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On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Framstad, Nils Chr. - 2011
for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and … the discretisation chosen. Arbitrage examples are established where the continuous analogue is arbitrage-free under small … (1997) article proving arbitrage in fBm models. …
Persistent link: https://www.econbiz.de/10010330249
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A note on arbitrage under transaction costs
Irle, Albrecht; Prelle, Claas - 2008
Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his … results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of …
Persistent link: https://www.econbiz.de/10010274720
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SETS, Arbitrage Activity, and Stock Price Dynamics
Taylor, Nick; van Dijk, Dick; Franses, Philip Hans; … - 1999
This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. Therecent introduction ofSETS in the London Stock Exchange provides an excellent opportunity...
Persistent link: https://www.econbiz.de/10010324378
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Transaction costs, liquidity and expected returns at the Berlin stock exchange, 1892-1913
Burhop, Carsten; Gelman, Sergey - 2010
We estimate effective spreads and round-trip transaction costs at the Berlin Stock Exchange for the period 1892-1913 using daily stock market returns for a sample of 27 stocks. Our results show that transaction costs at the main stock exchange in a bank-based financial system at the turn of the...
Persistent link: https://www.econbiz.de/10010270431
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One-Way Arbitrage-Based Interest Parity
Chang, Rosita P.; Lee, Sang-Hyop; Reid, Sean F.; Rhee, … - 2002
forwardforeign exchange prices from interest parity forward prices. Second, the role oftransaction costs in one-way arbitrage …-based interest parity has not been examined.Applying the Fletcher and Taylor approach to one-way arbitrage-based interest parity … implied by one-way arbitrage, does not diminish therole of transaction costs; (ii) the varjances of the estimated deviations …
Persistent link: https://www.econbiz.de/10010324946
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Competition intensity, potential competition and transaction cost economics
Busse, Matthias - 2002
Determinanten des Globalisierungsgrades einer Branche ist die Höhe der Transaktionskosten. Niedrige Transaktionskosten führen … tendenziell zu globalisierten Märkten, hohe Transaktionskosten entsprechend zu segmentierten Märkten. Hinzu kommt, dass … Transaktionskosten auch Auskunft über den Grad des potentiellen Wettbewerbs geben können. Damit erhalten Wettbewerbsbehörden einen …
Persistent link: https://www.econbiz.de/10010295506
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Conflict of law rules and international trade : a transaction costs approach
Kirstein, Roland; Schmidtchen, Dieter; Neunzig, Alexander R. - 2004
Der Beitrag stellt eine auf der Transaktionskosten-Ökonomik basierende Analyse von Kollisionsnormen vor. Hierzu wird …
Persistent link: https://www.econbiz.de/10010296890
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High order compact finite difference schemes for a nonlinear Black-Scholes equation
Düring, Bertram; Fournié, Michel; Jüngel, Ansgar - 2001
A nonlinear Black-Scholes equation which models transaction costs arising in the hedging of portfolios is discretized semi-implicitly using high order compact finite difference schemes. In particular, the compact schemes of Rigal are generalized. The numerical results are compared to standard...
Persistent link: https://www.econbiz.de/10010324085
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Self-regulation and trust under endogenous transaction costs
Sacco, Pier Luigi - 1997
We consider a partnership game with two roles in which a large population of firms interact to carry out, say, R&D joint ventures. The partners have to build a common-property asset through a sequence of costly investments. Firms have access to a monitoring technology whose cost depends on the...
Persistent link: https://www.econbiz.de/10011608313
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The combined use of taxation and voluntary agreements for energy policy
Millock, Katrin - 2000
The paper models the combined use of taxation and voluntary agreements when there is asymmetric information between the regulator and industry on the firms' actual emissions. The model incorporates the following features: 1) the regulator does not know the firm's special production...
Persistent link: https://www.econbiz.de/10011608672