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1
Microstructure des marchés financiers et interruptions de cotation
Michalon, Karine
-
HAL
-
2011
rentabilité, la volatilité et le
volume
. Notre étude porte sur les valeurs intraquotidiennes du CAC40 de janvier 1998 à décembre …
Persistent link: https://www.econbiz.de/10009371840
Saved in:
2
Quelle est l'influence des interruptions de cotation sur la microstructure du marché boursier français ? Une analyse intraquotidienne en termes de rentabilité, volatilité et
volume
...
Michalon, Karine
-
HAL
-
2007
paramètres de marché que sont la rentabilité, la volatilité et le
volume
. Notre étude portant sur données intraquotidiennes de …
Persistent link: https://www.econbiz.de/10008793445
Saved in:
3
How can we define the concept of long memory ? An econometric survey,
Guegan, Dominique
-
HAL
-
2005
In this paper we discuss different aspects of long memory behaviorand applicable parametric models. We discuss the confusion thatcan arise when the empirical autocorrelation function decreasesin an hyperbolic way.
Persistent link: https://www.econbiz.de/10008791569
Saved in:
4
Volatility made observable at last
Fliess, Michel
;
Join, Cédric
;
Hatt, Frédéric
-
HAL
-
2011
a byproduct a new understanding of the means of
returns
, of the beta coefficient, and of the Sharpe and Treynor ratios …
Persistent link: https://www.econbiz.de/10008836782
Saved in:
5
Can the Mortensen-Pissarides Model Match the Housing Market Facts ?
Lisi, Gaetano
-
HAL
-
2012
, namely, the existence of price dispersion, the positive correlation between housing price and trading
volume
, and between …
Persistent link: https://www.econbiz.de/10009652973
Saved in:
6
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 …
Persistent link: https://www.econbiz.de/10010548256
Saved in:
7
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 …
Persistent link: https://www.econbiz.de/10010550926
Saved in:
8
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
Saved in:
9
Tobin tax and trading
volume
tightening: a reassessment
Damette, Olivier
;
Goutte, Stéphane
-
HAL
-
2014
Markov Switching (MS) model. This paper is the first contribution to specify the trading
volume
of the Forex through …
Persistent link: https://www.econbiz.de/10010821381
Saved in:
10
Why and how to measure stock market fluctuations? The early history of stock market indices, with special reference to the French case
Hautcoeur, Pierre-Cyrille
-
HAL
-
2006
Stock market indices are today a vital and daily tool for both economists and actors in the financial world. The multiplication and the very importance given to these indices raise the question of their accuracy and of the reliability of the methods that are used to construct them. We begin an...
Persistent link: https://www.econbiz.de/10010738778
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