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Trading Volume and Market Efficiency: An Agent Based Model with Heterogenous Knowledge about Fundamentals
Lespagnol, Vivien; Rouchier, Juliette - HAL - 2014
This paper studies the effect of investor's bounded rationality on market dynamics. In an order driven market, we consider a few-types model where two risky assets are exchanged. Agents differ by their behavior, knowledge, risk aversion and investment horizon. The investor's demand is defined by...
Persistent link: https://www.econbiz.de/10010933931
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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
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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
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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
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Tobin tax and trading volume tightening: a reassessment
Damette, Olivier; Goutte, Stéphane - HAL - 2014
This article extends the previous literature on the Tobin tax and financial transaction tax. We investigate the linkages between trading volumes and transaction costs using both a linear and a nonlinear methodology. In stark contrast with previous studies, we consider the possibility that our...
Persistent link: https://www.econbiz.de/10010821381
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Are derivatives dangerous?
Capelle-Blancard, Gunther - HAL - 2010
Since the 1970s, the financial system has undergone deep structural changes. Innovation has been a key driver of these changes and most economists acknowledge that the impact has been positive overall. However, each time a financial crisis arises, the debate is on. Derivatives especially, which...
Persistent link: https://www.econbiz.de/10010605339
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The Environmental Violence of Volatility
Bouleau, Nicolas - HAL - 2013
Since the Brundtland report in 1987, at the start of the series of United Nations Conferences on the Environment and Development, the world population has grown by more than it was in the time of Adam Smith. Oil consumption has increased by 40% and the trend is similar for other exhaustible...
Persistent link: https://www.econbiz.de/10010739123
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Comparative Advantage and Uncertainty Bearing
Méra, Xavier - HAL - 2013
The law of association as espoused by David Ricardo and generalized by Ludwig von Mises cannot directly convey what is at stake in exchanges involving specialization in uncertainty bearing. In this article we explain why the entrepreneurial function as conceptualized by Frank Knight and Mises...
Persistent link: https://www.econbiz.de/10010674276
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Credit Default Swaps, Contract Theory, Public Debt, and Fiat Money Regimes: Comment on Polleit and Mariano
Méra, Xavier - HAL - 2013
correct in pointing out that speculation with CDS can conceivably hurt the borrowers' interests, they fail to grasp that this …
Persistent link: https://www.econbiz.de/10010820940
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A discussion of stock market speculation by Pierre-Joseph Proudhon
Juhel, Jean-Claude; Dufour, Dominique - HAL - 2008
-Joseph Proudhon (1809-1865) in relation to the causes and effects of Stock market speculation. It is based upon the works of this …'s thought in relation to speculation. It is divided into two parts. The first part is dedicated to Pierre-Joseph Proudhon …'s definitions of stock market speculation or gambling with shares that for him served no purpose either from a human or economic …
Persistent link: https://www.econbiz.de/10008791994