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Trader positions and marketwide liquidity demand
Onur, Esen; Roberts, John S.; Tuzun, Tugkan - 2017
In electronic, liquid markets, traders frequently change their positions. The distribution of these trader position changes carries important information about liquidity demand in the market. From this distribution of trader position-changes, we construct a marketwide measure for intraday...
Persistent link: https://www.econbiz.de/10011803199
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Tractable rare disaster probability and options-pricing
Barro, Robert J.; Liao, Gordon Y. - 2019
We derive an option-pricing formula from recursive preference and estimate rare disaster probability. The new options …-pricing formula applies to far-out-of-the money put options on the stock market when disaster risk dominates, the size distribution of … options data on the S&P 500 index from 1983-2018 and for analogous indices for other countries. The disaster probability …
Persistent link: https://www.econbiz.de/10012182396
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Macro risks and the term structure of interest rates
Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - 2017
We use non-Gaussian features in U.S. macroeconomic data to identify aggregate supply and demand shocks while imposing minimal economic assumptions. Recessions in the 1970s and 1980s were driven primarily by supply shocks, later recessions were driven primarily by demand shocks, and the Great...
Persistent link: https://www.econbiz.de/10011709342
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Credit scores, social capital, and stock market participation
Bricker, Jesse; Li, Geng - 2017
While a rapidly growing body of research underscores the influence of social capital on financial decisions and economic developments, objective data-based measurements of social capital are lacking. We introduce average credit scores as an indicator of a community's social capital and present...
Persistent link: https://www.econbiz.de/10011708125
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Pricing Poseidon : extreme weather uncertainty and firm return dynamics
Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019
impact. Stock options on firms with establishments exposed to the landfall region exhibit increases in implied volatility of …
Persistent link: https://www.econbiz.de/10012181922