Now showing items 1-10 of 243
Crossing Network versus Dealer Market
Unique Equilibrium in the Allocation of Order Flow
The allocation of order flow to alternative trading systems can be understood as a game with strategic substitutes between buyers on the same side of the market, as well as one of positive network externalities. We consider ...
The Cross-Section of Crypto-Currencies as Financial Assets: An Overview
Crypto-currencies have developed a vibrant market since bitcoin, the first crypto-currency, was created in 2009. We look at the properties of cryptocurrencies as financial assets in a broad cross-section. We discuss ...
Pitfalls and Perils of Financial Innovation
The Use of CDS by Corporate Bond Funds
We use the financial crisis of 2007–2009 as a laboratory to examine the costs and benefits of teams versus single managers in asset management. We find that when a fund uses complex trading strategies involving the use ...
Change point and trend analysesof annual expectile curvesof tropical storms
Abstract: Motivated by the conjectured existence of trends in the intensity of tropical storms, this paper proposes new inferential methodology to detect a trend in the annual pattern of environmental data. The new methodology ...