We design an experiment to study the effects of dark trading on incentives to acquire costly information, price efficiency, market liquidity, and investors' earnings in a financial market. When the information precision is high, adding a dark pool alongside a lit exchange encourages information...

Thesis (PhD)--University of South Australia, 2009

Dynamic correlation models demonstrate that the relationship between interest rates and housing prices is non-constant. Estimates reveal statistically significant time fluctuations in correlations between housing price indexes and Treasury bonds, the S&P 500 Index, and stock prices of...

In this paper, we argue that systemic risk should be understood from two different perspectives, the homogeneity of portfolios (or called asset homogeneity) and the contagion mechanism. The homogenization of portfolios held by different financial institutions increases the positive correlations...

To get optimal production and hedging decision with normal random variables, Lien (2008) compares the exponential utility function with its second order approximation. In this paper, we first extend the theory further by comparing the exponential utility function with a n-order approximation for...