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A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices

Consiglio, Andrea; Lacagnina, Valerio; Russino, Annalisa - In: Quantitative Finance 5 (2005) 1, pp. 71-87

In this paper we propose an artificial market where multiple risky assets are exchanged. Agents are constrained by the availability of resources and trade to adjust their portfolio according to an exogenously given target portfolio. We model the trading mechanism as a continuous auction...

Persistent link: https://www.econbiz.de/10009208276

How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders

Consiglio, Andrea; Russino, Annalisa - In: Journal of Economic Dynamics and Control 31 (2007) 6, pp. 1910-1937

Persistent link: https://www.econbiz.de/10005199964

Unconventional monetary policy and debt sustainability in Japan

Alberola, Enrique; Cheng, Gong; Consiglio, Andrea; … - In: Journal of the Japanese and international economies : … 69 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014374814

Designing and pricing guarantee options in defined contribution pension plans

Consiglio, Andrea; Tumminello, Michele; Zenios, Stauros … - In: Insurance / Mathematics & economics 65 (2015), pp. 267-279

Persistent link: https://www.econbiz.de/10011428673

Pricing sovereign contingent convertible debt

Consiglio, Andrea; Tumminello, Michele; Zenios, Stauros … - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-36

Persistent link: https://www.econbiz.de/10011970916

Pricing and hedging GDP-linked bonds in incomplete markets

Consiglio, Andrea; Zenios, Stauros Andrea - In: Journal of economic dynamics & control 88 (2018), pp. 137-155

Persistent link: https://www.econbiz.de/10011973933

Contingent convertible bonds for sovereign debt risk management

Consiglio, Andrea; Zenios, Stauros Andrea - In: Journal of globalization and development 9 (2018) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10012003110

Portfolio diversification in the sovereign credit swap markets

Consiglio, Andrea; Lotfi, Somayyeh; Zenios, Stauros Andrea - In: Analytical models for financial modeling and risk management, (pp. 5-33). 2018

Persistent link: https://www.econbiz.de/10011897156

Risk management optimization for sovereign debt restructuring

Consiglio, Andrea; Zenios, Stauros Andrea - In: Journal of globalization and development 6 (2015) 2, pp. 181-213

Persistent link: https://www.econbiz.de/10011473912

Risk management for sustainable sovereign debt financing

Zenios, Stauros Andrea; Consiglio, Andrea; … - In: Operations research 69 (2021) 3, pp. 755-773

Persistent link: https://www.econbiz.de/10012546866