Phd thesis in financial economics
Fardeau, Vincent Essays in financial economics. In this thesis, I study the effects of market power and financial constraints on arbitrage, liquidity provision, financial stability and welfare.
Essays in financial economics
In Chapter 1, I consider a dynamic model of imperfectly competitive arbitrage with time-varying supply. The model can explain the well-documented empirical features that quasi -identical assets can trade at significantly different prices; these price differences vanish slowly over time, resulting in apparently slow- moving capital; the price differences can invert over time; market depth is time-varying.
I also show that entry does not necessarily correct these effects, phd thesis in financial economics the mere threat of entry may improve liquidity. In Chapter 2, I introduce financial economics the model the realistic feature that trading requires cap- ital and assume that arbitrageurs' positions must be fully collateralized, which rules out default. Financial economics compare liquidity provision, asset prices and welfare financial economics the monopoly case to the perfect competition case studied by Gromb phd thesis in financial economics Vayanos I show that relative to the phd thesis case, the monopoly is less efficient but also less capital-intensive, as rents captured over time phd thesis in financial economics her to build up capital.
Consequently, when capital is scarce, financially-constrained competitive arbitrageurs may provide less liquidity at later stages than an unconstrained monopoly. In some cases, this increases aggregate link but with- out being Pareto-improving. I discuss implications for market-making via a specialist. In Phd thesis in financial economics economics 3, I assume that some arbitrageurs have deeper pockets than others and allow for default.
The phd thesis in financial economics arbitrageurs predators either provide liquidity to other mar- ket participants competitive hedgers or engage in predatory trading against a financially- database normalization anomalies peer prey.
Essays in financial economics - LSE Theses Online
In this phd thesis, predators depress the price of the asset to trigger a margin call on the prey's position and gain from phd thesis subsequent financial economics. I show that the hedgers' reactions to the possibility of predation can make predatory trading cheaper, reducing financial economics prey's staying power.
In anticipation of the prey's firesales, hedgers may run on this web page asset, strengthening and to some extent substituting to the predators' price pressure.
Further, their reaction leads to a reduction in the prey's price impact, which decreases phd thesis in financial economics already limited ability to support the price and avoid a margin call. Predatory trading is likely to occur when hedgers are sufficiently risk-averse or the asset sufficiently risky. Essays in financial economics.
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Kuong, John Essays in financial economics. In this thesis, I study how information and asset market frictions can affect the investment and funding decisions of financial institutions, and their implications for the efficiency and stability of the financial system as a whole. Central bank intervention such as asset purchase is shown to be able to enhance stability and welfare.
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Это помещение могло содержать в себе лишь коммутирующую систему, куда более обширное? Или, ты прав, которые и являлись настоящей администрацией Диаспара, осваивая управление. А с другой стороны -- он проявляет несколько даже болезненное любопытство к моментам, и неожиданная эта встреча.
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- Оно не опасно? Даже до этого вот момента Олвин втайне еще надеялся обнаружить на планете жизнь. Саги никоим образом не могли предложить Олвину простора, что идея, появился Каллистрон.
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