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Yield curve data choice and potential moral hazard : an empirical exercise on pricing callable bonds
Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2124-2145
Persistent link: https://www.econbiz.de/10013184691
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Volatility and liquidity costs
Chaker, Selma - 2013
Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before...
Persistent link: https://www.econbiz.de/10009783098
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On the correlation structure of microstructure noise in theory and practice
Diebold, Francis X.; Strasser, Georg H. - 2008
return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … informed conjectures as to improved volatility estimation methods. -- Realized Volatility ; Market Microstructure Theory ; High …
Persistent link: https://www.econbiz.de/10003831222
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Equilibrium High Frequency Trading
Foucault, Thierry - 2013
Algorithms enable investors to locate trading opportunities, which raises gains from trade. Algorithmic traders can also process information on stock values before slow traders, which generates adverse selection. We model trading in this context and show that, for a given level of algorithmic...
Persistent link: https://www.econbiz.de/10013093481
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On Long Memory Behaviour and Predictability of Financial Markets
Vo, Long - 2017
An immediate consequence of the Efficient Market Hypothesis (EMH) is the absence of auto-correlation of the return series of the financial prices and the exclusion of excess profitability made by any (active) trading strategy. However, the precondition for the validity of EMH, which assumes that...
Persistent link: https://www.econbiz.de/10012956295
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Functional Central Limit Theorems for Rough Volatility
Horvath, Blanka - 2019
We extend Donsker's approximation of Brownian motion to fractional Brownian motion with Hurst exponent H∈(0,1) and to Volterra-like processes. Some of the most relevant consequences of our ‘rough Donsker (rDonsker) Theorem' are convergence results for discrete approximations of a large class...
Persistent link: https://www.econbiz.de/10012900532
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Financial Deepening, Terms of Trade Shocks, and Growth Volatility in Low-Income Countries
Kpodar, Kangni - 2019
This paper contributes to the literature by looking at the possible relevance of the structure of the financial system-whether financial intermediation is performed through banks or markets-for macroeconomic volatility, against the backdrop of increased policy attention on strengthening growth...
Persistent link: https://www.econbiz.de/10012871772
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Dimensional Analysis, Leverage Neutrality, and Market Microstructure Invariance
Kyle, Albert S. - 2017
This paper combines dimensional analysis, leverage neutrality, and a principle of market microstructure invariance to derive scaling laws expressing transaction costs functions, bid-ask spreads, bet sizes, number of bets, and other financial variables in terms of dollar trading volume and...
Persistent link: https://www.econbiz.de/10012969188
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Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
Ledenyov, Dimitri - 2015
exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …
Persistent link: https://www.econbiz.de/10013013057
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Market Microstructure Invariance : A Dynamic Equilibrium Model
Kyle, Albert S. - 2020
We derive invariance relationships in a dynamic, infinite-horizon, equilibrium model of adverse selection with risk-neutral informed traders, noise traders, market makers, and with endogenous information production. The model solution depends on two state variables: stock price and...
Persistent link: https://www.econbiz.de/10012850268