The paper aims to present the insurance linked securities market behaviour, that has changed a lot the past three years, both in terms of structure and in terms of ceded risks. After having introduced some stylized facts characterizing the insurance linked securities we capture their market...

In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed. We numerically...

In a recent article, Demichelis and Polemarchakis (2007) highlighted the role played by the frequency of trade on the degree of indeterminacy of equilibrium in economies of overlapping generations. Assuming that time has a finite starting point and extends into the infinite future, they prove...

We present in this paper a method to extract fair prices from observable prices in an illiquid market. The dynamics of fair prices have a general form encompassing random walks. In fact, only a part of a movement in price is assumed to reflect fundamental changes, the rest is considered to be...

We present several estimates of measures of risk amongst the most well-known, using both high and low frequency data. The aim of the article is to show which lower frequency measures can be an acceptable substitute to the high precision measures, when transaction data is unavailable for a long...

Numerous papers constructed or simulated financial markets at an agent level, aiming to explain the non-stationarity of price processes. All such papers agree that the heterogeneity of agents and of pricing models creates a dynamics in terms of pricing models used that explains not only the...

Abstract: We study the relation between liquidity in financial markets and post-trading fees (i.e. clearing and settlement fees). The clearing and settlement agent (CSD) faces different marginal costs for different types of transactions. Costs are lower for an internalized transaction, i.e. when...

Abstract This paper selectively surveys some of the more prominent laboratory experimental studies on asset market behavior. The strands of literature considered are market microstructure, pari-mutuel betting markets, characteristics of participants, the effect of information release, and...

We report the results of an experiment designed to measure how well asset market prices track fundamentals when the latter experience peaks and troughs. We observe greater price efficiency in markets in which fundamentals rise to a peak and then decline, than in markets in which fundamentals...