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Boom-Bust Cycles and Trading Practices in Asset Markets, the Real Economy and the Effects of a Financial Transactions Tax
Schulmeister, Stephan - 2010
This paper begins with a puzzle. Over the past three decades, trading in asset markets has become progressively more short-term oriented ("faster"), with traders attempting to exploit intraday price trends. Yet, over this time, asset prices have continued to move in a sequence of alternating...
Persistent link: https://www.econbiz.de/10013136246
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On the Credibility of the Euro/Swiss Franc Floor : A Financial Market Perspective
Hertrich, Markus - 2015
The sheer existence of EUR/CHF put options with strike prices below the 1.20 EUR/CHF floor, trading at non-zero cost … market prices of put options, using an extension of the Veestraeten option pricing model which assumes that the underlying …
Persistent link: https://www.econbiz.de/10013035389
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Cryptocurrency Volatility Markets
Woebbeking, Fabian - 2020
-day cryptocurrency options data, which spans over several months and includes the COVID-19 pandemic period. CVX data therefore captures …
Persistent link: https://www.econbiz.de/10012829636
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On the credibility of the Euro/Swiss Franc floor : a financial market perspective
Zimmermann, Heinz; Hertrich, Markus - 2015
The sheer existence of EUR/CHF put options with strike prices below the EUR/CHF 1.20 floor, trading at non-zero cost … market prices of put options, using an extension of the Veestraeten option pricing model which assumes that the underlying …
Persistent link: https://www.econbiz.de/10011569649
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Asset Price Volatility and Efficient Discrimination in Credit Market Equilibrium
Nickerson, David B. - 2017
exercising the options embedded in standard debt contracts. Extending substantially different loan terms or even rationing credit …
Persistent link: https://www.econbiz.de/10012963545
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Why a Volatility Index Can Be Useful in the Spanish Financial Market?
Gonzalez-Perez, Maria T. - 2009
Two volatility indexes, VIBEX and VIBEX-NEW, are calculated for the Spanish financial market by using a non-model free, and a model free methodology, respectively. VIBEX-NEW index is worthy of being chosen first, due to liquidity problems in Spanish option market on IBEX35. Daily changes in...
Persistent link: https://www.econbiz.de/10013156469
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Liquidity Shocks, Commodity Financialization, and Market Comovements
Hu, Conghui - 2020
We explore whether and how liquidity factors influence risk transfers between commodity and stock markets using a composite liquidity index and five different types of liquidity measures. We find that liquidity shocks, including both funding liquidity and market liquidity, are positively...
Persistent link: https://www.econbiz.de/10012833327
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Random Geometric Analysis in the Stochastic Volatility : Financial Markets States Degeneracy
Chule, Siyabonga - 2017
The risky assets prices of the bi-variate model are reviewed under the hegemonize concentration filtered physical probability space. In the stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer-Schweizer decomposition is stringent to the...
Persistent link: https://www.econbiz.de/10012956358
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Noise Traders, Mispricing, and Price Adjustments in Derivatives Markets
Ryu, Doojin - 2019
This study examines price disagreements and adjustments between actual futures prices and options-implied futures … that initiates the disagreement adjusts more to eliminate the mispricing. Futures prices adjust less for options …-initiated price disagreement events with out-of-the-money (OTM) options-implied prices than they do for events with at-the-money (ATM …
Persistent link: https://www.econbiz.de/10012895285
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Liquidity and Market Efficiency in the World’s Largest Carbon Market
Ibikunle, Gbenga - 2016
We examine the world's largest carbon exchange, ICE's ECX, by applying Chordia et al.'s (2008) conception of short-horizon return predictability as an inverse indicator of market efficiency. We find a strong relationship between liquidity and market efficiency such that when spreads narrow,...
Persistent link: https://www.econbiz.de/10013008319