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Equity Trading Systems in Europe - A survey of recent changes

FOUCAULT, Thierry; DEMARCHI, Marianne - HEC Paris (École des Hautes Études Commerciales) - 1998

Investment Services Directive and the development of institutional trading have prompted European Stock Exchanges to modify their … trading systems since 1994. We show that these exchanges have converged to a similar market organization. In this organization …, trading takes place in an order-driven market but trading rules can vary according to the type of securities. We also describe …

Persistent link: https://www.econbiz.de/10005011541

Does anonymity matter in electronic limit order markets ?

Thierry, FOUCAULT; Sophie, MOINAS; Erik, THEISSEN - HEC Paris (École des Hautes Études Commerciales) - 2003

limit order traders have asymmetric information on the cost of limit order trading (which is determined by the exposure to … informed trading). A thin limit order book signals to uninformed bidders that the profitability of limit orders is small. This …

Persistent link: https://www.econbiz.de/10005011558

Limit order book as a market for liquidity

FOUCAULT, Thierry; KADAN, Ohad; KANDEL, Eugene - HEC Paris (École des Hautes Études Commerciales) - 2001

We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must trade, yet can choose the type of order and are fully strategic in their decision. Traders differ by their impatience: less patient traders demand liquidity, more patient traders...

Persistent link: https://www.econbiz.de/10005011582

False News, Informational Efficiency, and Price Reversals

FOUCAULT, Thierry; DUGAST, Jérôme - HEC Paris (École des Hautes Études Commerciales) - 2014

trade-off between trading fast on a signal (i.e., before processing it), at the risk of trading on a false positive, or … trading after processing the signal, at the risk that prices already reflect their information. The number of speculators who … choose to trade fast increases with news reliability and decreases with the cost of fast trading technologies. The authors …

Persistent link: https://www.econbiz.de/10011147691

The Investment Policy and the Pricing of Equity in a Levered Firm: a Re-examination of the contingent claims Valuation Approach

CHESNEY, Marc; GIBSON-ASNER, Rajna - HEC Paris (École des Hautes Études Commerciales) - 1999

In this study we re-examine the pricing of equity and the risk incentives of shareholders in levered firms. We derive a down-and-out call equity valuation model which rests on the assumption that shareholders choose the optimal investment and asset returns' volatility as a function of current...

Persistent link: https://www.econbiz.de/10005021595

What Drives Financial Complexity? A Look into the Retail Market for Structured Products

Celerier, Claire; Vallee, Boris - HEC Paris (École des Hautes Études Commerciales) - 2013

By focusing on the highly innovative retail market for structured products, we investigate the drivers of financial complexity. We perform a lexicographic analysis of the term sheets of 55,000 retail structured products issued in Europe since 2002. We observe that financial complexity has been...

Persistent link: https://www.econbiz.de/10010832960

The Construction of a Trustworthy Investment Opportunity: Insights from the Madoff Fraud

Stolowy, Hervé; Messner, Martin; Jeanjean, Thomas; … - HEC Paris (École des Hautes Études Commerciales) - 2013

In this paper, we use the investment fraud of Bernard Madoff to inquire into the production of trust in the context of financial markets. Drawing upon empirical data related to U.S. individual investors (interviews and letters) as well as documentary material, we investigate the mechanisms...

Persistent link: https://www.econbiz.de/10010832975

Preopening and equilibrium selection

Lovo, Stefano; Calcagno, Ricardo - HEC Paris (École des Hautes Études Commerciales) - 2010

In this paper, the authors introduce a form of pre-play communication that we call "preopening". During the preopening, players announce their tentative actions to be played in the underlying game. Announcements are made using a posting system which is subject to stochastic failures. Posted...

Persistent link: https://www.econbiz.de/10008518877

Information sharing, liquidity and transaction costs in floor-based trading systems

FOUCAULT, Thierry; LESCOURRET, Laurence - HEC Paris (École des Hautes Études Commerciales) - 2001

information on the payoff of a risky security or information on the volume of liquidity trading in this security. We interpret … expected trading costs. Information sharing can improve or impair the depth of the market, depending on the values of the …-based trading systems. …

Persistent link: https://www.econbiz.de/10005011555

On the term structure of default premia in the Swap and Libor markets

SOLNIK, Bruno; COLLIN-DUFRESNE, Pierre - HEC Paris (École des Hautes Études Commerciales) - 2000

Existing theories of the term structure of swap rates provide an analysis of the Treasury-swap spread based on either a liquidity convenience yield in the Treasury market, or default risk in the swap market. While these models do not focus on the relation between corporate yields and swap rates...

Persistent link: https://www.econbiz.de/10005011565