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Price volatility in commodity markets with restricted participation

Knaut, Andreas; Paschmann, Martin - 2016

Analyzing commodity market dynamics, we observe that price volatility increases with reduced contract duration. In this paper, we derive a theoretical model depicting the price formation in two markets with altering product granularity. Supplemented by empirical evidence from German electricity...

Persistent link: https://www.econbiz.de/10011587638

Decoding restricted participation in sequential electricity markets

Knaut, Andreas; Paschmann, Martin - 2017

Restricted participation in sequential markets may cause high price volatility and welfare losses. In this paper we therefore analyze the drivers of restricted participation in the German intraday auctin which is a short-term electricity market with quarter-hourly products. Applying a...

Persistent link: https://www.econbiz.de/10011666918

What Does the Financial Market Pricing Do? A Simulation Analysis with a View to Systemic Volatility, Exuberance and Vagary

Biondi, Yuri - 2015

Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory regimes for fundamental information provision, as well...

Persistent link: https://www.econbiz.de/10013034712

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

The Design of Vertical R&D Collaborations

Herbst, Patrick; Walz, Uwe - 2013

Suppliers play a major role in downstream firms' innovation processes. We analyze ownership allocations and the choice of technology in vertical research and development (R&D) cooperations. Given that R&D outcomes are not contractible, there is a trade-off between R&D specifically designed...

Persistent link: https://www.econbiz.de/10014210523

Household Income Volatility and Tax Policy : Helping More and Hurting Less, Testimony Before the U.S. Joint Economic Committee

Batchelder, Lily L. - 2010

This testimony makes three main points. First, income volatility, especially when it involves income declines, imposes significant hardships on American families. It heightens stress about finances and may increase household living expenses. These hardships are most pronounced for middle-and...

Persistent link: https://www.econbiz.de/10014195419

Volatility and dispersion in business growth rates : publicly traded versus privately held firms

Davis, Steven J.; Haltiwanger, John C.; Jarmin, Ronald S.; … - 2006

Persistent link: https://www.econbiz.de/10003345742

Volatility and dispersion in business growth rates : publicly traded versus privately held firms

Davis, Steven J.; Haltiwanger, John C.; Jarmin, Ronald S.; … - In: NBER macroeconomics annual 21 (2006), pp. 107-179

Persistent link: https://www.econbiz.de/10003590871

Outsourcing and volatility

Bergin, Paul R.; Feenstra, Robert C.; Hanson, Gordon H. - 2007

While outsourcing of production from the U.S. to Mexico has been hailed in Mexico as a valuable engine of growth … literature to study the second moment properties of outsourcing. We begin by documenting a new stylized fact: the maquiladora … outsourcing industries in Mexico experience fluctuations in value added that are roughly twice as volatile as the corresponding …

Persistent link: https://www.econbiz.de/10003484887

The quality of price formation at market openings and closings : evidence from the Nasdaq stock market

Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - 2008

We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less sharpens the picture of intra-day volatility...

Persistent link: https://www.econbiz.de/10003831253

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