This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are...

This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are...

This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are...

We study the term structure implications of the fiscal theory of price level determination. We introduce the intertemporal budget constraint of the government in a general equilibrium model in continuous time. Fiscal policy is set according to a simple rule whereby taxes react proportionally to...

Canzoneri and Diba (2004) show that the Taylor principle is not a panacea for equilibrium determinacy in a model where bonds and money provide liquidity services to households. We consider a cashless New Keynesian model with two types of government bonds. One bond provides transaction services,...

Using an ordinal approach to utility, in the spirit of Hicks (1962, 1967a), it is possible to greatly simplify the equilibrium theory of asset prices. The basic assumption is to summarize any probability distribution into its moments so that preferences over distributions can be mapped into...

We estimate the risk-adjusted performance of Italian equity funds, using both net and gross returns (i.e. net returns plus management fees), employing single factor and multi-factor benchmarks. With net returns the funds' performance is not significantly different from zero. With gross returns,...

We estimate the risk-adjusted performance of Italian equity funds, using both net and gross returns (i.e. net returns plus management fees), employing single factor and multi-factor benchmarks. With net returns the funds' performance is not significantly different from zero. With gross returns,...

Participation in supplementary pension funds allows workers to exploit tax benefits and payroll employees to take advantage of employer contributions. The simulations reported in the paper show that these two components can considerably increase workers' retirement wealth. Data show that returns...

This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are...