Microstructure models of foreign exchange markets emphasize two different channels of pressure in pricing dynamics; these are inventory and asymmetric information effects. Past empirical studies for foreign exchange markets have found evidence supporting the existence of both effects in the Dollar/DM market. This paper tests for the presence of within sample variation in the intensity of these ...

In this paper we consider several parametric assumptions for the instantaneous covariance structure of the Libor market model. We examine the impact of each different parameterization on the evolution of the term structure of volatilities in time, on terminal correlations and on the joint calibration to the caps and swaptions markets. We present a number of cases of calibration in the Euro mark...

Do credit market conditions affect corporate capital structures? In an attempt to answer this question, I study two natural experiments that affect corporate access to bank credit: the 1961 expansion of bank credit due to the emergence of the market for CDs, and the contraction associated with the 1966 credit crunch. I document several capital structure reactions to these changes in credit mark...

The stock markets from Post Communist East-European Countries are still considered highly speculative. For this reason, the previously performed tests often infirmed the efficient market hypothesis. However, especially in the past years, different studies revealed an improvement in the level of efficiency. In this context, our paper has tested the predictability of returns based on past records...

The purpose of this study is to develop market segmentation of the USA fixed-line and wireless phone service sectors. In order to better understand user perceptions and behaviors when using these services, market segmentation techniques serve as an essential tool that may be utilized by marketers, strategists, managers, and other decision makers. In this paper, two datasets based on survey resu...

This thesis develops and analyzes an algorithm to compute equilibrium prices for a Fisher market in which the buyer utilities are given by spending constraint functions, utility functions originally defined by Devanur and Vazirani [5]. Vazirani gave a weakly polynomial time algorithm to compute the equilibrium prices [10]. More recently Végh gave a strongly polynomial algorithm [11]. Here we pr...

We survey the recent literature on the use of spot market operations to manage procurement in supply chains. We present results in two categories: work that deals with optimal procurement strategies and work related to the valuation of procurement contracts. As an example of the latter, we provide new results on valuation of a supply contract with abandonment option. Based on our review, we als...

The development of new electronic markets is challenging, since many factors influence the market outcomes and hence the markets’ success. Even worse, a fundamental lesson learned from economics is that details matter: small changes in market design can have a significant impact on the market participant’s behaviors and thus on the achieved outcomes. Consequently a well structured process for d...

The purpose of this paper is to develop a simple dynamic model to analyze researchers' interest in answering questions for an online question and answer (Q&A) knowledge market. With use of a System Dynamics model, an online knowledge market can be modeled as a marketplace where consumers ask and researchers answer questions to make knowledge transactions. In this market, consumers price their q...

Teleology comes from the Greek term telos, in English purpose. According to Aristotle, each object has a final purpose for its being. Human knowledge is also associated with such a purpose. The teleological analysis of knowledge management processes and knowledge types is a new approach to mapping organizational knowledge, especially in academic environment. In this paper, we show advantages of...