Auctions of government bonds are the main allotment method used by the Treasury of advanced economies. Previous research has found that auctions have an influence on the market yield days before they take place, and underpricing is usually spotted when their outcome is compared with...

Auctions of government bonds are the main allotment method used by the Treasury of advanced economies. Previous research has found that auctions have an influence on the market yield days before they take place, and underpricing is usually spotted when their outcome is compared with...

This paper advocates a regime-switching model to capture the risk of structural changes in the economy, when determining the optimal bid-ask spread in limit order books. In our model, the market-maker faces an inventory risk due to the diffusive nature of the stocks¡¯ mid-price and a...

В статье рассматривается методика оценки оптимальных параметров дилинговой службы банка с ограниченной базой контрагентов. Методика основана на...