers to different locations based on their willingness to pay for school...
Persistent link: https://www.econbiz.de/10005063696
Cover Image
A theory of consumer referral
Kim, Jeong-Yoo; Jun, Tackseung - Econometric Society - 2004
In this paper, we consider the network as an alternative trading environment to the market. The main distinctive feature of the network transaction is the dependence of buyers' purchasing behavior, which makes all consumers not equally valuable to a seller. We characterize the optimal behavior...
Persistent link: https://www.econbiz.de/10005702702
Cover Image
Asymmetric Power Distribution: Theory and Applications to Risk Measurement
Komunjer, Ivana - Econometric Society - 2004
Theoretical literature in finance has shown that quantifying the risk of financial time series amounts to measuring their expected shortfall, also known as tail Value at Risk. Unfortunately, little empirical work has been devoted to the problem of modeling and inference of such risk measures...
Persistent link: https://www.econbiz.de/10005328924