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Stock market

Related publications (121)

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Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...

Oxford University Press2012

Essays in Financial Economics

Jan Peter Kulak

In the first chapter of this thesis, I empirically show that the time delay firms face in raising outside capital affects cash holdings. I exploit the 2005 US Securities Offering Reform (the Reform) as a quasi-natural experiment. For a subset of large publ ...

EPFL2012

Modeling the behavior of investors

Michel Bierlaire, Thomas Robin

We introduce a hybrid discrete choice framework to model the decisions of investors in stock markets. More specifically, we model the decision to buy or sell stocks using a binary logit model with latent classes, characterizing the perception of risk. The ...

2012

Incomplete information, idiosyncratic volatility and stock returns

Julien Hugonnier, Tony Berrada

When investors have incomplete information, expected returns, as measured by an econometrician, deviate from those predicted by standard asset pricing models by including a term that is the product of the stock's idiosyncratic volatility and the investors' ...

2012

An integrated fleet assignment and itinerary choice model for a new flexible aircraft

Michel Bierlaire, Matteo Salani, Bilge Atasoy

In this paper we present methodologies for improving the demand-responsiveness of air transportation systems. The main ingredients are the flexibility in transportation capacity provided by an innovative aircraft and an integrated model where supply-demand ...

2012

Do Prices Reveal the Presence of Informed Trading ?

Pierre Collin Dufresne

Using a comprehensive sample of trades by Schedule 13D filers, who possess valuable private information when they accumulate stocks of targeted companies, this paper studies whether several liquidity measures reveal the presence of informed trading. The ev ...

2012

Optimal Energy Management of an Improved Elevator with Energy Storage Capacity based on Dynamic Programming

Alfred Rufer, Philippe Barrade

Efficiency and energy consumption reduction are becoming a key issue in elevation applications. Energy Storage Systems (ESS) can play a significant role on this field, together with their associated Energy Management System (EMS) in order to optimize the o ...

Ieee2012

A new formulation of the two-dimensional cutting-stock problem with consideration of demand planning

Naoufel Cheikhrouhou, Omar Ayadi

This paper focuses on the two dimensional rectangular non-oriented guillotine cutting stock problem (TDRCSP) in which many pieces with different dimensions need to be cut with different quantities in order to satisfy customers' orders. In order to maximise ...

2012

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Pierre Collin Dufresne

We extend Kyle's (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochasti ...

Columbia Business School2012

Stock market

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Chat with Graph Search

Sponsored search, market equilibria, and the Hungarian Method

Financial Markets Equilibrium with Heterogeneous Agents

Essays in Financial Economics

Modeling the behavior of investors

Incomplete information, idiosyncratic volatility and stock returns

An integrated fleet assignment and itinerary choice model for a new flexible aircraft

Do Prices Reveal the Presence of Informed Trading ?

Optimal Energy Management of an Improved Elevator with Energy Storage Capacity based on Dynamic Programming

A new formulation of the two-dimensional cutting-stock problem with consideration of demand planning

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Sponsored search, market equilibria, and the Hungarian Method

Financial Markets Equilibrium with Heterogeneous Agents

A new formulation of the two-dimensional cutting-stock problem with consideration of demand planning

Optimal Energy Management of an Improved Elevator with Energy Storage Capacity based on Dynamic Programming

Essays in Financial Economics

Modeling the behavior of investors

Incomplete information, idiosyncratic volatility and stock returns

An integrated fleet assignment and itinerary choice model for a new flexible aircraft

Do Prices Reveal the Presence of Informed Trading ?

Insider Trading, Stochastic Liquidity and Equilibrium Prices