We offer a statistical model of the order flow and estimate it using high frequency data from the Paris Bourse. Our model jointly explains the duration between two consecutive orders and the relative aggressiveness of the orders, depending upon the past ordes and the state of the book. Our...

The competition between Island and Nasdaq at the beginning of the century offers a natural laboratory to study competition between and within trading platforms and its consequences for liquidity supply. Our empirical strategy takes advantage of the difference between the pricing grids used on...

A general equilibrium model is defined from the works of Lucas [1978] and Campbell [1986]. Within the framework of this model, we establish various explicit formulas for bond pricing: zero-coupon options, interest rate options, coupon bond options, floating rate coupon bonds. The formulas so...

We study the problem of a risk-neutral decision-maker who has to choose among two alternative investment projects of different scales under output price uncertainty. We provide parameter restrictions under which the optimal investment strategy is not a trigger strategy and the optimal investment...