Questions tagged [financial-markets]

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43 views

Modeling regulations of middlemen

I am searching for some paper that models the regulations of market makers in stock or OTC markets. Is there anybody who have seen some marekt microstructure paper for modeling regulations and what ...
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33 views

Utility Maximization on a finite Probability Space. Possible mistakes in a paper?

I am currently reading this paper on utility maximization in a financial market model. On page 5 the author starts with the case of a finite probability space and on page 19 he considers the ...
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42 views

Concept of return for assets which don't have a well defined price

Much of financial theory seems to assume that assets have a price, for example the concepts of return or volatility. Is there any way to operationalize these concepts for assets which don't have a ...
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60 views

Anyone got references where we can find examples of codes for agent-based simulations of financial markets?

I'm looking for references with codes for trying out simple agent-based simulations for modeling financial markets. I mostly worked with MATLAB and R, but I know a bit of python and I am learning C++ ...
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13 views

Balance sheet items which might show exposure to hedging or the prevalence of forward contracts

I do have a panel data set on North American companies from Compustat covering balance sheet and income information. I am wondering if there is a possibility to use a balance sheet variable as an ...
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29 views

Has there been studies done on changes in model performance post-crisis?

My question is, has there been done any studies on whether the efficiency and accuracy of pricing and risk-management of derivatives using different models and algorithms has changed after the ...
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62 views

Interpretation of Market Price of Volatility Risk

In option pricing with market model equipped with stochastic volatility, there are numerous times mentioning "market price of volatility risk" without even define or give any explanation regarding the ...
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79 views

How to calculate Market Return based on an own sample?

I have read several papers and am more confused than clearer about my problem after the reading. I am trying to validate my sample. I use the Schmidt et al. paper (2015) as a guidance to construct ...
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18 views

When we look for equilibrium, do we set sum of portfolios equa to zero or equal to outstanding shares?

Let us say we have a market with $K$ agents who choose their portfolios $(\theta_k^i)$ of how many shares of each asset $i$ In equilibrium, my question is whether the condition is to say $\sum_k \...
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49 views

How to hedge a MV portfolio against crises

I have constructed an adjusted Mean-Variance portfolio optimization method that optimizes the exposure in a set of X assets. The portfolio works perfectly fine during normal periods (even when there ...
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19 views

How we can use adjusted price in combination with price limit in a stock market?

How we can use adjusted price in combination with price limit in stock market? suppose that we have a price limit in a stock market. For example if yesterday last price is ...
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20 views

What are the factors affecting Pre-Market/overnight market prices

During the past few weeks, it seems to me, that there are different cohorts of people affecting the prices of, say, SPY--the S&P 500 ETF during normal hours and after-hours. This may be a ...
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30 views

How can I use both Stochastic and RSI in technical analysis?

Stochastic and RSI both are momentum indicator but they both show momentum in different way. It leading me to confusion how to use them in trading.
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15 views

What is the payoff matrix of a set of put option that completes the market?

For example, there are three states of nature but only one security yielding payoffs {1,2,3} in the three states. What would be the set of put options that completes the market? I know that if it his ...
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43 views

financial markets

Let's suppose the following model of financial markets : Market-Maker : the sell financial derivatives, the hedge all the risk after calculating their sensibilities to market risk factors. Thus ...
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31 views

Good benchmark for european Flexible asset allocation funds?

Flexible allocation funds usually do not state any benchmark. Because flexible funds allocations are dynamic and less constrained, determining an appropriate benchmark for the funds is challenging. I ...
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115 views

How Free Of Payment (FOP) trade works? How it impacts NAV and P&L?

I want to understand how the Free of Payment(FOP) trades work from accounting point of view. My questions are: What data we collect while capturing FOP trade? How it impacts NAV and P&L? e.g. say ...