As a centralized, computerized, limit order market, the Paris Bourse is particularly appropriate for studying the interaction between the order book and order flow. Descriptive methods capture the richness of the data and distinctive aspects of the market structure. Order flow is concentrated...

The 1992 Czechoslovak mass privatization program resembled a multi-round Walrasian auction with tatonnement, in which participants, endowed with points, bid simultaneously for non-uniform products, i.e., shares. The creation of this artificial primary market provides economists with a unique...

Because the Paris Bourse is a centralized, computerized, limit order market, the dataset it generates is particularly appropriate for studying the interaction between the order book and order flow dynamics. We use descriptive methods to capture the richness of the data and the distinctive...

The paper focuses on the rebalancing premium, defined as the difference between the cash-flows generated by a fixed-weight (FW) strategy and a drift-weight (DW) strategy at the end of an investment horizon. A unified framework is used to investigate both FW contrarian (long-only) strategies and...

In the aftermath of the GFC, banks have adjusted their books of derivatives for funding costs and have made Funding Valuation Adjustments (FVA). These adjustments are surprising for two reasons. First, they are made on a voluntary basis. They are neither imposed by banking regulation nor...

The paper proposes an analytical framework to value corporate tax assets (carryforwards andcarrybacks) subject to refundability risk under tax asymmetry. Building on the existing literature, taxassets are modelled as derivatives contracts. The framework captures earnings’ volatility, the...