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Duration is an important parameter used by investors to choose between different investment opportunities in financial economics. While the concept of duration is usually associated with fixed-income assets, its expansion to the equity assets is becoming more relevant in the recent period, due...
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We investigate the effects of different regulatory policies directed towards high-frequency trading (HFT) through an agent-based model of a limit order book able to generate flash crashes as the result of the interactions between low- and high-frequency (HF) traders. We analyze the impact of the...
Persistent link: https://www.econbiz.de/10011457384
This paper examines how speculation in financial markets can affect real investments and asset prices with asymmetric … risk and trade them in financial markets. Speculation in financial markets, even on extraneous risk uncorrelated with … productivity, can significantly affect real investments and asset prices. Speculation can either decrease or increase real …
Persistent link: https://www.econbiz.de/10012848973
This paper analyzes the relationship between the proportion of institutional investors' shareholding and the probability of stock manipulation using 252 cases of manipulation disclosed in public administrative penalty decision of the China Securities Regulatory Commission (CSRC) from 2007 to...
Persistent link: https://www.econbiz.de/10012832516
This paper examines how speculation in financial markets can affect real investments and asset prices with asymmetric … risk and trade them in financial markets. Speculation in financial markets, even on extraneous risk uncorrelated with … productivity, can significantly affect real investments and asset prices. Speculation can either decrease or increase real …
Persistent link: https://www.econbiz.de/10012856719
Do all types of information benefit the efficiency of prices in the sense that they drive them closer to fundamentals compared to the situation where information does not exist? Looking at the competitive noisy rational expectations framework, the clear answer of the literature is: yes. It...
Persistent link: https://www.econbiz.de/10012392314
This paper proposes an heterogenous asset pricing model in which different classes of investors coexist and evolve, switching among strategies over time according to a fitness measure. In the presence of boundedly rational agents, with biased forecasts and trend following rules, rational or...
Persistent link: https://www.econbiz.de/10014350871
, thereby can help curb the market volatility. However, a motive for speculation, featured by a speculative premium, arises due …
Persistent link: https://www.econbiz.de/10012912715
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