We theoretically model and empirically quantify the feedback effect of delta hedging for spot market volatility forex market. start from an economy with two types traders, aggregated option maker (OMM) taker (OMT), whose exposures reflect total outstanding positions all traders in A different hedge ratio OMM OMT leads to a net activity, which introduces friction. represent this friction by simp...

Job Market Signaling and Employer Learning This paper extends the job market signaling model of Spence (1973) by allowing firms to learn the ability of their employees over time. Contrary to the model without employer learning, we find that the Intuitive Criterion does not always select a unique separating equilibrium. When the Intuitive Criterion bites and information is purely asymmetric, the...

This study extends from Liu and Mei (1992) by further investigation of assets, real estate related securities, which includes both equity and mortgage real estate investment trusts (REITs), the stocks of builderand owner-companies, and mortgagebacked securities (MBSs). There are five major findings. First, expected excess returns of real estate related securities are more predictable than the e...

Basmati rice is preferred internationally because of its appealing taste, mouth feel and aroma. Pusa Basmati 1121 (PB1121) is a widely grown variety known for its excellent grain and cooking quality in the international and domestic market. It contributes approximately USD 3 billion to India's forex earning annually by being the most traded variety. However, PB1121 is highly susceptible to bact...

We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive macroscopic equations based on the microscopic herding interactions of agents and find that they are able to reproduce various stylized facts of different mar...

The Efficient Market Hypothesis (EMH) is widely accepted to hold true under certain assumptions. One of its implications is that the prediction of stock prices at least in the short run cannot outperform the random walk model. Yet, recently many studies stressing the psychological and social dimension of financial behavior have challenged the validity of the EMH. Towards this aim, over the last...

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