order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …

The objective of operations on futures markets may be either hedging or speculation. In this paper, we wish to give a …

This study examines profits and speculation in the USD/EUR trading of a bank in Germanyover a four-month period …. Dealing activity at the bank generates profits but speculation doesnot seem to contribute to this. We find that speculative … positions fail to become profitablewithin a 30-minutes' horizon. Also, the suggestion that exchange rate volatility would …

We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic … framework of this model, we find conditions that are necessary and sufficient for the absence of arbitrage opportunities. We … discuss the relations between the results obtained and the phenomenon of ”volatility-induced growth” in stationary markets. …

In this paper we construct arbitrage-free market models of stochastic volatility type for one stock, one bank account … of dynamic arbitrage in the market can be characterized in terms of drift restrictions on the model coefficients. Most … provide a class of explicit examples satisfying the no-arbitrage conditions. This allows us to construct arbitrage-free multi …