Search results for "Financial economics"
showing 10 items of 277 documents
Contingent claim valuation in a market with different interest rates
1995
The problem of contingent claim valuation in a market with a higher interest rate for borrowing than for lending is discussed. We give results which cover especially the European call and put options. The method used is based on transforming the problem to suitable auxiliary markets with only one interest rate for borrowing and lending and is adapted from a paper of Cvitanic and Karatzas (1992) where the authors study constrained portfolio problems.
Forecasting Latin America’s Country Risk Scores by Means of a Dynamic Diffusion Model
2013
Over the last years, worldwide financial market instability has shaken confidence in global economies. Global financial crisis and changes in sovereign debts ratings have affected the Latin American financial markets and their economies. However, Latin American s relative resilience to the more acute rise in risk seen in other regions like Europe during last years is offering investors new options for improving risk-return trade-offs. Therefore, forecasting the future of economic situation involves high levels of uncertainty. The Country Risk Score (CRS) represents a broadly used indicator to measure the current situation of a country regarding measures of economic, political, and financial…
Predicting the Short-Term Exchange Rate Between United State Dollar and Czech Koruna Using Hilbert-Huang Transform and Fuzzy Logic
2017
In this paper, the combination of the Hilbert-Huang Transform, fuzzy logic and an embedding theorem is described to predict the short-term exchange rate from United States dollar to Czech Koruna. By Using the Hilbert-Huang Transform as an adaptive filter, the proposed method decreases the embedding dimension space from five (original samples) to four (de-noising samples). This dimension space provides the number of inputs to the fuzzy rule base system, which causes the number of rules, the time for training and the inference process to decrease. Experimental results indicated that this method achieves higher accuracy prediction than the direct use of original data.
La agricultura a tiempo parcial y la externalización de servicios agrarios como vehículo del cambio estructural
2010
El «ajuste clásico» ha sido interpretado frecuentemente como la senda racional y óptima de modernización del sector agrario. Esto ha llevado a considerar a la agricultura a tiempo parcial como un subproducto (ineficiente) del modelo clásico. Frente a este planteamiento, el artículo defiende la potencial contribución de la agricultura a tiempo parcial (y la externalización de servicios asociada a la misma) al proceso de innovación y de modernización de las estructuras agrarias. Se revisa críticamente la literatura adoptando una perspectiva microeconómica y territorial y esbozando un marco analítico que combina los enfoques de los costes de transacción y evolucionista. Utilizando información …
Insider Trading and Market Behaviour Around Takeover Announcements in the Spanish Market
2002
As microstructure models assume informational asymmetries among investors, the possibility of insider trading is a sound reason for liquidity suppliers to increase the bid-ask spread. In this way, the tested effect that takeover announcements have on target firm returns becomes a strong motive for trading with insider information. In this paper we firstly investigate whether liquidity suppliers value the possibility of trading with informed agents in this sort of event. We analyse the adverse selection cost from bid-ask spread behaviour around takeover announcements. We find that liquidity suppliers enlarge adverse selection cost suggesting that they value the possibility of facing to insid…
Where Has All the Trading Gone? A Network Approach to European Stock Exchanges and Alternative Trading Venue
2011
This paper investigates the network features of European trading venues by analyzing the behavior of simultaneously quoted stock. Equity trading venues include both regulated Stock Exchanges (SEs) and Alternative Trading Venues (ATVs) and these represent the nodes of our network. The connections among these nodes are determined by choices of investors to exploit various venues in which a stock may be traded. Using trading volume data of nearly 22,000 equities we use social network analysis to measure prestige and connectivity between the various trading venues between 2005 and 2009. We find that the evolution of ATVs (including multi-lateral trading venues BATS, Chi-X and Turquoise, as well…
Pricing of electricity futures based on locational price differences : The case of Finland
2018
We find that the pricing of Finnish electricity market futures has been inefficient during the latest 10 years, when the trading volumes of Electricity Price Area Differentials (EPADs) have more than doubled. Even though the calculated futures premium on EPADs is related to some risk measures and the variables capturing the demand and supply conditions in the spot electricity markets, there has been a significant positive excess futures premium in the Finnish market, and financial market participants should have been able to utilize this also in economic terms. This finding is new and relevant for the participants of the Nordic electricity markets also in the future, because both the specul…
EUA and sCER Phase II Price Drivers: Unveiling the reasons for the existence of the EUA-sCER spread
2011
International audience; This article studies the price relationships between EU emissions allowances (EUAs) - valid under the EU Emissions Trading Scheme (EU ETS) - and secondary Certified Emissions Reductions (sCERs)--established from primary CERs generated through the Kyoto Protocol's Clean Development Mechanism (CDM). Given the price differences between EUAs and sCERs, financial and industrial operators may benefit from arbitrage strategies by buying sCERs and selling EUAs (i.e. selling the EUA-sCER spread) to cover their compliance position as industrial operators are allowed to use sCERs towards compliance with their emissions cap within the European system up to 13.4%. Our central res…
Major International Information Flows Across the Safex Wheat Market
2016
We study information flows across four wheat futures markets on four continents: Zhengzhou Commodity Exchange (ZCE), South African Futures Exchange (SAFEX), Euronext/Liffe and Kansas City Board of Trade (KCBT). Three approaches for studying information flows among non-synchronous markets are applied: cointegration techniques, vector autoregressive analysis and multiple regression proposed. Although comparable underlying assets are traded in the four markets, our results indicate that no long-run links exist among them. ZCE is by far the most endogenous market, and Euronext/Liffe is the most exogenous one. Finally, the model points to KCBT as the most influential and sensitive wheat market. …
Predictable Dynamics in the Small Stock Premium
2014
We start this paper by providing a detailed study of how the mean monthly return on the Small-Minus-Big (SMB) Fama-French factor is affected by the January effect and the stock market return during the preceding month and preceding calendar year. We then proceed to building a predictive model for the monthly SMB factor return that incorporates the January effect and the dependence on both the market return during the preceding month and preceding calendar year. Our findings suggest that a positive small stock premium appears mainly during the years following the years with a negative return on the market as the result of a delayed and stronger reaction of small stocks to good news and a str…