This paper presents an endogeneous model for the stochastic dynamics of the bid-ask spread of prices of nancial assets. The model is derived introducing an intermediary and inventory costs in the setting of equilibrium financial markets as described by Platen and Rebolledo (1996)

The alignment of collective goals and individual behavior has been extensively studied by economists under a principal-agent framework. Two main solutions have been presented: explicit incentive contracts and monitoring. These solutions correspond to changes in the objective situation faced by...

This paper proposes a model to explain the differences between outcomes of referenda and the voting trends suggested by polls. Two main effects are at stake. First, the evolution of the voters' attitudes is conditional on the public information made available to them. Second, the predisposition...

The alignment of collective goals and individual behavior has been extensively studied by economists under a principal-agent framework. Two main solutions have been presented: explicit incentive contracts and monitoring. These solutions correspond to changes in the objective situation faced by...

This paper proposes a model to explain the differences between outcomes of referenda and the voting trends suggested by polls. Two main effects are at stake. First, the evolution of the voters' attitudes is conditional on the public information made available to them. Second, the predisposition...

We derive statistical arbitrage bounds for the buying and selling price of European derivatives under incomplete markets. In this paper, incompleteness is generated due to the fact that the market is dry, i.e., the underlying asset cannot be transacted at certain points in time. In particular,...

In the framework of incomplete markets, due to the non-existence of trade at some points in time, and using a partial equilibrium analysis, we show how the bid-ask spread of an European derivative is generated. We also ¯nd conditons for the existence of the spread. These conditions concern the...

This paper analyzes the impact of illiquidity of a stock on the pricing of derivatives. In particular, it is shown how illiquidity generates a bid-ask spread in an option on this stock, even in the absence of other imperfections, such as transaction costs and asymmetry of information. Moreover,...

The behavior of the members of an organization is determined, not only by the objective situation facing them, but also by their attitudes. Thus, the objective of aligning collective goals and individual behavior translates into a problem of alignment of attitudes. An important dimension of the...

This paper develops a framework to nonparametrically test whether discretevalued irregularly-spaced financial transactions data follow a Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some...