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Bech, Morten L. (contributor); Garratt, Rod (contributor) - 2002 - [Elektronische Ressource]

We use a game theoretical framework to analyze the intraday behavior of banks with respect to settlement of interbank claims in a real time gross settlement setting. We find that the game played by banks depends upon the intraday credit policy of the central bank and that it encompasses two...

Persistent link: https://www.econbiz.de/10001685108

The intraday liquidity management game

Bech, Morten L.; Garratt, Rod - In: Journal of economic theory 109 (2003) 2, pp. 198-219

Persistent link: https://www.econbiz.de/10001765776

Self-organized criticality in a herd behavior model of financial markets

Nirei, Makoto - In: Journal of economic interaction and coordination : JEIC 3 (2008) 1, pp. 89-97

Persistent link: https://www.econbiz.de/10003715861

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