Fabra and Imelda (2023) study how the method of payment for renewable energy can reduce the ability of energy producers to exert market power in electricity markets. Their theoretical model provides predictions for dominant and fringe firm behavior under incentives using fixed prices or market...

This paper develops a dynamic model of tender offers in which there is trading on the target's shares during the takeover, and bidders can freeze out target shareholders (compulsorily acquire remaining shares not tendered at the bid price), features that prevail on almost all takeovers. We show...

We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which is based on a system of integral equations that relates terminal density and option prices. Using a discretization of the terminal density, we write these integral equations as...

This paper analyses the integration of global natural gas markets across North America, Europe, and Asia from 2016 to 2022. The analysis focuses on the impact of the United States emerging as a major liquefied natural gas (LNG) exporter and significant supply disruptions, including the sharp...

Fabra and Imelda (2023) study how the method of payment for renewable energy can reduce the ability of energy producers to exert market power in electricity markets. Their theoretical model provides predictions for dominant and fringe firm behavior under incentives using fixed prices or market...

In the past years, there has been an extensive investigation of the class of stochastic volatility models for the evaluation of options and complex derivatives. These models have proven to be extremely useful in generalizing the classic Black-Scholes economy and accounting for discrepancies...

In the past years, there has been an extensive investigation of the class of stochastic volatility models for the evaluation of options and complex derivatives. These models have proven to be extremely useful in generalizing the classic Black-Scholes economy and accounting for discrepancies...

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the deviation. A demand shock leads to greater liquidity,...

We examine the impact of increasing competition among the fastest traders by analyzing a new low-latency microwave network connecting exchanges trading the same stocks. Using a difference-in-differences approach comparing German stocks with similar French stocks, we find improved market...

This study uses a unique dataset of transactions at the account level to construct investor networks. These networks are then analyzed to examine the role of the network centralization index in identifying the stock momentum stages. The empirical results demonstrate that the early stage strategy...

Exchange-traded funds (ETFs) are typically considered to be passive investment vehicles designed to track a benchmark index. However, with the promulgation of the Securities and Exchange Commission's 2019 ETF Rule, funds are permitted the use of custom creation/redemption baskets. This change...

We examine two major topics in the field of cryptocurrencies. On the one hand, we investigate possible long-run equilibrium relationships among ten major cryptocurrencies by applying two different cointegration tests. This analysis aims at constructing cointegrated portfolios that enable...

Can consumption-based mechanisms generate positive and time-varying real term premia as we see in the data? I show that only models with time-varying risk aversion or models with high consumption risk can independently produce these patterns. The latter explanation has not been analysed before...

In this study, we investigate what drives the MAX effect in the South Korean stock market. We find that the MAX effect is significant only for overpriced stocks categorized by the composite mispricing index. Our results suggest that investors' demand for the lottery and the arbitrage risk effect...

We examine the impact of increasing competition among the fastest traders by analyzing a new low-latency microwave network connecting exchanges trading the same stocks. Using a difference-in-differences approach comparing German stocks with similar French stocks, we find improved market...