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  1. 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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    Staats- und Universitätsbibliothek Bremen
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
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    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:
  2. 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
  3. 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
  4. 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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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
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    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
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  5. Econometric analysis of financial transaction data
    pitfalls and opportunities
    Author: Hautsch, Nikolaus; Pohlmeier, Winfried
    Published: 2001
    Publisher:  CFE, Konstanz

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    Source: Union catalogues
    Language: English
    Media type: Book
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    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
  6. The microstructure of the euro money market
    Author: Hartmann, Philipp
    Published: 2001
    Publisher:  Centre for Economic Policy Research, London

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    Source: Union catalogues
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    Media type: Book
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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.
  7. 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
  8. 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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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Source: Union catalogues
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    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
  9. Indirect estimation of the parameters of agent based models of financial markets
    Author: Winker, Peter
    Published: 2001
    Publisher:  School of Business Administration, Internat. Univ. in Germany, Bruchsal

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    Badische Landesbibliothek
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    102 K 1136
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    Series: Working paper / School of Business Administration ; 3
    Subjects: Finanzmarkt; Marktmikrostruktur; Simulation; Schätztheorie; Wechselkurs; Devisenmarkt; Schätzung; US-Dollar; Theorie; Deutschland; Agentenbasierte Modellierung
    Scope: 14 Bl., graph. Darst.
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  10. The microstructure of the foreign-exchange market
    a selective survey of the literature
    Author: Sarno, Lucio; Taylor, Mark P.
    Published: 2001
    Publisher:  International Economics Section, Department of Economics, Princeton University, Princeton, N.J

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    Source: Union catalogues
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    ISBN: 088165261X
    RVK Categories: QK 628 ; QM 331 ; QM 000
    Series: Princeton studies in international economics ; no. 89
    Subjects: Devisenmarkt; Marktmikrostruktur; Theorie; Wechselkurs; Analyse; Markt; Modell; Wirtschaftsindikator; Sozialer Indikator; Bibliografie
    Other subjects: Array
    Scope: 58 S
    Notes:

    Includes bibliographical references
  11. Market liquidity
    proceedings of a workshop held at the BIS
    Published: 2001
    Publisher:  Bank for International Settlements, Basle

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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ISBN: 9291316199; 9291316156
    RVK Categories: QK 620 ; QK 000
    Series: BIS papers ; 2
    Subjects: Liquidität; Aktienmarkt; Rentenmarkt; Devisenmarkt; Marktmikrostruktur; Welt
    Scope: V, 273 S, graph. Darst
    Notes:

    Enth. 14 Beitr
  12. Currency orders and exchange-rate dynamics
    explaining the success of technical analysis
    Published: Mar. 2001
    Publisher:  Federal Reserve Bank of New York, New York, NY

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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/60582
    Edition: [Elektronische Ressource]
    Series: Staff reports / Federal Reserve Bank of New York ; 125
    Subjects: Devisenmarkt; Finanzanalyse; Marktmikrostruktur; Wechselkurs; Theorie
    Scope: Online Ressource, 45 p., text, ill
  13. Splitting orders in fragmented markets
    evidence from cross-listed stocks
    Author: Menkveld, Albert J.
    Published: 2001

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    Source: Union catalogues
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    Series: Discussion paper / Tinbergen Institute ; 2001,059/2
    Subjects: Wertpapierhandel; Börsenhandel; Börsenmakler; Anlageverhalten; Marktmikrostruktur; Theorie
    Scope: 34, [15] S, graph. Darst
  14. Explaining exchange rate behavior with a genetic algorithm
    Author: Lawrenz, Claudia; Westerhoff, Frank H.
    Published: 2001
    Publisher:  Univ. Osnabrück, Fachbereich Wirtschaftswiss., Osnabrück

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Source: Union catalogues
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    Series: Beiträge des Fachbereichs Wirtschaftswissenschaften der Universität Osnabrück ; 2001,02
    Subjects: Wechselkurstheorie; Devisenmarkt; Marktmikrostruktur; Anlageverhalten; Heuristik; Theorie; Genetische Algorithmen
    Scope: 19 Bl
    Notes:

    Literaturverz. S. 18 - 19
  15. Expectations driven distortions in the foreign exchange market
    Author: Westerhoff, Frank H.
    Published: 2001
    Publisher:  Univ. Osnabrück, Fachbereich Wirtschaftswiss., Osnabrück

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    Series: Beiträge des Fachbereichs Wirtschaftswissenschaften der Universität Osnabrück ; 2001,03
    Subjects: Wechselkurstheorie; Spekulationsblase; Devisenmarkt; Marktmikrostruktur; Anlageverhalten; Begrenzte Rationalität; Erwartungsbildung; Lernprozess; Theorie
    Scope: 24 Bl
    Notes:

    Literaturverz. S. 23 - 24
  16. Splitting orders in fragmented markets evidence from cross-listed stocks
    Author: Menkveld, Albert J.
    Published: 2001
    Publisher:  ECFR, Rotterdam

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    Source: Union catalogues
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    Series: Report / Erasmus Center for Financial Research, Erasmus University ; 2001,6
    Subjects: Wertpapierhandel; Börsenhandel; Börsenmakler; Anlageverhalten; Marktmikrostruktur; Theorie
    Scope: 34, [15] S, graph. Darst
  17. Middle men versus market makers
    a theory of competitive exchange
    Author: Rust, John; Hall, George
    Published: 2001

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 292 (1299)
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    Source: Union catalogues
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    Series: Cowles Foundation discussion paper ; 1299
    Subjects: Suchtheorie; Marktmikrostruktur; Vermittlungstätigkeit; Geld-Brief-Spanne; Theorie; Market Maker
    Scope: 48 S, graph. Darst
  18. Learning to predict rationally when beliefs are heterogeneous
    Author: Wenzelburger, Jan
    Published: 2001
    Publisher:  Univ., Fak. für Wirtschaftswiss, Bielefeld

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 111 (477)
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    Series: Discussion Paper / Universität Bielefeld, Fakultät für Wirtschaftswissenschaften ; 477
    Subjects: Marktmikrostruktur; Lernprozess; Adaptive Erwartungen; Begrenzte Rationalität; Finanzanalyse; Prognoseverfahren; Börsenkurs; Theorie
    Scope: 32 S
    Notes:
  19. Convergence of locally and globally interacting Markov chains
    Author: Föllmer, Hans; Horst, Ulrich
    Published: 2001
    Publisher:  Sonderforschungsbereich 373, Berlin

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 1190 (2001.21)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse ; 2001,21
    Subjects: Markov-Kette; Marktmikrostruktur; Theorie
    Scope: 44 S, 21 cm
    Notes:

    Literaturverz. S. 42 - 44
  20. Initial offerings of options
    Author: Müller, Sigrid M.
    Published: 2001
    Publisher:  Sonderforschungsbereich 373, Berlin

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    W 1190 (2001.22)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse ; 2001,22
    Subjects: Börsengang; Aktienoption; Börsenkurs; Black-Scholes-Modell; Unvollkommene Information; Marktmikrostruktur; Auktionstheorie; Theorie
    Scope: 12 S, 21 cm
    Notes:
  21. Price improvement in financial markets as a screening device
    Published: Mar. 2001
    Publisher:  Université Paris X-Nanterre, THEMA [u.a.], Paris [u.a.]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1440 (2001.06)
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: [Elektronische Ressource]
    Series: Documents de travail / THEMA / Unité Mixte de Recherche Théorie Economique, Modélisation et Applications ; 2001,06
    Subjects: Börsenkurs; Marktmikrostruktur; Theorie
    Scope: Online-Ressource, 41 p., text
    Notes:

    Zsfassung in franz. Sprache
  22. Intraday and intranight bid-ask spreads of American-style 3-year treasury bond options trading on the Sydney futures exchange
    Author: Jordan, Cara; Rose, Lawrence Craig
    Published: 2001

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1079 (01.20)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper series / Department of Commerce, College of Business, Massey University ; 01,20
    Subjects: Finanzanalyse; Marktmikrostruktur; Geld-Brief-Spanne; Zeitreihenanalyse; Australien
    Scope: [36] S, graph. Darst
  23. Measures of contributions to price discovery
    a comparison
    Author: Jong, Frank de
    Published: 2001

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 899 (2001.114)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Discussion paper / Tinbergen Institute ; 2001,114/2
    Subjects: Marktmikrostruktur; CAPM; Theorie
    Scope: 6 S
    Notes:

    Literaturverz. S. 6
  24. Financial price fluctuations in a stock market model with many interacting agents
    Author: Horst, Ulrich
    Published: 2001
    Publisher:  Sonderforschungsbereich 373, Berlin

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1190 (2001.36)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373, Quantifikation und Simulation Ökonomischer Prozesse ; 2001,36
    Subjects: Börsenkurs; Volatilität; Aktienmarkt; Marktmikrostruktur; Anlageverhalten; Markov-Kette; Theorie; Nichtlineare Dynamik
    Scope: 36 S
    Notes:
  25. Optimal policy with tradable and bankable pollution permits
    taking the market microstructure into account
    Author: Germain, Marc; Van Steenberghe, Vincent
    Published: 2001
    Publisher:  CORE, Louvain-la-Neuve

    Location:
    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
    Signature:
    RN 2490(2001,35)
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 159 (2001.35)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: CORE discussion paper ; 2001,35
    Subjects: Emissionshandel; Umweltökonomik; Marktmikrostruktur; Theorie
    Scope: 35 S, graph. Darst
    Notes: