While the determinants of firms’ optimal hedging strategies on the micro level are well understood, there is rarely any literature dealing with macroeconomic consequences of microeconomic risk management. This book is concerned with the impact of diverse hedging policies on macroeconomic...

This volume considers trading strategies in illiquid markets from three perspectives. The first chapter presents an innovative approach to investigate the interactions between the trading activities of a large investor, the stock price, and liquidity. The framework generalizes existing models by...

This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of...

Gang der Untersuchung und methodologische Abgrenzung -- Effizienz von Devisenmarktinterventionen im makroökonomischen Kontext -- Mikrostrukturelle Erklärung der Preisbildung am Devisenmarkt -- Analyse von Devisenmarktinterventionen in Mikrostrukturmodellen -- Fazit und Ausblick.

This book focuses on modelling financial information flows and information-based asset pricing framework. After introducing the fundamental properties of the framework, it presents a short information-theoretic perspective with a view to quantifying the information content of financial signals,...