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On the Specification of Duration Between Price Changes and the Predictability of High Frequency returns: an application to the French CAC 40

Foort, HAMELINK - HEC Paris (École des Hautes Études Commerciales) - 1998

This paper focuses on the predictability of the duration between intra-day price changes of stocks from the CAC 40, as well as on the predictability of the returns generated by these price changes. It is argued that traders with different time horizons will look at series of price changes...

Persistent link: https://www.econbiz.de/10005021592

The identification of preferences from equilibrium prices under uncertainty

POLEMARCHAKIS, Heracles M.; CHIAPPORI, P. A.; KUBLER, F.; … - HEC Paris (École des Hautes Études Commerciales) - 2000

The competitive equilibrium correspondence, which associates equilibrium prices of commodities and assets with …

Persistent link: https://www.econbiz.de/10005021590

On Games of Strategic Experimentation

Rosenberg, Dinah; Salomon, Antoine; Vieille, Nicolas - HEC Paris (École des Hautes Études Commerciales) - 2013

-armed bandit problem, and must decide when to stop experimenting with the risky arm. The equilibrium amount of experimentation … equilibrium behavior in both informational setups, leading to a clear comparison between the two. In particular, equilibrium … payoffs are higher when equilibrium outcomes are public. …

Persistent link: https://www.econbiz.de/10010832961

Strategic Information Exchange

Rosenberg, Dinah; Solan, Eilon; Vieille, Nicolas - HEC Paris (École des Hautes Études Commerciales) - 2013

study to what extent, and how, information can be exchanged at equilibrium. We show that, provided one’s initial information …

Persistent link: https://www.econbiz.de/10010832965

Quitting games - an example

VIEILLE, Nicolas; SOLAN, Eilon - HEC Paris (École des Hautes Études Commerciales) - 2001

Quitting games are I-player sequential games in which, at any stage, each player has the choice between continuing and quitting. The game ends as soon as at least one player chooses to quit; player i then receives a payoff , which depends on the set S of players that did choose to quit. If the...

Persistent link: https://www.econbiz.de/10005011521

The Taxation of Trades in assets

CITANNA, Alessandro; POLEMARCHAKIS, Heracles M.; TIRELLI, M. - HEC Paris (École des Hautes Études Commerciales) - 2000

When the asset market is incomplete, there typically exist taxes on trades in assets and a redistribution of revenue in the asset market that are Pareto improving. <p> The policy is anonymous, it economizes on complexity, and it results in ex post Pareto optimal allocations, it is publicly...</p>

Persistent link: https://www.econbiz.de/10005011564