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Gsell, Markus - 2012

Persistent link: https://www.econbiz.de/10012691499

The behavior of high-frequency traders under different market stress scenarios

Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54

Persistent link: https://www.econbiz.de/10011988891

Bubbles, crashes and information contagion in large-group asset market experiments

Hommes, Cars H.; Kopányi-Peuker, Anita; Sonnemans, Joep - 2019

We experimentally investigate how price expectations are formed in a large asset market where subjects' only task is to forecast the future price of a risky asset. The realized prices depend on these expectations. We observe small (6 participants) and large markets (about 100 participants). In...

Persistent link: https://www.econbiz.de/10011979625

Pricing of bond options : unspanned stochastic volatility and random field models

Repplinger, Detlef - 2008

Persistent link: https://www.econbiz.de/10013278100

Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models

Repplinger, Detlef (contributor); Fandel, G. (contributor); … - 2008

A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage relations through the correlation structure of...

Persistent link: https://www.econbiz.de/10013521005

How do investors' expectations drive asset prices?

Lüders, Erik; Peisl, Bernhard - 2001

Asset price processes are completely described by information processes and investors´ preferences. In this paper we … stylized facts that look at first hand like financial market anomalies may be explained by an information process with …

Persistent link: https://www.econbiz.de/10010297751