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A theory of strategic intermediation and endogenous liquidity

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2007

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth (or market impact), volume … the existing metrics on welfare grounds. In this paper we propose a welfare-based denition of liquidity and characterize … intermedia- tion services (i.e. \liquidity") in exchange for an endogenous fee. Our model is well suited to study the contagion …

Persistent link: https://www.econbiz.de/10010745443

Market quality and contagion in fragmented markets

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2013

Financial market liquidity has become increasingly fragmented across multiple trading platforms. We propose an … effectively providing intermediation services (i.e. “liquidity"). Our market quality measure is equal to the additional … proxies. The model is especially well-suited to study the contagion-like effects of liquidity shocks. …

Persistent link: https://www.econbiz.de/10011171758

Endogenous liquidity and contagion

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2009

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc … grounds. In this paper we propose a welfare-based denition of liquidity and characterize its relationship to the usual proxies … intermediaries pursue prot opportunities by providing intermediation services (i.e. "liquidity") in exchange for an endogenous fee …

Persistent link: https://www.econbiz.de/10010884503

Constrained indirect inference estimation

Calzorali, Giorgio; Fiorentini, Gabriele; Sentana, Enrique - London School of Economics (LSE) - 2001

We develop generalised indirect inference procedures that handle equality and inequality constraints on the auxiliary model parameters. We also show that the asymptotic efficiency of such estimators can never decrease by explicitly taking into account Lagrange multipliers associated with...

Persistent link: https://www.econbiz.de/10010745065

Are there Monday effects in stock returns: a stochastic dominance approach

Cho, Young-Hyun; Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2006

We provide a test of the Monday effect in daily stock index returns. Unlike previous studies we define the Monday effect based on the stochastic dominance criterion. This is a stronger criterion than those based on comparing means used in previous work and has a well defined economic meaning. We...

Persistent link: https://www.econbiz.de/10010746600

A Reflection of History: Fluctuations in Greek Sovereign Risk between 1914 and 1929

Christodoulaki, Olga; Cho, Haeran; Fryzlewicz, Piotr - London School of Economics (LSE) - 2011

Time series of daily data for Greek sovereign risk have been compiled and analysed statistically to shed light on the way that historical events, including political and institutional changes, determined the creditworthiness of the Greek government on the London stock market from the start of...

Persistent link: https://www.econbiz.de/10010686659

A transaction level study of the effects of central bank intervention on exchange rates

Payne, Richard; Vitale, Paolo - London School of Economics (LSE) - 2002

We study the effects of sterilised intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transactions data between 1986 and 1995. We extend the preliminary results obtained by Fischer and Zurlinden (1991) by matching these data with intra-day indicative...

Persistent link: https://www.econbiz.de/10010745097

Foreign exchange intervention and macroeconomic stability

Vitale, Paolo - London School of Economics (LSE) - 2001

Using a standard monetary policy model, we study how foreign exchange intervention may be used to condition the perception among economic agents of the objective of the policymaker. Foreign exchange intervention does not bring about a systematic policy again, such as an increase in the...

Persistent link: https://www.econbiz.de/10010745697

A reflection of history: fluctuations in Greek sovereign risk between 1914 and 1929

Christodoulaki, Olga; Cho, Haeran; Fryzlewicz, Piotr - London School of Economics (LSE) - 2011

Persistent link: https://www.econbiz.de/10010746222

Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world

Lleo, Sebastien; Ziemba, Bill - London School of Economics (LSE) - 2014

We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...

Persistent link: https://www.econbiz.de/10011170088