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Contributions to Intertemporal Models in Financial Economics
Gopalan, Ramu - 2008
portfolio restrictions, there is a need to differentiate individual arbitrage opportunities from those at the aggregate level …), this difference in the notion of arbitrage at the individual level and the aggregate level is characterized. Extending the … 2-date result of Hens et al., we show that generically there will be some arbitrage opportunities that remain …
Persistent link: https://www.econbiz.de/10009430929
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Financial Economies With Restricted Participation
Aouani, Zaier - 2009
with restricted participation. We then provide a characterization of reduced financial structures in terms of arbitrage …
Persistent link: https://www.econbiz.de/10009430939
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Consumers’ use of an expected future price as a reference: An investigation of the psychological and contextual antecedents
Kulkarni, Atul A. - 2011
dissertation research contributes to marketing theory in the areas of behavioral pricing and consumers’ forward looking behaviors …
Persistent link: https://www.econbiz.de/10009477800
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Exchange Market for Complex Goods: Theory and Experiments
Fink, Eugene; Johnson, Josh; Hu, Jenny - 2003
The modern economy includes a variety of markets, and the Internet has opened opportunities for efficient on-line trading. Researchers have developed algorithms for various auctions, which have become a popular means of on-line sales. They have also designed algorithms for exchange markets,...
Persistent link: https://www.econbiz.de/10009440957
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Electronic vs. Open Outcry: Side-by-Side Trading of KCBT Wheat Futures
Shah, Samarth; Brorsen, B. Wade - 2011
This study compares liquidity costs of electronic and open-outcry wheat futures contractstraded side-by-side on the Kansas City Board of Trade. Liquidity costs are considerablylower in the electronic market. Liquidity costs in the electronic market are still considerablylower after eliminating...
Persistent link: https://www.econbiz.de/10009444296
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Transition to electronic trading of Kansas City Board of Trade wheat futures
Shah, Samarth; Brorsen, B. Wade - 2010
This study compares liquidity costs and other characteristics of electronic and open outcry hard red winter wheat futures contracts traded on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market than in the open outcry market. A new approach is used to...
Persistent link: https://www.econbiz.de/10009446522
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NEW TECHNOLOGIES AND INFRASTRUCTURES OF FINANCIAL SERVICES
BORES, Radu; HLACIUC, Ana-Maria - 2016
This paper presents a view over recent developments in the underlying infrastructure of the financial system, more specifically electronic trading and how computers have taken over classic trading mechanisms. While some of the benefits are easy to agree upon, evidence shows that technical...
Persistent link: https://www.econbiz.de/10011534784
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BIG DATA A BIG DEAL FOR CAPITAL MARKET COMPANIES IN THEIR TRANSFORMATION PROCESS?
Gamkrelidze, Davit - 2020
Abstract The following article discusses the importance of using big data, especially in the operation of capital market companies, both in terms of benefits and potential risks. Given the growing dynamic business environment, capital market companies have to transform their operations in order...
Persistent link: https://www.econbiz.de/10012158666
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Applications of change of numéraire for option pricing
Le Roux, Gawie - 2007
andSchachermayer’s Mathematics of Arbitrage. The technique is then applied to financial pricingproblems. The right choice of numéraire …
Persistent link: https://www.econbiz.de/10009442166
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The Inconvenience Cost: A Portfolio Approach to Non-Convergence Between Cash and Futures Prices
Adjemian, Michael K.; Kuethe, Todd H.; Kunda, Eugene L. - 2010
, significant arbitrage opportunities over the second halfof the last decade. Yet, terminal elevator operators—perhaps the only … demonstrates conditions under which a profit maximizing warehouseman foregoes available arbitrage. We find that making delivery …
Persistent link: https://www.econbiz.de/10009446079