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Investors Facing Risk II: Loss Aversion and Wealth Allocation When Utility Is Derived From Consumption and Narrowly Framed Financial Investments
Rengifo, Erick W.; Trifan, Emanuela - 2007
to consumption but also a high preference for risky assets. In this latter setting, myopic loss aversion holds solely …
Persistent link: https://www.econbiz.de/10010266877
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Estimating high-frequency based (co-) variances: A unified approach
Nolte, Ingmar; Voev, Valeri - 2007
We propose a unified framework for estimating integrated variances and covariances based on simple OLS regressions allowing for a general market microstructure noise specification. We show that our estimators can outperform in terms of the root mean squared error criterion the most recent and...
Persistent link: https://www.econbiz.de/10010266938
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Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market
Nolte, Ingmar; Voev, Valeri - 2007
We develop a panel intensity model, with a time varying latent factor, which captures the influence of unobserved time effects and allows for correlation across individuals. The model is designed to analyze individual trading behavior on the basis of trading activity datasets, which are...
Persistent link: https://www.econbiz.de/10010266949
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Customer trading in the foreign exchange market empirical evidence from an internet trading platform
Lechner, Sandra; Nolte, Ingmar - 2007
This paper analyzes the relationship between currency price changes and their expectations. Currency price change expectations are derived with the help of different order flow measures, from the trading behavior of investors on OANDA FXTrade, which is an internet trading platform in the foreign...
Persistent link: https://www.econbiz.de/10010266950
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How Do Individual Investors Trade?
Nolte, Ingmar; Nolte, Sandra - 2010
This paper examines how high-frequency trading decisions of individual investors are influenced by past price changes …. Specifically, we address the question as to whether decisions to open or close a position are different when investors already hold … predictive patterns last up to several hours. This observation clearly shows that for high-frequency trading, investors rely on …
Persistent link: https://www.econbiz.de/10010270302
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Price formation on the EuroMTS platform
Caporale, Guglielmo Maria; Girardi, Alessandro - 2010
This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...
Persistent link: https://www.econbiz.de/10010271355
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Liquidity and asset prices: How strong are the linkages?
Dreger, Christian; Wolters, Jürgen - 2010
The appropriate design of monetary policy in integrated financial markets is one of the most challenging areas for central banks. One hot topic is whether the rise in liquidity in recent years has contributed to the formation of price bubbles in asset markets. If strong linkages exist, the...
Persistent link: https://www.econbiz.de/10010273131
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Can common stocks provide a hedge against inflation? Evidence from African countries
Alagidede, Paul; Panagiotidis, Theodore - 2010
The extent to which the stock market provides a hedge to investors against inflation is examined for African stock markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the elasticities of stock prices with respect to consumer prices...
Persistent link: https://www.econbiz.de/10010273656
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Quoted spreads and trade imbalance dynamics in the European treasury bond market
Caporale, Guglielmo Maria; Girardi, Alessandro; … - 2010
Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper …
Persistent link: https://www.econbiz.de/10010275008
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Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system
Caporale, Guglielmo Maria; Girardi, Alessandro - 2011
This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of...
Persistent link: https://www.econbiz.de/10010277369