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Asset Pricing with Matrix Jump Diffusions
Leippold, Markus; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010
applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …
Persistent link: https://www.econbiz.de/10009248844
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Is financial speculation with agricultural commodities harmful or helpful? A literature review of current empirical research
Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2012
in favor of, but against (c) erecting market barriers by regulation. Against this background, the public alarm, which …
Persistent link: https://www.econbiz.de/10011733841
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Does financial speculation with agricultural commodities cause hunger? A reply to our critics
Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2013
As a reply to our critics, we show that Bozorgmehr et al. (2013) have (a) misunderstood, (b) misread, and (c) misinterpreted the literature review by Will et al. (2012).
Persistent link: https://www.econbiz.de/10011733867
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Margin regulation and volatility
Brumm, Johannes; Grill, Michael; Kubler, Felix; … - 2014
In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … presence of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … stabilizing effects. However, in line with the empirical evidence on margin regulation in U.S. stock markets, we show that changes …
Persistent link: https://www.econbiz.de/10010258788
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Market stability vs. market resilience : regulatory policies experiments in an agent based model with low- and high-frequency trading
Jacob Leal, Sandrine; Napoletano, Mauro - 2016
We investigate the effects of different regulatory policies directed towards high-frequency trading (HFT) through an agent-based model of a limit order book able to generate flash crashes as the result of the interactions between low- and high-frequency (HF) traders. We analyze the impact of the...
Persistent link: https://www.econbiz.de/10011457384
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Multivariate Volatility Regulated Kelly Strategy : A Superior Choice in Low Correlated Portfolios
Liu, Zhenya - 2017
We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the Kelly criterion. The objective function is constructed and solved. We show the superiority of our method in relative low correlated portfolios, relatively to fractional Kelly...
Persistent link: https://www.econbiz.de/10012960889
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Margin Regulation and Volatility
Brumm, Johannes - 2014
In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … stabilizing effects. However, in line with the empirical evidence on margin regulation in U.S. stock markets, we show that changes …
Persistent link: https://www.econbiz.de/10013051665
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Does financial speculation with agricultural commodities cause hunger? : a reply to our critics
Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2013
Persistent link: https://www.econbiz.de/10011758136
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Is financial speculation with agricultural commodities harmful or helpful? : a literature review of current empirical research
Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2012
in favor of, but against (c) erecting market barriers by regulation. Against this background, the public alarm, which …
Persistent link: https://www.econbiz.de/10011784196
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Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010
The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic...
Persistent link: https://www.econbiz.de/10010292171