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The aim of this article is to use probabilistic ideas to study predictive reasoning based on hypotheses and models, but without using Ito calculus, without writing any stochastic differential equations, in fact without writing any formulas at all. The aim is to extract from the study of...
Persistent link: https://www.econbiz.de/10010899270
In this paper, the development of price volatility on German agricultural markets is analyzed. The goal is to quantify … the degree of price volatility for selected German agricultural markets and determine how it evolutes over time. Where …, questions are: Was there an increase in price volatility? Did it came from the world markets? What is the impact of price …
Persistent link: https://www.econbiz.de/10009003989
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Expenditure Surveys of Statistics Canada. Simple OLS regressions show that the determinants of Canadian diversity demand are … bestätigen, dass die Nachfrage nach Lebensmittelvielfalt in Kanada von ähnlichen Determinanten bestimmt ist wie in anderen …
Persistent link: https://www.econbiz.de/10009326504
Seit dem Einbruch der Aktienmärkte Anfang 2000 hat die Fed durch massive Liquiditätszufuhr versucht, die amerikanische Wirtschaft zu stabilisieren. Ein wesentliches Motiv war die Befürchtung, die amerikanische Wirtschaft könne in eine Liquiditätsfalle geraten. Motiviert von der...
Persistent link: https://www.econbiz.de/10005047003
This paper studies the All Ordinaries Index in Australia, and its futures contract known as the Share Price Index. We use a new form of smooth transition model to account for a variety of nonlinearities caused by transaction costs and other market/data imperfections, and given the recent...
Persistent link: https://www.econbiz.de/10005427633
Presents a case study on the Arizona Stock Exchange, with an emphasis on how exchange automation altered the definition of the market.
Persistent link: https://www.econbiz.de/10004977838
Looking back, 30 years of research on foreign exchange (FX) market microstructure reveals that order flow, heterogeneity among agents, and private information are crucial determinants of short-run exchange rate dynamics. Microstructure researchers have produced empirically-driven models that fit...
Persistent link: https://www.econbiz.de/10010896681
This paper shows that high frequency trading may play a dysfunctional role in financial markets. Contrary to arbitrageurs who make financial markets more efficient by taking advantage of and thereby eliminating mispricings, high frequency traders can create a mispricing that they unknowingly...
Persistent link: https://www.econbiz.de/10010883215