A new alternative diffusion model for asset price movements is presented. In contrast to the popular approach of Brownian motion it proposes deterministic diffusion for the modelling of stock price movements. These diffusion processes are a new area of physical research and can be created by the...

Inter-dealer trading in US Treasury securities is almost equally divided between two electronic trading platforms that have only slight differences in terms of their relative liquidity and transparency. BrokerTec is more active in the trading of 2-, 5-, and 10-year T-notes while eSpeed has more...

This paper with the application of linear, nonlinear and long–run Granger causality tests, examines the causal links between the main Polish market price index (WIG) of the Warsaw Stock Exchange and four macroeconomic aggregates, namely the value of sold industrial production, the unemployment...

Many financial studies are based on the efficient capital markets hypothesis. In this context, testing the existence of this concept becomes an interesting field of study for the emerging capital market. The aim of this paper is to enlighten the difficulties of portfolio construction in a...

This study tests the price linkage among the U.S. major energy sources, considering structural breaks in time series. We use the Johansen cointegration method and find that only weak linkage sustains among the NYMEX WTI crude oil, Brent crude oil, gasoline, heating oil, coal, natural gas,...

I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...

This paper investigates whether or not multivariate cointegrated process with structural change can describe the Brazilian term structure of interest rate data from 1995 to 2006. In this work the break point and the number of cointegrated vector are assumed to be known. The estimated model has...

The Romanian financial market has passed in the last years through a large “maturating” and consolidation process which has created an unfinished architecture, harmonising step by step with the capital markets from European Union. One possible way to analyse the empirical characteristics of...

The evolution of the investment funds market is influenced by a number of factors that have a more or less significant impact upon the trend this market follows. The implementing of stimulating policies in what concerns the development of the investment funds market, strictly connected to the...

No country can develop without an active financial market, able to offer the conditions for financing national economy and also, an advantageous way of investing the temporary available resources. Having in mind this idea, the objective of this paper is to reveal the main coordinates of Romanian...