Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of a portfolio

In the past decades, the amount of worldwide security transactions that was processed by electronic trading platforms increased significantly. In this paper we develop a theoretical framework for the pricing of limit orders of the Electronic Security Trading System Xetra operated by the German...

Financial markets witness high levels of activity at certain times, but remain calm at others. This makes the flow of physical time discontinuous. Therefore using physical time scales for studying financial time series, runs the risk of missing important activities. An alternative approach is...

The impact of exchange rate uncertainty on international trade has been discussed controversially in economic policy and theory for a long time. The paper surveys the theoretical investigations on this topic. The early modeis which analyse the influence of exchange rate uncertainty on trade,...

This study re-examines the return-volatility relationship and dynamics under a new VAR framework. By analyzing two model-free implied volatility indices - VIX (the U.S.) and VKOSPI (Korea) - and their corresponding stock market indices, we found an asymmetric volatility phenomenon in both...

The article examines causal relationships between sovereign credit default swaps (CDS) prices for the BRICS and most important EU economies (Germany, France, the UK, Italy, Spain) during the European debt crisis. The cross-correlation function (CCF) approach used in the research distinguishes...

Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen's alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk...

One aim of Viability Theory is to regulate evolutions under uncertainty in order not only to reach a target in finite time, but also to fulfill constraints (known as viability) until this time. Within the framework of finance, in the case of replicating portfolios, the target is defined by the...

We extend the vector autoregression (VAR) based expectations hypothesis (EH) test of term structure, considered in Bekaert & Hodrick (2001), B&H thereafter, using recent developments in bootstrap literature. Modifications include the use of wild bootstrap to allow for conditional...

This paper uses an evolutionary approach incorporating the idea of natural selection to examine market behavior in a one-sided buyer auction market. Even with no traders' rationality (such as rational expectations and adaptive learning) and with each trader's behavior preprogrammed with its own...