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On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree
ultrametricity minimum spanning tree liquidity Jakarta Stock Exchange
2015/7/31
We analyze the evolving price °uctuations by using ultrametric distance of minimally spanning ˉnancial tree of stocks traded in Jakarta Stock Exchange 2000-2004. Ultrametricity is derived from transfo...
Momentum traders in the housing market: survey evidence and a search model
search model survey evidence
2015/7/23
This paper studies household beliefs during the recent US housing boom. The first part
presents evidence from the Michigan Survey of Consumers. To characterize the heterogeneity
in households’...
This paper uses an assignment model to understand the cross section of house prices within
a metro area. Moversí demand for housing is derived from a lifecycle problem with credit
market frictions. ...
OPTIMAL MANDATES AND THE WELFARE COST OF ASYMMETRIC INFORMATION: EVIDENCE FROM THE U.K. ANNUITY MARKET
Annuities contract choice adverse selection
2015/7/17
Much of the extensive empirical literature on insurance markets has focused on
whether adverse selection can be detected. Once detected, however, there has been
little attempt to quantify its welfar...
An Evaluation of Money Market Fund Reform Proposals
Risk Management Balance and Stability Investment Funds
2015/4/27
U.S. money market mutual funds (MMFs) are an important source of dollar funding for global financial institutions, particularly those headquartered outside the U.S. MMFs proved to be a source of consi...
Market Competition,Government Efficiency,and Profitability Around the World
Profit Competition Government and Politics Labor Markets
2015/4/24
We examine how cross-country differences in product, capital, and labor market competition, and government efficiency affect the rate of mean reversion of corporate profitability. Using a sample of 42...
Does Individual Performance Affect Entrepreneurial Mobility?Empirical Evidence from the Financial Analysis Market
Entrepreneurship Investment Banking Retention Human Capital Performance Effectiveness Banking Industry
2015/4/20
Our paper contributes to the studies on the relationship between workers' human capital and their decision to become self-employed as well as their probability to survive as entrepreneurs. Analysis fr...
This paper provides a critical evaluation of a widely made argument that
stock prices in markets with lower return R2
are more e￠ cient. We show that in
a standard rational expectations model, retu...
Price Discrimination in the Housing Market。
Fractal Profit Landscape of the Stock Market
Fractal Profit Landscape Stock Market Statistical Finance
2012/6/2
We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two...
A MARKET-BASED REGULATORY POLICY TO AVOID FINANCIAL CRISES
economic regulatory policies financial institutions long-term debt levels
2011/8/21
The article discusses the use of economic regulatory policies based on markets to avoid financial crises such as the global financial crisis of 2008 and 2009. Topics include the too-big-to-fail policy...
The recent downdraft in world equity markets has caused financial services firms and the government bodies that regulate them to take unprecedented actions to keep markets functioning and firms solven...
Revenue diversification in emerging market banks: implications for financial performance
Diversification revenue non-interest income bank performance emerging markets
2011/7/19
Shaped by structural forces of change, banking in emerging markets has recently experienced a decline in its traditional activities, leading banks to diversify into new business strategies. This paper...
Market efficiency, anticipation and the formation of bubbles-crashes
renormalization group sociophysics opinion dynamic finance
2011/7/5
A dynamical model is introduced for the formation of a bullish or
bearish trends driving an asset price in a given market. Initially, each
agent decides to buy or sell according to its personal opin...
Abstract: We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Mar...