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Financial price fluctuations in a stock market model with many interacting agents

Horst, Ulrich - 2001

We consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on the previous states of their "neighbors" and on a random signal about the...

Persistent link: https://www.econbiz.de/10009613599

Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - 1999

-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first … propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the … simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an …

Persistent link: https://www.econbiz.de/10009579173

How accurate do markets predict the outcome of an event? : the Euro 2000 soccer championships experiment

Schmidt, Carsten; Werwatz, Axel - 2002 - Rev.

For the Euro 2000 Soccer Championships an experimental asset market was condueted, with traders buying and selling contracts on the winners of individual matches. Market-generated probabilities are compared to professional bet quotas, and factors that are responsible for the quality of the...

Persistent link: https://www.econbiz.de/10009621415

Malliavin's calculus in insider models : additional utility and free lunches

Imkeller, Peter - 2002

We consider simple models of financial markets with regular traders and insiders possessing some extra information hidden in a random variable which is accessible to the regular trader only at the end of the trading interval. The problems we focus on are the calculation of the additional utility...

Persistent link: https://www.econbiz.de/10009620768

Convergence of locally and globally interacting Markov chains

Föllmer, Hans; Horst, Ulrich - 2001

We study the long run behaviour of interactive Markov chains on infinite product spaces. In view of microstructure models of financial markets, the interaction has both a local and a global component. The convergence of such Markov chains is analyzed on the microscopic level and on the...

Persistent link: https://www.econbiz.de/10009613614

Fractional cointegration and tests of present value models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations are conducted to evaluate the power and size...

Persistent link: https://www.econbiz.de/10009582383

Manipulation in political stock markets : preconditions and evidence

Hansen, Jan; Schmidt, Carsten; Strobel, Martin - 2001

Political stock markets (PSM) are sometimes seen as substitutes for opinion polls. On the bases of a behavioral model, specific preconditions were drawn out under which manipulation in PSM can weaken this argument. Evidence for manipulation is reported from the data of two separate PSM during...

Persistent link: https://www.econbiz.de/10009614875

Nonlinear error correction and the efficient market hypothesis : the case of German dual-class shares

Breitung, Jörg; Wulff, Christian - 1999

The efficient market hypothesis implies that asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting far away. An attractive model that reconciles these two conflicting facts is the nonlinear error correction...

Persistent link: https://www.econbiz.de/10009581105

Semiparametric modelling of the cross-section of expected returns in the German stock market

Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

Persistent link: https://www.econbiz.de/10009661022

Weekday dependence of German stock market returns

Herwartz, Helmut - 1999

exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible …

Persistent link: https://www.econbiz.de/10009580468

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