Concept

Stock market

Publications associées (121)

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Product Pricing in a Peer-to-Peer Economy

Thomas Alois Weber

The emergence of a collaborative economy has been driven by advances in information technology that allow consumers to borrow and rent goods among peers on a secondary sharing market. In a dynamic setting, consumers make intertemporal decisions about purch ...

2016

Product Pricing in a Peer-to-Peer Economy

Thomas Alois Weber

2016

Quadratic variance swap models

Damir Filipovic, Loriano Mancini

We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly faci ...

Elsevier2016

Location choice with longitudinal WiFi data

Michel Bierlaire, Matthieu Marie Cochon de Lapparent, Antonin Danalet, Loïc Tinguely

While moving from diary survey to location-aware technologies, recent data collection techniques provide new insights about location choices. Only few dynamic models of location choice exist in the literature, and none of them to our knowledge correct for ...

Transport and Mobility Laboratory, ENAC, EPFL2015

Destination choice with longitudinal data

Michel Bierlaire, Matthieu Marie Cochon de Lapparent, Antonin Danalet, Loïc Tinguely

Panel data and habits are often observed in travel behavior research, in route choice and car ownership. While moving from diary survey to location-aware technologies, recent data collection techniques provide panel data about location choice. Only few dyn ...

2015

Do Prices Reveal the Presence of Informed Trading?

Pierre Collin Dufresne

Using a comprehensive sample of trades from Schedule 13D filings by activist investors, we study how measures of adverse selection respond to informed trading. We find that on days when activists accumulate shares, measures of adverse selection and of stoc ...

Wiley-Blackwell2015

Essays in Dynamic Corporate Finance

Francesca Maria Zucchi

This thesis examines the effects of financing frictions on corporate decisions using dynamic models. Accounting for financing frictions helps reconcile a number of regularities that are hard to explain within the Modigliani-Miller framework. For instance, ...

EPFL2015

SigCO: Mining Significant Correlations via a Distributed Real-time Computation Engine

Karl Aberer, Jean Paul Calbimonte Perez, Tian Guo, Hao Zhuang

The dramatic rise of time-series data produced in a variety of contexts, such as stock markets, mobile sensing, sensor networks, data centre monitoring, etc., has fuelled the development of large-scale distributed real-time computation systems (e.g., Apach ...

2015

Default And Systemic Risk In Equilibrium

Martin Larsson

We develop a finite horizon continuous time market model, where risk-averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock, and a defaultable bond, whose prices are determined via equil ...

Wiley-Blackwell2015

Protecting Options in Global Markets: Evidence on the Use of Strategic Disclosure

Christopher Tucci, Jana Thiel, Tilo Peters

We examine the impact of globally diverse market operations on a firm’s choice to openly disclose some of its technology. We suggest that this strategic disclosure offers solutions to specific needs in the commercialization strategy of globally operating f ...

2015