Narrow search
Showing 1 - 10 of 727,031
Cover Image
Do Position Limits on Futures Trading Benefit Commodity Markets?
Chen, Wen; Hu, Bo; Wang, Yajun - 2022
Dodd-Frank Act, regulators believe that position limit on speculators would dampen futures price volatility and prevent …
Persistent link: https://www.econbiz.de/10014235601
Cover Image
Equilibrium driven by discounted dividend volatility
Cvitanić, Jakša; Malamud, Semyon - 2009
We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary …, intrinsic characteristic of the aggregate dividend process that we call the "rate of discounting volatility" and show that, in … equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …
Persistent link: https://www.econbiz.de/10003971106
Cover Image
Financial markets equilibrium with heterogeneous agents
Cvitanić, Jakša; Jouini, Elyès; Malamud, Semyon; … - 2009
shares, the market price of risk, the risk free rate, the bond prices at di erent maturities, the stock price and volatility …
Persistent link: https://www.econbiz.de/10003971310
Cover Image
Financial Markets Equilibrium with Heterogeneous Agents
Cvitanic, Jaksa - 2015
shares, the market price of risk, the risk free rate, the bond prices at different maturities, the stock price and volatility …
Persistent link: https://www.econbiz.de/10013039076
Cover Image
Continuous equilibrium under base preferences and attainable initial endowments
Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - 2011
equilibrium exists and the agents' optimal trading strategies are constant. Affine processes, and the theory of information … are obtained and applied to numerically analyze the impact of the agents' risk aversion on the implied volatility of … pricing ; implied volatility. …
Persistent link: https://www.econbiz.de/10009379446
Cover Image
A Theory of Correlated-Demand Driven Liquidity Commonality
Liu, Hong - 2013
Many empirical studies suggest that correlated demand is important in driving liquidity commonality among stocks. However, there are still no theoretical studies on how demandside factors cause and affect liquidity and return commonality. We propose a tractable equilibrium model with asymmetric...
Persistent link: https://www.econbiz.de/10013091337
Cover Image
Market Making with Asymmetric Information and Inventory Risk
Liu, Hong - 2017
Market makers in some financial markets often make offsetting trades and have significant market power. We develop a market making model that captures these market features as well as other important characteristics such as information asymmetry and inventory risk. In contrast to the existing...
Persistent link: https://www.econbiz.de/10012976760
Cover Image
Dynamic Market Making with Asymmetric Information and Market Power
Chen, Wen - 2020
We study the dynamics of bid-ask spread and trading volume using a multi-period trading model with asymmetric information and oligopolistic market makers. Market makers optimally make offsetting trades in "bid" and "ask" markets by adjusting bid and ask prices/depths to avoid holding...
Persistent link: https://www.econbiz.de/10012851705
Cover Image
Asymmetric Information, Endogenous Illiquidity, and Asset Pricing with Imperfect Competition
Liu, Hong - 2010
We propose a novel and tractable equilibrium model to study how information asymmetry, competition among market makers, and investors' risk aversion affect asset pricing, market illiquidity and welfare. The main innovation is that market makers compete through choosing simultaneously quantities...
Persistent link: https://www.econbiz.de/10013146613
Cover Image
Why can margin requirements increase volatility and benefit margin constrained investors?
Wang, Yajun - In: Review of finance : journal of the European Finance … 20 (2016) 4, pp. 1449-1485
Persistent link: https://www.econbiz.de/10011610683