This paper investigates the effect of hedging strategies on the so-called pinning effect, i.e. the tendency of stock's prices to close near the strike price of heavily traded options as the expiration date nears. In the paper we extend the analysis of Avellaneda and Lipkin, who propose an...

We introduce an order-driven market model with heterogeneous agents trading via a central order matching mechanism. Traders set bids and asks and post market or limit orders according to exogenously fixed rules. We investigate how different trading strategies may affect the dynamics of price,...

An interbank market lets participants pool the risk arising from the combination of illiquid investments and random withdrawals by depositors. But it also creates the potential for one bank's failure to trigger off avalanches of further failures. We simulate a model of interbank lending to study...

We introduce an order driver market model with heterogeneous traders that imitate each other on a dynamic network structure. The communication structure evolves endogenously via a fitness mechanism based on agents performance. We assess under which assumptions imitation, among noise traders, can...

On a high-frequency scale the time series are not homogeneous, therefore standard correlation measures cannot be directly applied to the raw data. There are two ways to deal with this problem. The time series can be homogenised through an interpolation method (An Introduction to High-Frequency...

We investigate by Monte Carlo simulation the thermodynamic behavior of a linear heteropolymer in which the interaction between different monomers contains a quenched random component. We show the existence, along with the usual coil and globule ones, of a new phase, the folded phase,...