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Optimal display of Iceberg orders
Cebiroglu, Gökhan; Horst, Ulrich - 2011
We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions ("market...
Persistent link: https://www.econbiz.de/10009299593
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Optimal liquidation in dark pools
Kratz, Peter; Schöneborn, Torsten - 2011
We consider a large trader seeking to liquidate a portfolio using both a transparent trading venue and a dark pool. Our model captures the price impact of trading in transparent traditional venues as well as the execution uncertainty of trading in a dark pool. The unique optimal execution...
Persistent link: https://www.econbiz.de/10009299586
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Generalized single-index models : the EFM approach
Cui, Xia; Härdle, Wolfgang; Zhu, Lixing - 2009
Generalized single-index models are natural extensions of linear models and circumvent the so-called curse of dimensionality. They are becoming increasingly popular in many scientific fields including biostatistics, medicine, economics and financial econometrics. Estimating and testing the model...
Persistent link: https://www.econbiz.de/10003893146
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Regulatory risk under optimal incentive regulation
Strausz, Roland - 2009
The paper provides a tractable, analytical framework to study regulatory risk under optimal incentive regulation … consumers' preferences. -- Optimal incentive regulation ; regulatory risk ; procurement ; information rents …
Persistent link: https://www.econbiz.de/10003796198
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How does entry regulation influence entry into self-employment and occupational mobility?
Prantl, Susanne; Spitz-Oener, Alexandra - 2009
We analyze how an entry regulation that imposes a mandatory educational standard affects entry into self-employment and … Germany after reunification. Consistent with our expectations, we find that entry regulation reduces entry into selfemployment … changes after unforeseen economic shocks. -- Entry Regulation ; Self-Employment ; Occupational Mobility …
Persistent link: https://www.econbiz.de/10003850715
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The optimal industry structure in a vertically related market
Fiocco, Raffaele - 2010
better off. -- access charge ; legal separation ; ownership separation ; regulation …
Persistent link: https://www.econbiz.de/10003962960
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Competition and regulation in a differentiated good market
Fiocco, Raffaele - 2011
complementarity. -- competition ; complementarity ; concentration ; regulation, separation, substitutability. …
Persistent link: https://www.econbiz.de/10009381768
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Bargaining and collusion in a regulatory model
Fiocco, Raffaele; Gilli, Mario - 2011
players' bargaining powers crucially drive the optimal response to collusion. -- bargaining ; collusion ; regulation. …
Persistent link: https://www.econbiz.de/10009266952
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The regulation of interdependent markets
Fiocco, Raffaele; Scarpa, Carlo - 2011
that centralized regulation is preferable. Under asymmetric information about the firms' costs, lobbying induces a unique … may be social welfare enhancing. -- regulation ; Lobbying ; asymmetric information ; energy markets. …
Persistent link: https://www.econbiz.de/10009267036
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Consumer standards as a strategic device to mitigate ratchet effects in dynamic regulation
Fiocco, Raffaele; Strausz, Roland - 2012
Strategic delegation to an independent regulator with a pure consumer standard improves dynamic regulation by … likely. -- Dynamic regulation ; strategic delegation ; consumer standard ; ratchet effect ; limited commitment …
Persistent link: https://www.econbiz.de/10009625551