Asset-backed securitization (ABS) may contribute to generating instability in financial markets both through an 'inside effect' in the banking system – facilitating progressive deterioration of bank assets' quality – and through an ‘outside effect' – favoring credit risk transfer from...

In this paper, we investigate the linkage between the subprime asset-backed collateralized debt obligations (CDO) market and Large Complex Financial Institutions (LCFIs). We attempt to account for the dynamics between the ABX index returns and the banks' equity returns through conditioning our...

The aim of the present University notes is to provide a brief but comprehensive overview of the European Commission’s proposal for a Regulation of the European Parliament and of the Council “on Markets in Crypto-Assets (…)” (MiCAR), which was submitted on 24 September 2020. It is not...

The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...

We explain the importance of Market Microstructure in the study of the Financial Markets, and then describe the Market Participants who collectively comprise the Financial Market. After a short history of capital markets, we describe the transition of the trading activities from the physical...

The present article contains a brief but comprehensive overview of the development of the Capital Markets Union (CMU) project in the EU to further deepen EU capital markets’ integration. After the Introduction, it first discusses the Commission’s 2015 CMU Action Plan and its follow-up,...

We study the impact that lower complexity in bank securitisations has on mortgage quality before and during the COVID-19 pandemic. We find that mortgages issued after the introduction of the new European regulation in 2018 that aims to reduce deal complexity are characterised by up to 0.10%...

We introduce two online backtest overfitting tools: BODT simulates the overfitting of seasonal strategies (typical of technical analysis), and TMST simulates the overfitting of econometric strategies (typical of academic journals). We show that econometric methods lend themselves to extreme...

The research seeks to gauge the global competitiveness of Central and Eastern European (CEE) financial markets. The assessment is made using quantitative and hybrid metrics of financial centre development while placing particular emphasis on competitiveness drivers relevant to the activity of...

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...