In this paper, we examine the impact of market activity on the percentage bid-ask spreads of S&P 100 index options using transaction data. We propose a new market microstructure theory called a derivative hedge theory, in which option market percentage spreads will be inversely related to the...

This paper is set to investigate the existence of spillover effects for the trading process of correlated financial instruments. While the main literature in price impact models has focused mainly on multivariate processes for a unique asset, we argue that transitory spillover effects in such...

The monetary character of trade, the existence of a common medium of exchange, is derived as an outcome of the economic general equilibrium in a class of examples. Two constructs are added to an Arrow-Debreu general equilibrium model: market segmentation with multiple budget constraints (one at...

General equilibrium is investigated with N commodities traded at N(N-1)/2 commodity-pairwise trading posts. Trade is a resource-using activity recovering transactions costs through the spread between bid (wholesale) and ask (retail)prices (quoted as commodity rates of exchange). Budget...

This paper develops a macroeconomic model in which investable assets flow to entrepreneurs through long-term relationships with lenders. Low asset flows cause relationships to brak up due to insufficient liquidity. Multiple Pareto ranked steady staes emerge from complementarity between financial...