The essay offers a new understanding of how financial markets work. The key departure from conventional theory is to recognize that investors do not invest directly in securities but through agents such as fund managers. Agents have better information and different objectives than their...

In recent years, some authors have warned of the increasingly widespread use of risk management techniques by financial institutions, arguing that this can cause the market to become more unstable. To analyse these claims, we present a model based on evolutionary game theory of a financial...

In this article, the market risk associated with the financial markets of New York and Colombia is evaluated in three periods belonging to the 2019-2020-time window, characterized by shocking economic and social conditions such as the oil price war between Saudi Arabia and Russia and the global...

Hart has established necessary and su¢ cient conditions for the existence of equilibrium in an economy consisting of two time periods in which agents trade assets whose returns depend on an uncertain state of nature. Hammond has enounced an equivalent condition from an alternative approach to...

Recent work finds that countries with poorly developed legal systems are characterized by firms with high concentrations of owner ship and narrow capital markets. The causality of this relationship, how ever, has not been formalized. This paper presents a theoretical model to analyze the...

In this paper we present a simple agent based model aimed to the qualitative description of some ``stylized facts'' typical of financial markets. The framework is a simple two assets model: a riskless bond, with a constant riskless return and a risky stock, paying constant dividends. Both the...

Se evalúa el rendimiento ex-dividendo en acciones colombianas entre 1999 y 2007, periodo que incluye la conformación en julio de 2001 de la Bolsa de Valores de Colombia, resultado de la integración de tres bolsas previamente existentes. Contrario a la hipótesis de eficiencia de mercado, se...

This paper presents the Banco de España’s reference framework for the analysis of macroeconomic and financial risk, and the impact of the materialisation of this risk on financial stability and the real economy. The framework encompasses a broad set of empirical and theoretical models and...