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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

Variance disparity and market frictions

Park, Yang-Ho - 2019

. This approach shows that VIX derivatives carry different information about future variance than S&P 500 (SPX) options … variance discovery process than SPX options. These findings imply that VIX derivatives would offer a better estimate of … expected variance than SPX options, and that a measure of segmentation may be useful for policymakers as it signals the …

Persistent link: https://www.econbiz.de/10012182042

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

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

Microstructure invariance in U.S. stock market trades

Kyle, Albert S.; Obižaeva, Anna; Tuzun, Tugkan - 2016 - This draft: April 19, 2016

This paper studies invariance relationships in tick-by-tick transaction data in the U.S. stock market. Over the 1993–2001 period, the estimated monthly regression coefficients of the log of trade arrival rate on the log of trading activity have an almost constant value of 0.666, strikingly...

Persistent link: https://www.econbiz.de/10011500337

Learning from history : volatility and financial crises

Daníelsson, Jón; Valenzuela, Marcela; Zer, Ilknur - 2016

We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years and 60 countries. Prolonged periods of low volatility have strong in-sample and out-of-sample predictive power over the incidence of banking...

Persistent link: https://www.econbiz.de/10011578981

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

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

Risk perception and loan underwriting in securitized commercial mortgages

Firestone, Simon; Godin, Nathan; Horvath, Akos; Sagi, … - 2024

Persistent link: https://www.econbiz.de/10015053981