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Makers and takers : the economics of the Kalshi prediction market
Bürgi, Constantin; Deng, Wanying; Whelan, Karl - 2025
Since 2021, Kalshi has operated as the only federally licensed prediction market in the United States. Using transaction-level data on over 300,000 contracts, we provide the first systematic evidence on its pricing. Kalshi's contract prices are informative and improve in accuracy as markets...
Persistent link: https://www.econbiz.de/10015456228
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The day of the week effect in the crypto currency market
Caporale, Guglielmo Maria; Plastun, Alex - 2017
evidence against efficiency of the crypto currency market. …
Persistent link: https://www.econbiz.de/10011745267
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The weekend effect : a trading robot and fractional integration analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014
This paper provides some new empirical evidence on the weekend effect, one of the most recognized anomalies in financial markets. Two different methods are used: (i) a trading robot approach to examine whether or not there is such an anomaly giving rise to exploitable profit opportunities by...
Persistent link: https://www.econbiz.de/10010367366
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Intraday anomalies and market efficiency : a trading robot analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014
.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do …
Persistent link: https://www.econbiz.de/10010344868
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The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024
We analyze the transmission of monetary policy to the costs of hedging using options order book data. Monetary policy transmits to hedging costs both by changing the relevant state variables, such as the value of the underlying, its volatility and tail risk, and by affecting option market...
Persistent link: https://www.econbiz.de/10015158136
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When inefficiency begets efficiency
Gersbach, Hans; Haller, Hans - 2004
Collective consumption decisions taken by the members of a household may prove inefficient. The impact on market performance depends on whether household inefficiencies are caused by inefficient net trades with the market or by inefficient distribution of resources within households. Inefficient...
Persistent link: https://www.econbiz.de/10011399478
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Price overreactions in the cryptocurrency market
Caporale, Guglielmo Maria; Plastun, Alex - 2018
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U test) tests confirm the presence of price patterns...
Persistent link: https://www.econbiz.de/10011789179
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A probabilistic solution to high-dimensional continuous-time macro and finance models
Ji, Huang - 2023
This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential equations (SDE) govern the dynamics of backward-looking variables, and backward SDEs capture that of forward-looking variables. Deep learning streamlines the search for the...
Persistent link: https://www.econbiz.de/10014331249
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Public sector efficiency and the functions of the government
Afonso, António; Alves, José; Bazah, Najat - 2024
We examine the relationship between public sector efficiency and government spending, to assess public resource … outcomes across various public sector performance (PSP) indicators. We compute government spending efficiency using Data … Envelopment Analysis (DEA) to subsequently assess the relationship between efficiency and the growth rate of public expenditure …
Persistent link: https://www.econbiz.de/10015125392
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Functional public sector spending and SDGs : an efficiency map for the EU countries
Afonso, António; Alves, José; Bazah, Najat; … - 2025
We evaluate the efficiency of public expenditure in the 27 European countries in achieving the Sustainable Development … partnership - as outputs. Results indicate that input efficiency scores range from 0.77 to 0.95, while output scores range from 0 … performance. Sweden also has high efficiency and leads in multiple pillars by 2023. Conversely, the peace pillar remains the least …
Persistent link: https://www.econbiz.de/10015438585