This paper identifies the classes of agents at play in the European Carbon Futures Market and analyses their trading behaviour during the market's early development period. A number of hypotheses related to microstructure are tested using enhanced three-regime specifications of smooth transition...

This paper investigates the micro and macro effects of income tax on large scale portfolio optimization. Stochastic integer programming is used to optimize post-tax large-scale portfolios when the global market is segmented by regional tax rules. A broad range of realistic trading rules and...