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Displaying results 1 to 25 of 449.

  1. Information dissemination on asset markets with endogenous and exogenous information
    an experimental approach
    Author: Dittrich, Dennis; Maciejovsky, Boris
    Published: 2002
    Publisher:  Max Planck Institute for Research into Economic Systems, Jena

    Location:
    Thüringer Universitäts- und Landesbibliothek
    Signature:
    2002 SB 86
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Papers on strategic interaction ; 03-2002
    Subjects: Kapitalmarkttheorie; Informationsverbreitung; Marktmikrostruktur; Informationsökonomik; Experiment; Theorie
    Scope: 9 S
    Notes:

    Internetausg.: ftp://ftp.mpiew-jena.mpg.de/pub/esi/discussionpapers/2002-03.pdf

    Literaturverz. S. 8 - 9
  2. The microstructure of the Euro money market
    Author: Hartmann, Philipp; Manna, Michele; Manzanares, Andrés
    Published: 2001
    Publisher:  European Central Bank, Frankfurt am Main

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper series / European Central Bank ; 80
    Subjects: Geldmarkt; Finanzmarkt; Euro; Marktmikrostruktur; Deutschland; Frankreich; Italien; Niederlande; Spanien; Großbritannien
    Scope: 69 S, graph. Darst
    Notes:
  3. The microstructure of the euro money market
    Author: Hartmann, Philipp
    Published: 2001
    Publisher:  European Central Bank, Frankfurt am Main

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper / European Central Bank ; 80
    Subjects: Geldmarkt; Finanzmarkt; Euro; Marktmikrostruktur; Deutschland; Frankreich; Italien; Niederlande; Spanien; Großbritannien
    Scope: 69 S., graph. Darst.
    Notes:

    Literaturverz. S. 45 - 48
  4. How do investors' expectations drive asset prices?
    Author: Lüders, Erik; Peisl, Bernhard
    Published: 2001
    Publisher:  ZEW, Mannheim

    Asset price processes are completely described by information processes and investors' preferences. In this paper we derive the relationship between the process of investors ́expectations of the terminal stock price and asset prices in a general... more

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    Asset price processes are completely described by information processes and investors' preferences. In this paper we derive the relationship between the process of investors ́expectations of the terminal stock price and asset prices in a general continous time pricing kernel framework. To derive the asset price process we make use of the modern technique of forward-backward stochastic differential equations. With this approach it is possible to show the driving factors for stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that stylized facts that look at first hand like financial market anomalies may be explained by an information process with stochastic volatility.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 01-15
    Subjects: Börsenkurs; Marktmikrostruktur; Anlageverhalten; Erwartungsbildung; Information; Stochastischer Prozess; Optionspreistheorie; Theorie; Backward stochastic differentials equation
    Scope: 27 S, a
    Notes:

    Literaturverz. S. 25 - 27
  5. The anatomy of a call market
    evidence from Germany
    Author: Kehr, Carl-Heinrich; Krahnen, Jan Pieter; Theissen, Erik
    Published: 1998

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 1055 (23)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 23
    Subjects: Börse; Börsenmakler; Marktmikrostruktur; Börsenkurs; Handelsvolumen der Börse; Effizienzmarkthypothese; Schätzung; Deutschland
    Scope: 30 Bl
  6. Essays on empirical market microstructure and high frequency data
    Author: Bellia, Mario
    Published: 2018

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    A 276778
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Print
    Subjects: Finanzmarkt; Marktmikrostruktur; Elektronisches Handelssystem; Marktliquidität; Börsenkurs; Öffentliche Anleihe; Schätzung; Deutschland; Italien
    Scope: xi, 172, 3 Seiten, Diagramme, 21 cm
    Notes:

    Enthält mehrere Beiträge

    Dissertation, Johann Wolfgang Goethe-Universität Frankfurt am Main, 2018
  7. Intraday market making with overnight inventory costs
    Author: Adrian, Tobias; Capponi, Agostino; Vogt, Erik; Zhang, Hongzhong
    Published: 25 August 2017
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 32 (12245)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; DP 12245
    Subjects: Öffentliche Anleihe; Rentenmarkt; Marktmikrostruktur; Börsenmakler; Wertpapierdepot; Bestandsmanagement; Interbankenmarkt; Kosten; Wohlfahrtsanalyse; Schätzung; USA
    Scope: 53 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  8. Indirect estimation of the parameters of agent based models of financial markets
    Author: Winker, Peter; Gilli, Manfred
    Published: 2001
    Publisher:  School of Business Administration, Internat. Univ. in Germany, Bruchsal

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper / School of Business Administration, International University in Germany, Bruchsal ; 3
    Subjects: Finanzmarkt; Marktmikrostruktur; Simulation; Schätztheorie; Wechselkurs; Devisenmarkt; Schätzung; US-Dollar; Theorie; Deutschland; Agentenbasierte Modellierung
    Scope: 14 Bl, graph. Darst
    Notes:
  9. The Italian overnight market
    microstructure effects, the marginale hypothesis and the payment system
    Published: 2003

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 140 (475)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Temi di discussione del Servizio Studi / Banca d'Italia ; 475
    Subjects: Geldmarkt; Marktmikrostruktur; Clearing; Italien
    Scope: 58 S
    Notes:
  10. A global optimization heuristic for estimating agent based models
    Author: Gilli, Manfred; Winker, Peter
    Published: 2002
    Publisher:  School of Business Administration, Internat. Univ. in Germany, Bruchsal

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Working paper / School of Business Administration, International University in Germany, Bruchsal ; 12
    Subjects: Mathematische Optimierung; Heuristik; Marktmikrostruktur; Schätztheorie; Theorie; Agentenbasierte Modellierung
    Scope: 16 Bl, graph. Darst
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  11. The Markov switching ACD model
    Author: Hujer, Reinhard; Vuletic, Sandra; Kokot, Stefan
    Published: 2002
    Publisher:  Johann-Wolfgang-Goethe-Univ., Fachbereich Wirtschaftswiss., Frankfurt am Main

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    02-4457
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 90
    Subjects: Zeitreihenanalyse; Dauer; ARCH-Modell; Markov-Kette; Wertpapierhandel; Marktmikrostruktur; Theorie; Schätzung; USA
    Scope: 42 S, graph. Darst
    Notes:

    ACD = autoregressive conditional duration
  12. Is foreign exchange intervention effective?
    Some micro-analytical evidence from the Czech Republic
    Author: Scalia, Antonio
    Published: 2006

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Temi di discussione del Servizio Studi / Banca d'Italia ; 579
    Subjects: Wechselkurspolitik; Wechselkurs; Marktmikrostruktur; Tschechien
    Scope: 45 S., graph. Darst.
    Notes:
  13. Econometric analysis of financial transaction data
    pitfalls and opportunities
    Author: Hautsch, Nikolaus; Pohlmeier, Winfried
    Published: 2001
    Publisher:  CFE, Konstanz

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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Mag9453
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz ; 01/05
    Subjects: Finanzmarkt; Handelsvolumen der Börse; Marktmikrostruktur; ARCH-Modell; Mikroökonometrie; Schätzung; Theorie; Deutschland
    Scope: 34 S, graph. Darst, a
    Notes:

    Literaturverz. S. 30 - 34
  14. The determinants of BUND-future price changes
    an ordered probit analysis using DTB and LIFFE data
    Author: Kaiser, Ulrich
    Published: 1997
    Publisher:  ZEW, Mannheim

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    Badische Landesbibliothek
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    97 K 1953
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    Source: Union catalogues
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    Series: Array ; 97,09
    Subjects: Zinsderivat; Börsenkurs; Marktmikrostruktur; Mikroökonomik; Deutschland; Großbritannien
    Scope: 27 S.
  15. How do UK-based foreign exchange dealers think their market operates?
    Author: Cheung, Yin-Wong; Chinn, Menzie David; Marsh, Ian
    Published: 1999
    Publisher:  Centre for Economic Policy Research, London

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    Source: Union catalogues
    Language: English
    Media type: Book
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    RVK Categories: QB 910
    Series: Array ; 2230
    Subjects: Devisenmarkt; Börsenmakler; Marktmikrostruktur; Großbritannien
    Scope: 28 S.
  16. The anatomy of a call market
    evidence from Germany
    Author: Kehr, Carl-Heinrich
    Published: 1998
    Publisher:  Johann-Wolfgang-Goethe-Univ., Fachbereich Wirtschaftswiss., Frankfurt am Main

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Source: Union catalogues
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    Series: Array ; 23
    Subjects: Börsenhandel; Börsenmakler; Marktmikrostruktur; Börsenkurs; Handelsvolumen der Börse; Effizienzmarkthypothese; Schätzung; Deutschland
    Scope: 30 Bl.
    Notes:

    Literaturverz. Bl. 21 - 23
  17. Noise traders' trigger rates, FX options, and smiles
    Author: Pierdzioch, Christian
    Published: 2000
    Publisher:  Kiel Institute of World Economics, Kiel

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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
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    RVK Categories: QD 000
    Series: Kieler Arbeitspapiere ; 970
    Subjects: Devisenoption; Optionspreistheorie; Noise Trading; Wechselkurs; Volatilität; Stochastischer Prozess; Devisenmarkt; Marktmikrostruktur; Schätzung; Theorie; Deutschland; USA; Japan; Großbritannien; Kanada
    Scope: 53 S.
    Notes:

    Literaturverz. S. 48 - 53
  18. Determinants of inter-trade durations and hazard rates using proportional hazard ARMA models
    Author: Gerhard, Frank
    Published: 2000
    Publisher:  Univ., Center of Finance and Econometrics, Konstanz

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    Source: Union catalogues
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    Series: Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz ; 00,20
    Subjects: Wertpapierhandel; Dauer; Börsenkurs; Informationsverhalten; Marktmikrostruktur; Mikroökonometrie; Theorie; ARMA-Modell; Schätzung; Zinsderivat; Deutschland
    Scope: 33 S.
    Notes:

    Literaturverz. S. 22 - 23
  19. The Euro as an international currency
    explaining puzzling first evidence
    Author: Hau, Harald
    Published: 2000
    Publisher:  Centre for Economic Policy Research, London

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    RVK Categories: QB 910
    Series: Array ; 2510
    Subjects: Euro; Reservewährung; Geld-Brief-Spanne; Wechselkurs; Deutsche Mark; Yen; US-Dollar; Pfund Sterling; Marktmikrostruktur; Transaktionskosten; Welt
    Scope: 26 S., graph. Darst.
  20. The microstructure of the euro money market
    Author: Hartmann, Philipp
    Published: 2001
    Publisher:  Centre for Economic Policy Research, London

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    RVK Categories: QB 910
    Series: Array ; 3081
    Subjects: Geldmarkt; Finanzmarkt; Euro; Marktmikrostruktur; Deutschland; Frankreich; Italien; Niederlande; Spanien; Großbritannien; Euro; Money market
    Scope: 43 S., graph. Darst.
  21. Liquidity supply and demand in limit order markets
    Published: 2002
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 32 (3676)
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    RVK Categories: QB 910
    Series: Array ; 3676
    Subjects: Liquidität; Marktmikrostruktur; Börsenhandel; Vancouver; Kanada
    Scope: 51 S., graph. Darst.
    Notes:

    Literaturverz. S. 29 - 30
  22. Volatility of interest rates in the Euro area
    evidence from high frequency data
    Author: Cassola, Nuno
    Published: 2003
    Publisher:  European Central Bank, Frankfurt am Main

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper / European Central Bank ; 235
    Subjects: Geldmarkt; Marktmikrostruktur; Zins; Liquiditätseffekt; Volatilität; Kointegration; EU-Staaten
    Scope: 73 S.
    Notes:
  23. How do investors' expectations drive asset prices?
    Author: Lüders, Erik; Peisl, Bernhard
    Published: [2001]
    Publisher:  ZEW, Mannheim

    Asset price processes are completely described by information processes and investors' preferences. In this paper we derive the relationship between the process of investors ́expectations of the terminal stock price and asset prices in a general... more

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    Asset price processes are completely described by information processes and investors' preferences. In this paper we derive the relationship between the process of investors ́expectations of the terminal stock price and asset prices in a general continous time pricing kernel framework. To derive the asset price process we make use of the modern technique of forward-backward stochastic differential equations. With this approach it is possible to show the driving factors for stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that stylized facts that look at first hand like financial market anomalies may be explained by an information process with stochastic volatility.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 01-15
    Subjects: Börsenkurs; Marktmikrostruktur; Anlageverhalten; Erwartungsbildung; Information; Stochastischer Prozess; Optionspreistheorie; Theorie; Backward stochastic differentials equation
    Scope: 27 S.
    Notes:

    Literaturverz. S. 25 - 27
  24. Econometric analysis of financial transaction data
    pitfalls and opportunities
    Author: Hautsch, Nikolaus
    Published: 2001
    Publisher:  Univ. Konstanz, Center of Finance and Econometrics, [Konstanz]

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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz ; 01,05
    Subjects: Finanzmarkt; Handelsvolumen der Börse; Marktmikrostruktur; ARCH-Modell; Mikroökonometrie; Schätzung; Theorie; Deutschland
    Scope: 34 S.
    Notes:

    Literaturverz. S. 30 - 34
  25. The Markov switching ACD model
    Author: Hujer, Reinhard
    Published: 2002
    Publisher:  Johann-Wolfgang-Goethe-Univ., Fachbereich Wirtschaftswiss., Frankfurt am Main

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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 90
    Subjects: Zeitreihenanalyse; Dauer; ARCH-Modell; Markov-Kette; Wertpapierhandel; Marktmikrostruktur; Theorie; Schätzung; USA
    Scope: 42 S., graph. Darst.
    Notes:

    ACD = autoregressive conditional duration