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Information and inventories in high-frequency trading
Muhle-Karbe, Johannes; Webster, Kevin - 2015
-frequency traders' actions, then fast inventory management allows to minimize positions with only second-order losses to expected …
Persistent link: https://www.econbiz.de/10011412266
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Managing inventory with proportional transaction costs
Gallien, Florent; Kassibrakis, Serge; Malamud, Semyon; … - 2016 - This version: June 2, 2016
We solve the problem of optimal inventory management for a CARA market-maker who faces proportional transaction costs … and marking to market. Our model accommodates inventory shocks following an arbitrary compound Poisson process, and allows … that optimal accounting for inventory shocks leads to significant utility gains …
Persistent link: https://www.econbiz.de/10011519051
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Endogenous versus exogenous origins of financial rallies and crashes in an agent-based model with Bayesian learning and imitation
Harras, Georges Emmanuel; Sornette, Didier - 2008
We present a simple agent-based model to study how the proximate triggering factor of a crash or a rally might relate to its fundamental mechanism, and vice versa. Our agents form opinions and invest, based on three sources of information, (i) public information, i.e. news; (ii) information from...
Persistent link: https://www.econbiz.de/10003961713
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On the strategic value of risk management
Léautier, Thomas-Olivier; Rochet, Jean-Charles - 2013
This article examines how fi rms facing volatile input prices and holding some degree of market power in their product market link their risk management with their production or pricing strategies. This issue is relevant in many industries ranging from manufacturing to energy retailing, where...
Persistent link: https://www.econbiz.de/10009750629
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Comparing ask and transaction prices in the Swiss housing market
Ahmed, Ahmed; Ardila, Diego; Sanadgol, Dorsa; Sornette, … - 2016
We analyze the relationship between ask and transaction prices in the Swiss residential real estate market over the 2005-2015 period. First, we present strong evidence that ask and transaction prices are co-integrated across different market segments, but they do not Granger-cause one another....
Persistent link: https://www.econbiz.de/10011626361
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Optimal fund menus
Cvitanić, Jakša; Hugonnier, Julien - 2018
We study the optimal design of a menu of funds by a manager who is required to use linear pricing and does not observe the preferences of investors regarding one of the risky assets. The optimal menu involves bundling of assets and can be explicitly constructed from the solution to a calculus of...
Persistent link: https://www.econbiz.de/10011900225
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Aggregating Phillips curves
Imbs, Jean (contributor); Jondeau, Eric (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003549835
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Financial returns to household inventory management
Baker, Scott; Johnson, Stephanie; Küng, Lorenz - 2020
Households tend to hold substantial amounts of non-financial assets in the form of inventory. Households can obtain … this inventory management. We demonstrate that households earn high returns from inventory management at low levels of … inventory, though returns decline rapidly as inventory levels increase. We provide evidence using scanner and survey data that …
Persistent link: https://www.econbiz.de/10012271205
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Financial returns to household inventory management
Baker, Scott; Johnson, Stephanie; Küng, Lorenz - 2020
Households tend to hold substantial amounts of non-financial assets in the form of inventory. Households can obtain … this inventory management. We demonstrate that households earn high returns from inventory management at low levels of … inventory, though returns decline rapidly as inventory levels increase. We provide evidence using scanner and survey data that …
Persistent link: https://www.econbiz.de/10012421080
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Portfolio selection with active risk monitoring
Paolella, Marc S.; Polak, Pawel - 2015
The paper proposes a framework for large-scale portfolio optimization which accounts for all the major stylized facts of multivariate financial returns, including volatility clustering, dynamics in the dependency structure, asymmetry, heavy tails, and nonellipticity. It introduces a so-called...
Persistent link: https://www.econbiz.de/10011410659