Showing 1 - 10 of 86
Persistent link: https://www.econbiz.de/10003133305
Persistent link: https://www.econbiz.de/10003807585
Persistent link: https://www.econbiz.de/10001741949
Persistent link: https://www.econbiz.de/10001728732
Persistent link: https://www.econbiz.de/10010190523
Persistent link: https://www.econbiz.de/10003916193
Persistent link: https://www.econbiz.de/10003149524
We study the effect of investor inertia on stock price fluctuations with a market microstructure model comprising many small investors who are inactive most of the time. It turns out that semi-Markov processes are tailor made for modelling inert investors. With a suitable scaling, we show that...
Persistent link: https://www.econbiz.de/10005083651
We study continuous time Bertrand oligopolies in which a small number of firms producing similar goods compete with one another by setting prices. We first analyze a static version of this game in order to better understand the strategies played in the dynamic setting. Within the static game, we...
Persistent link: https://www.econbiz.de/10008542992
The left tail of the implied volatility skew, coming from quotes on out-of-the-money put options, can be thought to reflect the market's assessment of the risk of a huge drop in stock prices. We analyze how this market information can be integrated into the theoretical framework of convex...
Persistent link: https://www.econbiz.de/10009216782