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Hedging and portfolio optimization in illiquid financial markets
Bank, Peter; Baum, Dietmar - 2002
analysis relies on the non-linear integration theory of such semimartingale families. The Itô-Wentzell formula is used to prove …
Persistent link: https://www.econbiz.de/10009625800
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Random times at which insiders can have free lunches
Imkeller, Peter - 2001
We consider models of time continuous financial markets with a regular trader and an insider who are able to invest into one risky asset. The insider's additional knowledge consists in his ability to stop a random time which is inaccessible to the regular trader, such as the last passage of a...
Persistent link: https://www.econbiz.de/10009614874
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ExploRing persistence in financial time series
Lee, David - 2000
Persistent link: https://www.econbiz.de/10009611548
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Simultaneous over- and underconfidence : evidence from experimental asset markets
Maciejovsky, Boris; Kirchler, Erich - 2001
In this paper individual overconfidence within the context of an experimental asset market is investigated. Overall, 72 participants traded one risky asset on six markets of 12 participants each. The results indicate that individuals were not generally overconfident. Moreover, overconfidence was...
Persistent link: https://www.econbiz.de/10009614297
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The repo auctions of the European Central Bank and the vanishing quota puzzle
Nautz, Dieter; Oechssler, Joerg - 1999
Weekly repo auctions are the European Central Bank's most important policy instrument. Provided that banks bid …
Persistent link: https://www.econbiz.de/10009581093
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Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods
Lillestøl, Jostein - 2000 - Rev.
The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods. --...
Persistent link: https://www.econbiz.de/10009612011
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Dumb software agents on an experimental asset market
Grossklags, Jens; Schmidt, Carsten; Siegel, Jonathan - 2000
We have analyzed the impact of agents and their trading strategies on an experimental electronic market. Therefore, we added an XML-interface to an existing electronic market and implemented artificial agents which acted as elements of disturbance in the trading process. These artificial traders...
Persistent link: https://www.econbiz.de/10009612027
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A minimal financial market model
Platen, Eckhard - 2000
The paper proposes a financial market model that generates stochastic volatility and stochastic interest rate using a minimal number of factors that characterise the dynamics of the different denominations of the deflator. It models asset prices essentially as functionals of square root and...
Persistent link: https://www.econbiz.de/10009612032
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A benchmark model for financial markets
Platen, Eckhard - 2001
This paper introduces a benchmark model for financial markets, which is based on the unique characterization of a benchmark portfolio that is chosen to be the growth optimal portfolio. The general structure of risk premia for asset prices and portfolios is derived. Furthermore, the short rate is...
Persistent link: https://www.econbiz.de/10009614289
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Framing effects on asset markets : an experimental analysis
Kirchler, Erich; Maciejovsky, Boris; Weber, Martin - 2001
In this paper we investigate four hypotheses which are inconsistent with expected utility theory, but may well be … explained by prospect theory. It deals with framing, the non-linearity of subjective probabilities, the disposition effect, and …) found little correspondence between different experimental risk elicitation methods. -- Prospect Theory ; Framing …
Persistent link: https://www.econbiz.de/10009613618