This paper proposes intraday High Frequency Risk (HFR) measures for market risk in the case of irregularly spaced high-frequency data. In this context, we distinguish three concepts of value-at-risk (VaR): the total VaR, the marginal (or per-time-unit) VaR, and the instantaneous VaR. Since the...

We study an optimal high frequency trading problem within a market microstructure model aiming at a good compromise between accuracy and tractability. The stock price is modeled by a Markov Renewal Process (MRP), while market orders arrive in the limit order book via a point process correlated...

We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the corresponding volume of orders. The model is motivated by the fact...

This paper investigates the problem of hedging European call options using Leland's strategy in stochastic volatility markets with transaction costs. Introducing a new form for the enlarged volatility in Leland's algorithm, we establish a limit theorem and determine a convergence rate for the...

Oil nationalism cycle reflects the difficulties encountered by oil states, international oil companies (IOCs) and national oil companies (NOCs) in establishing order over and above the conflicts in upstream oil transaction. By drawing on transaction cost theory, this article identifies the...

To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and queue sizes in each limit order book, as well as the...

This article extends the previous literature on the Tobin tax and financial transaction tax. We investigate the linkages between trading volumes and transaction costs using both a linear and a nonlinear methodology. In stark contrast with previous studies, we consider the possibility that our...

This paper investigates the problem of hedging European call options using Leland's strategy in stochastic volatility markets with transaction costs. Introducing a new form for the enlarged volatility in Leland's algorithm, we establish a limit theorem and determine a convergence rate for the...

Douglass North, along with Ronald Coase and Oliver Williamson, transformed the early intuitions of new institutional economics into powerful conceptual and analytical tools that spawned a robust base of empirical research. NIE arose in response to questions not well explained by standard...

The central message conveyed in this chapter is that there is a whole class of economic organizations that contribute substantially to what Coase (1992) called "the institutional structure of production". These arrangements fall neither under pure market relationships nor within 'firm...