GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity-provision frictions that, in an unlevered economy, would lead...

This paper provides a first step in developing a system-wide stress simulation. The model incorporates several important features of the financial system. These include several types of institution (including banks and non-banks) and how their actions may propagate and amplify stress. Rather...

We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more...

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...

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 whether “big data” can help market participants form more accurate beliefs. We look at analysts and record when they explicitly reference the use of big data in their written reports. We find that analysts frequently draw from big data, particularly when receiving more timely...

The financial markets stylized facts, volatility and its relationship with returns tested empirically in Tehran Stock Exchange (TSE). ARMA- ARCH type models including two symmetric conditional hetroscedastic models; ARMA (1, 1) - ARCH (1) and ARMA (1, 1) - GARCH (1, 1) and two asymmetric...

We develop an adaptive learning game to rethink efficient markets. We use the stochastically stable state of this game, which is a mixed Nash equilibrium, to form an adaptive expectation model that provides an estimate of the confidence interval for prices on the next day. The estimate is most...