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Market clearing, utility functions, and securities prices
Raimondo, Roberto C. - In: Economic theory : official journal of the Society for … 25 (2005) 2, pp. 265-285
Persistent link: https://www.econbiz.de/10002595487
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A model for a large investor trading at market indifference prices : I: single-period case
Bank, Peter; Kramkov, Dmitry - In: Finance and stochastics 19 (2015) 2, pp. 449-472
Persistent link: https://www.econbiz.de/10011418186
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A suggestion for simplifying the theory of asset prices
Cesari, Riccardo; D'Adda, Carlo - In: Markets, money and capital : Hicksian economics for the …, (pp. 252-274). 2008
Persistent link: https://www.econbiz.de/10003827149
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Stock price dynamics of China : what do the asset markets tell us about the Chinese utility function?
Kwan, Yum-keung; Dong, Jinyue - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 77-108
Persistent link: https://www.econbiz.de/10010465138
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Equilibrium analysis of portfolio insurance
Grossman, Sanford J. - In: The journal of finance : the journal of the American … 51 (1996) 4, pp. 1379-1403
Persistent link: https://www.econbiz.de/10001209029
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What happened to the utility functions? : Imprecise expectations of security prices
Kane, Stephen A. - In: International review of financial analysis 8 (1999) 2, pp. 165-175
Persistent link: https://www.econbiz.de/10001495514
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Normative inference in efficient markets
Weretka, Marek - In: Economic theory : official journal of the Society for … 68 (2019) 4, pp. 787-810
Persistent link: https://www.econbiz.de/10012213126
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Stop Waiting Problem : Decision Rule with Ψ (PSI) Function and Application with Share Prices
Kohn, Wolfgang - 2014
the Ψ function is developed. The results are in line with Bruss's theory. We apply the stop-waiting strategy to the Apple …
Persistent link: https://www.econbiz.de/10013057728
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Multifractality in Finance : A Deep Understanding and Review of Mandelbrot's MMAR
Maglione, Federico - 2015
a possible alternative motivation for the presence of heavy tails and a connection with the Extreme Value Theory … Deviation Theory, suggesting possible ways in order to estimate the quantities involved. Finally in Section 6 the MMAR is …
Persistent link: https://www.econbiz.de/10013026948
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High Frequency Fairness
Haeringer, Guillaume; Melton, Hayden - 2020
The emergence of high frequency trading has resulted in `bursts' of orders arriving at an exchange (nearly) simultaneously, yet most electronic financial exchanges implement the continuous limit order book which requires processing of orders serially. Contrary to an assumption that appears...
Persistent link: https://www.econbiz.de/10014352148