In this paper, the authors explore a dynamical version of the Aoki and Yoshikawa model (AYM) for an economy driven by demand. They show that when an appropriate Markovian dynamics is taken into account, the AYM has different equilibrium distributions depending on the form of transition...

Short term climate events such as the sea surface temperature anomaly known as El Niño are financial risk sources leading to incomplete markets. To make such risk tradable, we use a market model in which a climate index provides an extra investment option. Given one possible market price of...

The authors model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, they show that a simple bivariate Hawkes process fits nicely their empirical observations of tradesthrough. The authors...