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Trading Volume and Market Efficiency: An Agent Based Model with Heterogenous Knowledge about Fundamentals

Lespagnol, Vivien; Rouchier, Juliette - HAL - 2014

amount of assets exchanged in the most liquid time step. However, our model is not showing raising average volatility on long …

Persistent link: https://www.econbiz.de/10010933931

Can the Mortensen-Pissarides Model Match the Housing Market Facts ?

Lisi, Gaetano - HAL - 2012

This paper examines whether the baseline Mortensen-Pissarides matching model can account for the housing market facts, namely, the existence of price dispersion, the positive correlation between housing price and trading volume, and between housing price and time-on-the-market. Our main finding...

Persistent link: https://www.econbiz.de/10009652973

Liquidity generated by heterogeneous beliefs and costly estimations

Shen, Min; Turinici, Gabriel - HAL - 2012

We study the liquidity, defined as the size of the trading volume, in a situation where an infinite number of agents with heterogeneous beliefs reach a trade-off between the cost of a precise estimation (variable depending on the agent) and the expected wealth from trading. The "true" asset...

Persistent link: https://www.econbiz.de/10010548256

Liquidity generated by heterogeneous beliefs and costly estimations

Shen, Min; Turinici, Gabriel - HAL - 2012

We study the liquidity, de ned as the size of the trading volume, in a situation where an in nite number of agents with heterogeneous beliefs reach a trade-o between the cost of a precise estimation (variable depending on the agent) and the expected wealth from trading. The \true" asset price is...

Persistent link: https://www.econbiz.de/10010550926

Tobin tax and trading volume tightening: a reassessment

Damette, Olivier; Goutte, Stéphane - HAL - 2014

different (low and high volatility) regimes. Our empirical investigation looks at the EUR/USD currency market. Our results show … impact on trading activity across market conditions. However, the change in elasticity between low and high volatility … penalize chartists more than fundamentalists, it could reduce exchange rate volatility. …

Persistent link: https://www.econbiz.de/10010821381

Credit constraints and the cyclicality of R&D investment: Evidence from France

Aghion, Philippe; Askenazy, Philippe; Berman, Nicolas; … - HAL - 2008

&D investment and productivity growth are more negatively correlated with sales volatility in more credit constrained firms. …

Persistent link: https://www.econbiz.de/10010930234

Financial Markets Equilibrium with Heterogeneous Agents

Cvitanic, Jaksa; Jouini, Elyès; Malamud, Semyon; Napp, … - HAL - 2012

market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility as well as …

Persistent link: https://www.econbiz.de/10009360288

Fire Sales Forensics: Measuring Endogenous Risk

Cont, Rama; Wagalath, Lakshithe - HAL - 2012

We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large …

Persistent link: https://www.econbiz.de/10010548433

Preliminary remarks on option pricing and dynamic hedging

Fliess, Michel; Join, Cédric - HAL - 2012

An elementary arbitrage principle and the existence of trends in financial time series, which is based on a theorem published in 1995 by P. Cartier and Y. Perrin, lead to a new understanding of option pricing and dynamic hedging. Intricate problems related to violent behaviors of the underlying,...

Persistent link: https://www.econbiz.de/10010551681

The rationality of expectations formation and excess volatility

Davila, Julio - HAL - 2008

with limited memory, then there are rationally formed expectations equilibria exhibiting an excess volatility that no … one from a positive viewpoint, this result suggests that the possibility of excess volatility as an equilibrium phenomenon …

Persistent link: https://www.econbiz.de/10010750627