Showing 1 - 10 of 366
The paper seeks to lay out a stock-flow-based theoretical framework that provides a foundation for a general theory of pricing. Contemporary marginalist economics is usually based on the assumption that prices are set in line with the value placed on goods by consumers. It does not take into...
Persistent link: https://www.econbiz.de/10010211946
We analyze the evolution of the price of paintings in London auctions with a unique dataset of over 200,000 sales in the period 1780-1840. We build a price index for the representative painting through hedonic regressions controlling for the characteristics of auctions and paintings and for the...
Persistent link: https://www.econbiz.de/10011789737
Do high frequency traders affect transaction prices? In this paper we derive distributions of transaction prices in limit order markets populated by low frequency traders (humans) before and after the entrance of a high frequency trader (machine). We find that the presence of a machine is likely...
Persistent link: https://www.econbiz.de/10012906114
The consideration of an averaging interval Δ of market trade time-series change the basic consumption-based asset pricing equation. The duration of Δ determines Taylor series of investor’s utility over current and future values of consumption. We present consumption at current and future...
Persistent link: https://www.econbiz.de/10013226490
We show that the quotient of Levy processes of jump-diffusion type has a fat-taileddistribution. An application is to price theory in economics, with the result that fat tails ariseendogenously from modeling of price change based on an excess demand analysis resulting in aquotient of arbitrarily...
Persistent link: https://www.econbiz.de/10013242548
Financial economic models often assume that investors know (or agree on) the fundamental value of the shares of the firm, easing the passage from the individual to the collective dimension of the financial system generated by the Share Exchange over time. Our model relaxes that heroic assumption...
Persistent link: https://www.econbiz.de/10013114734
Do high frequency traders affect transaction prices? In this paper we derive distributions of transaction prices in limit order markets populated by low frequency traders (humans) before and after the entrance of a high frequency trader (machine). We find that the presence of a machine is likely...
Persistent link: https://www.econbiz.de/10013146959
We analyze the evolution of the price of paintings in London auctions with a unique dataset of over 200,000 sales in the period 1780-1840. We build a price index for the representative painting through hedonic regressions controlling for the characteristics of auctions and paintings and for the...
Persistent link: https://www.econbiz.de/10011540862
The LP formula is based upon the substitution of the exogenous risk aversion hypothesis by a credit equilibrium hypothesis. This leads to a trade-off between expected blue-sky return – the expected return excluding default scenarios – and extreme risk estimated from scenarios leading to...
Persistent link: https://www.econbiz.de/10013045157
The measurement problems encountered while trying to exhibit the influence of market risk factor on asset returns may be numerous. It seems then difficult to highlight the unique common latent factor underlying stock return evolutions in the market. So far, excess return relationships are mainly...
Persistent link: https://www.econbiz.de/10014058282