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Monetary policy and the asymmetric job creation and destruction behaviour
asymmetric job creation positive steepness netary policy job destruction behaviour
2011/8/21
This article explores whether monetary policy can account for the asymmetric job creation and job destruction behaviour in the Taiwanese manufacturing and service sectors during the period 1987 to 200...
Nonanalytic behaviour in a log-normal Markov functional model
Markov functional model Nonanalytic behaviour Computational Finance
2011/7/22
Abstract: In a previous paper it was shown that a Markov-functional model with log-normally distributed rates in the terminal measure displays nonanalytic behaviour as a function of the volatility, wh...
This paper empirically analyses risk in the Euro relative to other currencies. Comparisons are made between a sub period encompassing the final transitional stage to full monetary union with a sub per...
An algorithmic information-theoretic approach to the behaviour of financial markets
nancial markets closing price movements stock market algorithmic probability
2010/10/21
Using frequency distributions of daily closing price time series of several financial market indexes, we investigate whether the bias away from an equiprobable sequence distribution found in the data...
"Market making" behaviour in an order book model and its impact on the bid-ask spread
Market making behaviour order book model impact bid-ask spread
2010/10/19
It has been suggested that marked point processes might be good candidates for the modelling of financial high-frequency data. A special class of point processes, Hawkes processes, has been the subje...