Trade using assets divisible at a cost
نویسندگان
چکیده
منابع مشابه
Modelling trade-by-trade price movements of multiple assets using multivariate compound Poisson processes
In this paper we extend Rydberg-Shephard’s activity, direction and size decomposition of trade-by-trade price movements to the multivariate case. We illustrate our ideas using a bivariate modelling problem — modelling the evolution of the prices of Ford and GM shares. Throughout we use the continuous record of trades made in the first five months of 1997 on the New York Stock Exchange (NYSE).
متن کاملTest cost and misclassification cost trade-off using reframing
Many solutions to cost-sensitive classification (and regression) rely on some or all of the following assumptions: we have complete knowledge about the cost context at training time, we can easily re-train whenever the cost context changes, and we have technique-specific methods (such as cost-sensitive decision trees) that can take advantage of that information. In this paper we address the pro...
متن کاملA Multi-Mode Resource-Constrained Optimization of Time-Cost Trade-off Problems in Project Scheduling Using a Genetic Algorithm
In this paper, we present a genetic algorithm (GA) for optimization of a multi-mode resource constrained time cost trade off (MRCTCT) problem. The proposed GA, each activity has several operational modes and each mode identifies a possible executive time and cost of the activity. Beyond earlier studies on time-cost trade-off problem, in MRCTCT problem, resource requirements of each execution mo...
متن کاملTitle EQUILIBRIUM IN A MARKET WITH DIVISIBLE AND INDIVISIBLE RISKY ASSETS
This study extends the classic Capital Asset Pricing Model (CAPM) by relaxing the assumptions that all assets are perfectly divisible and liquid, and that investors face the same set of investment opportunities. It is assumed that investors can invest in two types of assets: perfectly divisible, and perfectly indivisible (or discrete). Also, investors may face different sets of investment oppor...
متن کاملPairwise trade and coexistence of money and higher-return assets
A new theory of coexistence of money and higher-return assets is set out. It applies to any setting in which some trade involves an exchange of goods for assets and occurs between two people–a buyer and a seller. We show that there exists a function mapping the portfolios of the buyer and the seller to the trade that occurs such that (i) the trade is in the buyer-seller core and (ii) some peopl...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Economic Theory
سال: 1987
ISSN: 0022-0531
DOI: 10.1016/0022-0531(87)90059-7