This paper studies a financial market populated by adaptive traders. Learning is modeled following <link rid="b13">Camerer and Ho (1999)</link>. A call market and a Walrasian tatonnement are compared in an environment in which both institutions have the same Nash and competitive equilibrium outcomes. When traders...

Sovereign bonds are usually priced under the assumption that only the sovereign issuer may be responsible of their repayment. In some cases however, bondholders may legitimately expect to be repaid by more than one agent. For example, when a country breaks-up, successor states may agree to...

This article explores the dynamics of the dependence between 'A' and 'B' share indices on the Shanghai and Shenzhen securities exchanges. While the marginal behaviour of each stock index is modelled by an asymmetric Student-t distribution, the nature of the dependence is captured through a...

Assuming that the variance of daily price changes and trading volume are both driven by the same latent variable measuring the number of price-relevant information arriving on the market, the mixture of distribution hypothesis represents an intuitive and appealing explanation for the empirically...

Outliers can lead to model misspecifications, poor forecasts and invalid inferences. Their identification and correction is therefore an important objective of financial modeling. This paper introduces a simple method to detect outliers in a financial series. It uses an AR(1)-GARCH(1,1) model to...

Sovereign debts differ from other financial instruments because repayment ultimately depends on the issuers' willingness to pay. In turn, willingness to pay may be influenced by political, diplomatic or economic considerations. Based on an original database of Romanian bonds traded in Paris,...