In this paper we do a statistical analysis of the Mexican Consumer Price Index microdata set to characterize the rigidities of the price setting process in the different sectors of the Mexican economy. The microdata set goes from July 2002 to December 2009. Broadly, results show that there...

In this paper, we conducted a detailed statistical analysis of the behavior of the Mexican CPI price variations from May 2003 to August 2006. Different methodologies allowed identification of possible classification problems of the subindexes and inflationary pressures on specific items during...

This paper studies the dynamics of Mexican inflation by using a wavelet multiresolution analysis on 16 indexes of the Mexican Consumer Price Index. This enables us to estimate the long-term trend, seasonality, and local shocks of the inflation series, even when the series are non-stationary. The...

Given the debate on transparency in non-equity markets associated with the Markets in Financial Instruments Directive (MiFID II), a sound understanding of how these markets operate today is needed to identify potential market failures and to assess the impact of proposed regulatory...

Allegations have been made that High Frequency Traders (HFTs) prey on other market participants and only intermediate trades that would have taken place without their involvement. There are claims that HFTs can predict when orders are going to arrive at different trading venues and trade in...