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Is Liquidity Largely Unpriced While Market Volatility is Systematically Priced?

Levy, Andre - 2016

We show in a fairly general setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced. This is because the buying and selling counterparties must both be optimizing....

Persistent link: https://www.econbiz.de/10013001416

Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy

Chen, Kexin - 2018

Subsistence consumption and investment problems with bankruptcy are classic constrained stochastic optimal control problem in financial economic, where the consumption rate should be greater than a positive number and the investor faces a bankruptcy payment. We derive novel asymptotic solution...

Persistent link: https://www.econbiz.de/10012911132

Stochastic Liquidity as a Proxy for Nonlinear Price Impact

Muhle-Karbe, Johannes; Wang, Zexin; Webster, Kevin T. - 2022

-frequency limit, a stochastic liquidity parameter approximates the original impact function's nonlinearity. We illustrate the …

Persistent link: https://www.econbiz.de/10014237952

Potential games in volatile environments

Staudigl, Mathias - In: Games and economic behavior 72 (2011) 1, pp. 271-287

Persistent link: https://www.econbiz.de/10009243211

A class of nonzero-sum investment and reinsurance games subject to systematic risks

Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; … - In: Scandinavian actuarial journal (2017) 8, pp. 670-707

Persistent link: https://www.econbiz.de/10011848596

Escaping Nash and Volatile Inflation

Ellison, Martin; Yates, Anthony - 2007

Why is inflation so much lower and at the same time more stable in developed economies in the 1990s, compared with the 1970s? This paper suggests that the United Kingdom, United States and other countries may have escaped from a volatile inflation equilibrium. Our argument builds on the story...

Persistent link: https://www.econbiz.de/10014224729

Mutual Fund Skill in Timing Market Volatility and Liquidity

Foran, Jason - 2017

We investigate both market volatility timing and market liquidity timing for the first time among UK mutual funds. We … volatility is higher than normal, systematic risk levels are lower. The evidence around market liquidity timing ability is … anticipation of reduced market liquidity. We also find a positive relation between liquidity timing ability and fund abnormal …

Persistent link: https://www.econbiz.de/10012955277