The article presents measures of convergence that can be implied from the prices of instruments quoted on the financial market. Investors pricing off-balance instruments on the derivatives market reveal their sentiment and level of confidence related to the stability and development of the local...

This study wanted to pinpoint the different securities transactions’ channels in France, which are quite specific compared to other countries.As a matter of fact, the Paris Bourse could not be well explained without the free market and the deposit banks'transactions. This organisation leads to...

In this paper we study the development of the market for weather derivatives in Europe. We show that weather derivatives conceived as financial products by their promoters have difficulties finding end-users. We describe the attempts of market promoters using a framework drawn from economic...

In this paper we study the development of the market for weather derivatives in Europe. We show that weather derivatives conceived as financial products by their promoters have difficulties finding end-users. We describe the attempts of market promoters using a framework drawn from economic...

The decentralized OTC market is extremely illiquid and opaque in comparison with the exchange-listed stock market. Although liquidity risk has been well documented in the finance literature, little is known about how liquidity risk affects the stocks traded in the decentralized OTC market. In...

Changes in the financial market and attempts at implementation of prudential regulation proposals after the recent financial crisis resulted in the scientific conference entitled International Conference on Management, Banking and Finance, held at the Faculty of Management, University of Warsaw,...

Lagos-Rocheteau (Econometrica, 2009) is part of the literature that applies a search model to asset trade in the over-the-counter market. The only friction in their model is that it takes agents cost to getting into contact with other agents. In this paper, as an alternative to their...

The first chapter of this dissertation estimates the relative contributions of two major exchanges on crude oil futures to the price discovery process-- Chicago Mercantile Exchange (CME) and Intercontinental Exchange (ICE), using trade-by-trade data in 2008. The study also empirically analyzes...

This paper investigates the relationship between market microstructure and corporate governance in the Tunisian Stock Market. We examine in particular, the relationship between stock liquidity and institutional ownership by the type of institutions (e.g. banks, insurance companies, investment...

Motivated by the desire to bridge the gap between the microscopic description of price formation (agent-based modeling) and the stochastic differential equations approach used classically to describe price evolution at macroscopic time scales, we present a mathematical study of the order book as...