Showing 1 - 10 of 11
We consider the optimal trade execution strategies for a large portfolio of single stocks proposed by Almgren (2003). This framework accounts for a nonlinear impact of trades on average market prices. The results of Almgren (2003) are based on the assumption that no shares of assets per unit of...
Persistent link: https://www.econbiz.de/10009391973
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...
Persistent link: https://www.econbiz.de/10010551735
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are...
Persistent link: https://www.econbiz.de/10010555037
We investigate how the relation between gold prices and the U.S. Dollar has been affected by the recent turmoil in financial markets. We use spot prices of gold and spot bilateral exchange rates against the Euro and the British Pound to study the pattern of volatility spillovers. We estimate the...
Persistent link: https://www.econbiz.de/10008475719
Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low costs of transaction. Providing a rigorous...
Persistent link: https://www.econbiz.de/10010614535
We study optimal asset allocation for a portfolio of European fixed-income mutual funds during the recent financial turmoil. We use a sample of daily returns for country indices of French, German and Italian funds to investigate the quest for international diversification. Our analysis focuses...
Persistent link: https://www.econbiz.de/10010826840
The present paper introduces two bonds in a standard New-Keynesian model to study the role of segmentation in bond markets for the determinacy of rational expectations equilibria. We use a strongly-separable utility function to model ‘liquid’ bonds that provide transaction services for the...
Persistent link: https://www.econbiz.de/10009142662
We study the frictions in the patterns of trades in the Euro money market. We characterize the structure of lending relations during the period of recent financial turmoil. We use network-topology method on data from overnight transactions in the Electronic Market for Interbank Deposits (e-Mid)...
Persistent link: https://www.econbiz.de/10010559510
I address the role of information heterogeneity in the Euro interbank market for unsecured term lending. I use high-frequency quotes of bid and ask prices to estimate probabilities of informed trading for contract maturities from one month to one year. The dataset spans from November 2000 to...
Persistent link: https://www.econbiz.de/10008487520
We investigate the relation between aggregate trading imbalances and interest rates in the Euro money market. We use data for OTC contracts as well as information from the major electronic trading platform in Europe to study the presence of cointegration between trading pressures and money...
Persistent link: https://www.econbiz.de/10008860733