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Price manipulation in a market impact model with dark pool
Price manipulation transaction-triggered price manipulation positive expected liquidation costs dark pool market impact model
2012/6/5
For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into suc...
A finite-dimensional quantum model for the stock market
econophysics quantum finance finite quantum systems
2012/4/28
We present a finite-dimensional version of the quantum model for the stock market proposed in [C. Zhang and L. Huang, A quantum model for the stock market, Physica A 389(2010) 5769]. Our approach is a...
Games in the Bi-Oligopoly Market of High-Technology Equipments
Bi-Oligopoly Markets Nash Equilibrium Asymmetric Information Core Nash Bargaining Solution
2013/2/23
In this paper we consider the high-tech equipment import market in a developing country. We discuss the behaviors of the foreign supplier, the domestic user, the new domestic supplier, and the role th...
Contending East Asian Regional Identity: Market-led, Institutions or Social Reconstruction
Institutions Social Reconstruction
2013/8/14
Contending East Asian Regional Identity: Market-led, Institutions or Social Reconstruction.
Childhood Health and Labor Market Inequality over the Life Course
childhood health disparities earnings health selection HrS
2013/12/6
The authors use data from the Health and retirement Study’s Earnings Benefit File, which links Health and retirement Study to Social Security Administration records, to estimate the impact of childhoo...
Simultaneous determination of market value and risk premium in the valuation of firms
firm valuation DCF CAPM risk premium transfer pricing
2014/6/24
Valuing a firm using the discounted cash flow method (DCF) requires the joint determination of the market value of its equity (MVE) together with the equity risk premium (ERP) the firm should earn, si...
Prizes and patents: Using market signals to provide incentives for innovations
Mechanism design Patents Prizes Economic growth
2014/3/18
We consider environments in which agents other than innovator receive the signals about the quality of innovation. We study whether mechanisms can be found which exploit market information to provide ...
The Role of Fair Value Accounting for Investment in Securities: Evidences from the Chinese Stock Exchanged Market
Fair Value Accounting Investment Securities Role Relevance
2013/2/23
The purpose of this study is to examine the relevance of fair value accounting measurement for investment in securities. We use three measurements for fair value: net asset based on fair value per sha...
Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
Liquidity Risk Random Holding Period Systemic Risk
2010/10/21
Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a `liquidity-adjusted risk measure' characterized by t...
Statistical Properties of Cross-Correlation in the Korean Stock Market
correlation matrix random matrix theory markowitz portfolio theory
2010/10/22
We investigate the statistical properties of the correlation matrix between individual stocks traded in the Korean stock market using the random matrix theory (RMT) and observe how these affect the po...
Deregulated Electricity Market and Auctions: The Italian Case
Electricity Market Auctions Oligopoly Deregulation
2013/2/23
The Electricity Market (in Europe) undergoes a period of transformations never seen before. The competitive model suggested by the European Commission is based on a gradual increase in the classes of ...
The price impact of order book events: market orders, limit orders and cancellations
price impact market orders limit orders cancellations market microstructure order flow
2010/10/29
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce...
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics is offering models of markets as complex systems, such as the gas-like model, ab...
In the LIBOR market model, forward interest rates are log-normal under their respective forward measures. This note shows that their distributions under the other forward measures of the tenor structu...
Volatilities That Change with Time: The Temporal Behavior of the Distribution of Stock-Market Prices
spectral analysis noise reduction Rademacher distribution
2010/10/21
While the use of volatilities is pervasive throughout finance, our ability to determine the instantaneous volatility of stocks is nascent. Here, we present a method for measuring the temporal behavior...