Similar Search Results

Inference, arbitrage, and asset price volatility

Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008

, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy … assets in response to temporary price declines (the arbitrage effect) but sell when prices decline permanently (the inference … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …

Persistent link: https://www.econbiz.de/10002101431

Inference, arbitrage, and asset price volatility

Adrian, Tobias - In: Journal of financial intermediation 18 (2009) 1, pp. 49-64

Persistent link: https://www.econbiz.de/10003813178

The term structure of inflation expectations

Adrian, Tobias (contributor); Wu, Hao (contributor) - 2009

We present estimates of the term structure of inflation expectations, derived from an affine model of real and nominal yield curves. The model features stochastic covariation of inflation with the real pricing kernel, enabling us to extract a time-varying inflation risk premium. We fit the model...

Persistent link: https://www.econbiz.de/10003812556

Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market

Hsieh, PeiLin Billy - 2017

This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at an increasing rate as the option's maturity date approaches. To explain this stylized fact, this paper provides a market microstructure model for the bid-ask spread in options...

Persistent link: https://www.econbiz.de/10012974407

Inference, arbitrage, and asset price volatility

Adrian, Tobias - 2004

Persistent link: https://www.econbiz.de/10010283435

Stock returns and volatility: Pricing the short-run and long-run components of market risk

Adrian, Tobias; Rosenberg, Joshua - 2006

We explore the cross-sectional pricing of volatility risk by decomposing equity market volatility into short- and long-run components. Our finding that prices of risk are negative and significant for both volatility components implies that investors pay for insurance against increases in...

Persistent link: https://www.econbiz.de/10010283455

The term structure of inflation expectations

Adrian, Tobias; Wu, Hao - 2009

Persistent link: https://www.econbiz.de/10010283537

Liquidity Suppliers and High Frequency Trading

Jarrow, Robert A. - 2013

This paper provides a mathematical analysis of how high frequency traders profi t from their speed with respect to the limit order book. We show that their pro ts can be decomposed into two components. The rest is due to their ability to execute market orders at limit order prices and without...

Persistent link: https://www.econbiz.de/10013071783

Stock returns and volatility : pricing the short-run and long-run components of market risk

Adrian, Tobias; Rosenberg, Joshua V. - In: The journal of finance : the journal of the American … 63 (2008) 6, pp. 2997-3030

Persistent link: https://www.econbiz.de/10003823154

Stock returns and volatility : pricing the short-run and long-run components of market risk

Adrian, Tobias (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003382961