This paper investigates the relationship between negative news in financial newspapers and stock markets in times of global crisis, such as the 2008/2009 period. We analysed one year of front page banner headlines of three financial newspapers, such as the Wall Street Journal, Financial Times,...

In this paper I study the information acquisition process in a simple asset pricing model with heterogeneous beliefs about future prices. This is instrumental to investigate the effects of financial literacy on market volatility. I posit that financial literacy affects the cost of acquiring...

I characterize microfounded endogenous market structures with Bertrand and Cournot competition and perform welfare analysis generalizing the Mankiw-Whinston condition for excess entry. The impact of market leaders on welfare is reconsidered, with a number of policy implications about strategic...

This paper investigates the impact of a financial turmoil on the performances of traditional, and naive, asset allocation strategies. We compare over a long time span (lasting for the last 60 years) the 1/N portfolio with mean-variance optimal portfolio strategies. Our analyses consider several...

A trader's execution strategy has a large effect on his profits. Identifying an optimal strategy, however, is often frustrated by the complexity of market microstructure's. We analyse an order book based continuous double auction market under two different models of trader's behaviour. In the...

Multiple time series data may exhibit clustering over time and the clustering effect may change across different series. This paper is motivated by the Bayesian non–parametric modelling of the dependence between clustering effects in multiple time series analysis. We follow a Dirichlet process...

Stated Preferences are, together with Bass diffusion and, to a lesser extent, Total Cost of Ownership, the most popular methods to forecast the future diffusion of electric and alternative fuel vehicles. In this contribution, we compare the merits and limitations of SP relative to other methods....

This paper investigates the key role played by different factors, such as the use of Asset Backed Commercial Paper as collaterals in the short-term debt market, credit risk and the injection of liquidity by Central Banks through so-called unconventional measures, on the persistent spread during...

This paper presents the Matlab package DeCo (Density Combination) which is based on the paper by Billio et al. (2013) where a constructive Bayesian approach is presented for combining predictive densities originating from different models or other sources of information. The combination weights...

Future energy demand will be affected by changes in prices and income, but also by other factors, like temperature levels. This paper draws upon an econometric study, disentangling the contribution of temperature in the determination of the annual regional demand for energy goods. Combining...