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Comment on ‘The Use of a Monetary Aggregate to Target Nominal GDP’ by Martin Feldstein and James Stock
Monetary Aggregate GDP
2015/8/4
Comment on ‘The Use of a Monetary Aggregate to Target Nominal GDP’ by Martin Feldstein and James Stock.
Do International Agreements Make Reforms More Credible? The Impact of NAFTA on Mexican Stock Prices
Reforms More Credible Mexican Stock Prices
2015/6/5
This paper argues that international commercial agreements can enhance the credibility of trade
liberalization by mitigating two problems – adverse selection and time-inconsistency – that
sometimes ...
Do Executive Stock Options Encourage Risk-Taking?
Risk and Uncertainty Motivation and Incentives Stock Options Executive Compensation
2015/5/13
Executive stock options create incentives for executives to manage firms in ways that maximize firm market value. Since options increase in value with the volatility of the underlying stock, executive...
Stock Price Fragility
Financial Liquidity Stocks Price Market Transactions Ownership Risk and Uncertainty
2015/4/22
We investigate the relationship between ownership structure of financial assets and non-fundamental risk. An asset is fragile if its owners collectively have to buy or sell. Such assets are susceptibl...
A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices
Tokyo Stock Exchange Jensen-Shannon divergence volatility
2012/6/2
This study conducts a comprehensive analysis of time series segmentation on the Japanese stock prices listed on the first section of the Tokyo Stock Exchange during the period from January 4, 2000 to ...
Evolution of worldwide stock markets, correlation structure and correlation based graphs
stock exchanges The fast dynamics measure of mutual information
2011/3/31
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market in...
Analysis of trade packages in Chinese stock market
Econophysics Trade package Stock trading behavior Price impact Scaling laws
2011/3/30
This paper conducts an empirically study on the trade package composed of a sequence of consecutive purchases or sales of 23 stocks in Chinese stock market. We investigate the probability distribution...
A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market
statistical dependency structure marginal distributions New York Stock Exchange's TAQ database
2011/3/23
We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ database. With a copula-ba...
The US stock market leads the Federal funds rate and Treasury bond yields
time series the stock market FFR
2011/3/23
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the the...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
matrix theory quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
time series quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
trading activity electronic on-book dealership off-book
2011/3/23
We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market m...
Ownership of Railway Stock in France and the United States, 1840-1940: The Mystery of Missing Data and Why That Matters
Ownership of Railway Stock The Mystery of Missing Data
2010/10/11
Alfred Neymarck and Olivier Moreau-Néret published data in the late nineteenth and early twentieth century indicating that France was a ―financial democracy‖ because ownership of stock and bonds, incl...
Expanding Connections between the New York Stock Exchange and the Employment Retirement Income Security Act
Connections New York Stock Exchange the Employment Retirement Income Security Act
2010/10/11
My purpose in this essay is to document and analyze connections between the 1975 deregulation of the New York Stock Exchange (NYSE) and the passage of the Employee Retirement Income Security Act of 19...
A Theory for Market Impact: How Order Flow Affects Stock Price
Theory Market Impact Order Flow Affects Stock Price
2010/12/17
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I ...