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Unbiased Disagreement and the Efficient Market Hypothesis

Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine (Paris IX) - 2009

Can investors with irrational beliefs be neglected as long as they are rational on average ? Does unbiased disagreement lead to trades that cancel out with no consequences on prices, as implicitly assumed by the traditional models ? We show in this paper that there is an important impact of...

Persistent link: https://www.econbiz.de/10010707972

A super-replication theorem in Kabanov’s model of transaction costs

Campi, Luciano; Schachermayer, Walter - Université Paris-Dauphine (Paris IX) - 2006

We prove a general version of the super-replication theorem, which applies to Kabanov’s model of foreign exchange markets under proportional transaction costs. The market is described by a matrix-valued càdlàg bid-ask process $$(\Pi_t)_{t\in [0,T]}$$ evolving in continuous time. We propose a...

Persistent link: https://www.econbiz.de/10011073697

Multivariate utility maximization with proportional transaction costs and random endowment

Campi, Luciano; Benedetti, Giuseppe - Université Paris-Dauphine (Paris IX) - 2012

In this paper we deal with a utility maximization problem at finite horizon on a continuous-time market with conical (and time varying) constraints (particularly suited to model a currency market with proportional transaction costs). In particular, we extend the results in Campi and Owen (2011)...

Persistent link: https://www.econbiz.de/10010706447

Utility Maximisation with Proportional Transaction Costs

Campi, Luciano - Université Paris-Dauphine (Paris IX) - 2009

We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor’s preferences are represented by a smooth, multivariate utility function, allowing for simultaneous consumption of any prescribed selection...

Persistent link: https://www.econbiz.de/10011071836

Multivariate Utility Maximization with Proportional Transaction Costs

Owen, Mark; Campi, Luciano - Université Paris-Dauphine (Paris IX) - 2011

We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor’s preferences are represented by a multivariate utility function, allowing for simultaneous consumption of any prescribed selection of the...

Persistent link: https://www.econbiz.de/10011073816

Cross-Market Spillovers with 'Volatility Surprise'

Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2014

updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise …

Persistent link: https://www.econbiz.de/10011205314

The choice of an optimal exchange rate regime for the euro CFA countries zone

Linjouom, Mireille - Université Paris-Dauphine (Paris IX) - 2002

Persistent link: https://www.econbiz.de/10011072469

Essais sur la modélisation de la dynamique du taux de change à travers les enseignements de la finance comportementale

Di Filippo, Gabriele - Université Paris-Dauphine (Paris IX) - 2011

The thesis draws lessons from behavioural finance and nonlinear econometrics to build models that provide better explanatory and predictive powers of exchange rate dynamics than traditional models. The first article justifies the failure of traditional models by the failure of their underlying...

Persistent link: https://www.econbiz.de/10011074653

How Do Price Limits Influence French Market Microstructure? A High Frequency Data Analysis in Terms of Return, Volatility and Volume

Michalon, Karine - Université Paris-Dauphine (Paris IX) - 2013

stock exchange market. We analyze the impact of such halts on the main market factors: return, volatility and volume. Our …

Persistent link: https://www.econbiz.de/10010760433

Impact des interruptions de cotation sur la microstructure du marché boursier français

Michalon, Karine - Université Paris-Dauphine (Paris IX) - 2003

information and volatility and to allow the emergence of a consensus. The use of these interruptions is very frequent on the … capitalizations. However, our empirical study emphasizes an inefficiency of the reservations of quotation. Indeed, the volatility of …

Persistent link: https://www.econbiz.de/10010764096