We review the main changes in the interbank market after the financial crisis started in August 2007. In particular, we focus on the fixed income market and we analyse the most relevant empirical evidences regarding the divergence of the existing basis between interbank rates with different...

A new economic revolution liberating financial markets? Seeks to answer some of the questions driving the existential crisis embroiling finance: What is currency? What is value? What is a business? What is a bank, even?This article discusses how regulatory reform, transformative technologies,...

We study a simple static economy with collateralized loan contracts and an incomplete asset market. We study whether economic forces operate to keep asset price equal to fundamentals in this economy. We find that asset prices may be higher than the valuation of any agent in the economy, i.e.,...

The application of econophysics in modeling investment assets' market behavior is considerably increasing and is highly becoming an area of interest for market actors including quants and econophysicists. This study investigated stock price oscillatory behavior in stock markets. We applied...

Oil traders find it challenging to process all information and choose which sources to follow.Inventories represent a perfect source, as they provide important information regarding realagents' intertemporal decisions and can easily be observed in real time. However, inventoriesdo not contain...

Among the ecosystem of decentralized financial services, yield farming is a complex investment strategy with hidden downside risks providing opportunities for passively earning income. We characterize the risk and return characteristics of yield farming and show that yield farms dynamically...

There are different approaches in the use of mathematical model to explain the spread of infectious disease. In epidemiological study the models like Cox,B Spline, SIR and Transmission probability are used to explain herding effect. Bulk of the studies shows the use of these models in...

Over the last 10 years or so a mathematical theory of bubbles has emerged, following a martingale theory based on an absence of arbitrage, as opposed to an equilibrium theory. This paper attempts to explain the major developments of the theory as it currently stands, including equities, options,...

Substantial empirical research has investigated the determinants of credit default swap (CDS) premia. Beside the well-documented impact of implied volatility on spreads only little is known about the informational content of equity option prices to explain the cross-section of CDS spreads. Our...

We analyze the impact of high frequency (HF) trading in financial markets based on a model with three types of traders: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price impact of liquidity trades is higher in the...