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 ...

In this paper, we conduct an analysis of the implications of capital controls for financial stability. We study a financial transaction (Tobin) tax applicable to cross-border capital flows in a multi-good, multi-country dynamic equilibrium model with incomplete financial markets and heterogeneous agents. The results derived from the model suggest that the impact of capital controls may vary con...

* This article is a revised version of a lecture that was delivered to the Canadian Bankers Association in December 2003. apital markets and their related financial instruments make an important contribution to the welfare of Canadians. Canada’s equity, bond, foreign exchange, and derivative markets allow households to channel their savings to the productive investments of firms and governments...

I review empirical research on the relation between capital markets and financial statements. The principal sources of demand for capital markets research in accounting are fundamental analysis and valuation, tests of market efficiency, and the role of accounting numbers in contracts and the political process. The capital markets research topics of current interest to researchers include tests ...

Using the concept of a copula, this paper shows how to estimate association across financial markets, with a focus on the structure of dependence rather than the degree of dependence. A mixed copula model is constructed so that it can capture various patterns of dependence structures. An inferential apparatus for this approach is developed and the methodology is applied to estimate the dependen...

This paper presents three tests of contagion of the US subprime crisis to the European markets of the NYSE-Euronext group. Copula models are used to analyse dependence structures between the US’s and the other markets in the sample, in the pre-crisis and in the subprime crisis periods. The first test assesses the existence of contagion on the relevant markets’ indices, the second checks the hom...

Given the advent and spread of carbon assets, as well as the rapid development of financial markets and transactions related with them, this paper intends to achieve the objective of categorizing these phenomena and describing their main characteristics, in such a way that it can be used as a reference by those professionals and scholars who are interested in the fighting climate change through...

A number of financial market analysts have argued that the aging of the “Baby Boom” cohort contributed to the rise U.S. asset values during the 1990s, and that asset prices will decline when this group reaches retirement age and begins to draw down its wealth. Similar arguments can be raised for other nations that face analogous demographic transitions over the next half century. This paper exp...

The option markets offer a very interesting example of the adaptation of a population (the traders) to a complex environment, through trial and errors and natural selection (unefficent traders disappear quickly). The problem is the following: an ‘option’ is an insurance contract protecting its owner against the rise (or fall) of financial assets, such as stocks, currencies, etc. The problem of ...