Information systems have revolutionized the nature of markets. Traditionally, markets inherently comprised the strategic interaction of human traders only. Nowadays, however, automated trading agents are responsible for at least 60% of the US trading volume on financial stock markets. In this respect, financial markets of the 21st century are different to markets of previous centuries. Fuelled ...

Financial crises, like Asian financial crisis in 1997 and credit crunch from USA in 2007, have huge influence worldwide. For the importance and uniqueness of China’s stock market, it is interesting and attractive to research it under influence of financial crises. The purpose for this research is to find out the influence of financial crises on Chinese stock market and focus on efficiency front...

To many a casual observer, nancial markets look chaotic. Prices often change erratically, and large, unpredictable price swings are not uncommon. Why is this? Does this re ect the irrational side of human behavior, as is often suggested? Is this the e ect of the invisible hand of the addicted gambler? Already in 1688, Jos e de la Vega described the Amsterdam Stock Exchange as a \confusi on de c...

Recent studies have shown that the dynamics of firms (growth, job reallocation and exit) are negatively correlated with the initial size of the firm and its age. In this paper we analyze whether financial factors, in addition to technological differences, are important in generating these dynamics. We introduce financial market frictions in a basic model of industry dynamics with persistent sho...

Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient methods to predict these events have been disappointing. However, the quest for a robust estimator of the degree of the market efficiency, or even, a crisis predi...

We develop a model of bidding markets with financial constraints a la Che and Gale (1998b) in which two firms optimally choose their budgets. First, we provide an alternative explanation for the dispersion of markups and “money left on the table” across procurement auctions. Interestingly, this explanation does not hinge on significant private information but on differences, both endogenous and...

This paper shows that the type of production technology, specifically whether it exhibits decreasing returns to scale in capital, is an important factor in evaluating the welfare gain from liberalizing financial markets, and hence the optimal financial structure for a country. As financial markets become completely liberalized, countries gain from a better capital allocation as a result of impr...

We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investments alternatives: a stock and a bond. The model is derived starting from the Levy-Levy-Solomon microscopic model [13, 14] using the methods of kinetic theory and consists of a linear Boltzmann equation for the wealth distribution of the agents coupl...

The complexity, unpredictability and evolving nature of financial markets continues to provide an enormous challenge to mathematicians, engineers and economists to identify, analyze and quantify the issues and risks they pose. This has led to problems in stochastic analysis, simulation, differential equations, statistics and big data, and stochastic control and optimization (including dynamic g...

High-frequency trading (HFT) practices in the global financial markets involve the use of information and communication technologies (ICT), especially the capabilities of high-speed networks, rapid computation, and algorithmic detection of changing information and prices that create opportunities for computers to effect low-latency trades that can be accomplished in milliseconds. HFT practices ...