A Parimutuel Market Microstructure for Contingent Claims
نویسندگان
چکیده
منابع مشابه
A Parimutuel Market Microstructure for Contingent Claims
Parimutuel principles are widely used as an alternative to fixed odds gambling in which a bookmaker acts as a dealer by quoting fixed rates of return on specified wagers. A parimutuel game is conducted as a call auction in which odds are allowed to fluctuate during the betting period until the betting period is closed or the auction ‘called’. The prices or odds of wagers are set based upon the ...
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A parimutuel market microstructure for contingent claims trading is proposed and analyzed. A parimutuel microstructure is a call auction where relative equilibrium prices of contingent claims are endogenously determined using a specific mechanism. We propose a market microstructure incorporating parimutuel principles which provides for notional derivatives transactions, limit orders, and bundli...
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A general class, introduced in [5], of continuous time bond markets driven by a standard cylindrical Brownian motion W̄ in l2, is considered. We prove that there always exist non-hedgable random variables in the space D0 = ∩p≥1L and that D0 has a dense subset of attainable elements, if the volatility operator is non-degenerated a.e. Such results were proved in [1] and [2] in the case of a bond m...
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In an incomplete market framework, contingent claims are of particular interest since they improve the market efficiency. This paper addresses the problem of market completeness when trading in contingent claims is allowed. We extend recent results by Bajeux and Rochet (1996) in a stochastic volatility model to the case where the asset price and its volatility variations are correlated. We also...
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This paper examines the importance of methodology and market ecology when examining the extent to which a market is weak form efficient. Existing literature points to most markets being weak form efficient. However, it is argued here that this may be an artefact of the methodology employed in these studies and the fact that market ecology is often neglected when examining weak form efficiency. ...
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ژورنال
عنوان ژورنال: European Financial Management
سال: 2005
ISSN: 1354-7798,1468-036X
DOI: 10.1111/j.1354-7798.2005.00274.x