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Misspecification versus bubbles in the stock market : the case for time-varying discount rates

Chen, Lii-tarn - In: Jingji-lunwen 25 (1997) 4, pp. 427-461

Persistent link: https://www.econbiz.de/10001243777

Testing for short termism in the UK stock market

Miles, David - In: The economic journal : the journal of the Royal … 103 (1993) 421, pp. 1379-1396

Persistent link: https://www.econbiz.de/10001153272

Time and the process of security price adjustment

Easley, David - In: The journal of finance : the journal of the American … 47 (1992) 2, pp. 577-605

Persistent link: https://www.econbiz.de/10001128128

Finite horizons, infinite horizons, and stock prices

Evans, Paul D. - In: Rivista di politica economica 80 (1991) 7, pp. 169-191

Persistent link: https://www.econbiz.de/10001108314

Modeling Market Impact and Timing Risk in Volume Time

Mazur, Slava - 2013

Intraday volatility and market impact models in volume time are proposed. We build an intraday volatility profile to capture non-stationarity of intraday price returns and utilize a fractional Brownian motion process to measure deviations from square root scaling rule of volatility.We propose a...

Persistent link: https://www.econbiz.de/10013076344

Regularity of market impact models : time-dependent impact, dark pools and multivariate transient impact

Klöck, Florian - 2013

Persistent link: https://www.econbiz.de/10009786663

The waiting-time distribution of trading activity in a double auction artificial financial market

Cincotti, Silvano; Focardi, Sergio M.; Ponta, Linda; … - In: The complex networks of economic interactions : essays …, (pp. 239-247). 2005

Persistent link: https://www.econbiz.de/10003261456

IPO trading with short-term & intraday temporal functionalities

Basedekidou, Vasiliki A. - In: Inventi impact: international trade (2017) 2, pp. 60-65

Persistent link: https://www.econbiz.de/10011753598

Zeitfenster für Kapitalerhöhungen : eine modelltheoretische Analyse

Pinkernelle, Sönke - 2006 - 1. Aufl.

Persistent link: https://www.econbiz.de/10013432914

Asset Pricing : -Discrete Time Approach-

Kariya, Takeaki; Liu, Regina Y. - 2003

The theory of asset pricing has grown markedly more sophisticated in the last two decades, with the application of … powerful mathematical tools such as probability theory, stochastic processes and numerical analysis. The main goal of Asset …-arbitrage theory for asset pricing in financial engineering in the framework of a discrete time approach. Useful as a textbook on …

Persistent link: https://www.econbiz.de/10013521630