This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...

This chapter surveys research on agent-based models used in finance. It will concentrate on models where the use of computational tools is critical for the process of crafting models which give insights into the importance and dynamics of investor heterogeneity in many financial settings.

I propose a new measure of price discovery, which I will refer to as the Independent Component based Information Share (IC-IS). This measure constitutes a variant of the widespread Information Share, with the main difference being it does not suffer the same identification issues. Under the...

This working paper was written by Kalok Chan (Chinese University of Hong Kong Business School), F.Y. Eric Lam (Independent Researcher)*, Giorgio Valente (Hong Kong Institute for Monetary and Financial Research) and Siyuan Wu (Chinese University of Hong Kong Business School).Trading venues have...