Narrow search
Showing 1 - 10 of 12,266
Cover Image
Why Discrete Price Fragments U.S. Stock Exchanges and Disperses Their Fee Structures
Chao, Yong - 2019
Stock exchange operators compete for order flow by setting "make" fees for limit orders and "take" fees for market orders. When traders quote continuous prices, they can choose prices that perfectly neutralize any fee division, and traders stream to the exchange with the lowest total fee. The...
Persistent link: https://www.econbiz.de/10012904610
Cover Image
Barter, Liquidity and Market Segmentation
Prendergast, Canice; Stole, Lars - 2021
relative to the market outcomes. We then demonstrate that in the presence of liquidity shocks, introducing a non …-monetary exchange avoids this limitation and enhances trade by (1) generating liquidity and (2) by segmenting the market place into low …
Persistent link: https://www.econbiz.de/10013320760
Cover Image
The effect of introducing a non-redundant derivative on the volatility of stock-market returns
Bhamra, Harjoat Singh; Uppal, Raman - 2006
Persistent link: https://www.econbiz.de/10003353062
Cover Image
Liability games
Csóka, Péter; Herings, Peter Jean-Jacques - 2017
the firm among the creditors and the firm itself. Compared to standard bankruptcy games as studied in the game theory …
Persistent link: https://www.econbiz.de/10012010994
Cover Image
Closed-Loop Nash Competition for Liquidity
Micheli, Alessandro; Muhle-Karbe, Johannes; Neuman, Eyal - 2021
We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed-loop Nash equilibrium exists if the price impact parameter is small enough....
Persistent link: https://www.econbiz.de/10013312176
Cover Image
Using a Modified Dividend Discount Model for Stock Market Games
Yu, Geungu - 2017
This paper presents a dividend discount model (DDM) modified for high-growth stocks as an investment decision tool for participants of stock market games. The participants input data from Value Line Investment Survey reports to the modified DDM for making their investment decisions. Comparing...
Persistent link: https://www.econbiz.de/10012955382
Cover Image
Optimal Trade Sizing in a Game with Favourable Odds : The Stock Market
Haghani, Victor - 2016
In this short note, we show investors one way to calculate ideal investment sizing by using two rules of thumb based on a simple outline of individual risk aversion. We illustrate these two heuristics, which are not widely appreciated, with thought experiments involving coin flips and ketchup &...
Persistent link: https://www.econbiz.de/10012978604
Cover Image
Robustness of Stable Volatility Strategies
Branger, Nicole - 2015
The paper analyzes the robustness of stable volatility strategies, i.e. strategies in which the portfolio weight of the … stock is inversely proportional to its local volatility. These strategies are optimal for a CRRA investor if the stock … follows a diffusion process, the expected excess return is proportional to its volatility, and the hedging demand is zero. We …
Persistent link: https://www.econbiz.de/10013031633
Cover Image
Robo-Advisors vs. Traditional Investment Advisors - An Unequal Game
Rohner, Philippe - 2019
Robo-advisors are digital platforms that provide automated investment strategies and offer solutions in three key areas: (1) access to and rebalancing of passive and rule-based investment strategies, (2) cost-efficient implementation of a diversified asset allocation, and (3) behavioral biases....
Persistent link: https://www.econbiz.de/10012899904
Cover Image
Sovereign Debt
Martinez, Leonardo; Roch, Francisco; Roldán, Francisco; … - 2022
This paper surveys the literature on sovereign debt from the perspective of understanding how sovereign debt differs from privately issue debt, and why sovereign debt is deemed safe in some countries but risky in others. The answers relate to the unique power of the sovereign. One the one hand,...
Persistent link: https://www.econbiz.de/10014081238