Concept

Financial market

Related publications (88)

Asset life, leverage, and debt maturity matching

Capital ages and must eventually be replaced. We propose a theory of financing in which firms borrow to finance investment and deleverage as capital ages to have enough financial slack to finance replacement investments. To achieve these dynamics, firms is ...

Lausanne2024

The Time‐Varying Price of Financial Intermediation in the Mortgage Market

Andreas Fuster

We introduce a new measure of the price charged by ﬁnancial intermediaries for con-necting mortgage borrowers with capital market investors. Based on administrativelender pricing data, we document that the price of intermediation reacts stronglyto variatio ...

2024

AI-driven Prices for Externalities and Sustainability in Production Markets

Boi Faltings, Aris Filos Ratsikas, Panayiotis Danassis

Traditional competitive markets do not account for negative externalities; indirect costs that some participants impose on others, such as the cost of over-appropriating a common-pool resource (which diminishes future stock, and thus harvest, for everyone) ...

Cornell University2023

Higher-order organization of multivariate time series

Enrico Amico, Andrea Santoro

Time series analysis has proven to be a powerful method to characterize several phenomena in biology, neuroscience and economics, and to understand some of their underlying dynamical features. Several methods have been proposed for the analysis of multivar ...

NATURE PORTFOLIO2023

Essays in Monetary Policy and Asset Pricing

Benoit Vincent Sylvain Cornet

This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices.The first chapter, entitled Market Expectations and the Impact of Unconven ...

EPFL2022

Are green bonds priced lower than their conventional peers?

Yue Wu

The green bond market's rapid growth has alerted issuers and investors to this sustainable area of investment. This study ascertains whether green bonds are priced lower than conventional bonds-whether a negative green bond premium exists in both Chinese a ...

ELSEVIER2022

Essays in Empirical Asset Pricing

Alexis Arilès Marchal

This thesis consists of three applications of machine learning techniques to empirical asset pricing.In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...

EPFL2022

Asset Pricing and Monetary Policy

Nicolas Gauderon

Classical theory asserts that the formation of prices is the result of aggregated decisions ofeconomics agent such as households or corporation. However central banks are very importantagents that have often been neglected in asset pricing models. Central ...

EPFL2022

Informational frictions in financial markets

Erik Hapnes

This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource ...

EPFL2021

A Multiagent Model of Efficient and Sustainable Financial Markets

In this paper, we introduce a model of a financial market as a multiagent repeated game where the players are market makers. We formalize the concept of market making and the parameters of the game. Our main contribution is a framework that combines game t ...

2020

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