Results 201 to 210 of about 1,447,771 (359)
The Case of Fleeting Orders and Flickering Quotes
Journal of Futures Markets, EarlyView.ABSTRACT The literature controversially discusses the ambiguous motives and driving forces behind quickly cancelled limit orders (fleeting orders), which are characteristic of high‐frequency markets. In particular, manipulative and dysfunctional characteristics are feared. We analyze top‐of‐book fleeting orders—so‐called flickering quotes—and show with
Markus Ulze +2 more
wiley +1 more source
Risk Taking with Additive and Multiplicative Background Risks [PDF]
We examine the effects of background risks on optimal portfolio choice. Examples of background risks include uncertain labor income, uncertainty about the terminal value of fixed assets such as housing and uncertainty about future tax liabilities.
Günter Franke +2 more
core
The Dollar's Double Life: Not All Dollar Appreciations Are Born Equal for the Cross‐Currency Basis
Journal of Futures Markets, EarlyView.ABSTRACT This paper revisits the relationship between the US dollar and cross‐currency basis (XCB) swap spreads. We show that the strength and direction of this relationship depend on the prevailing regime of the broad dollar. The evidence suggests that the well‐documented “dollar appreciates, basis widens” result holds primarily when the dollar is in ...
Daniel Felix Ahelegbey +2 more
wiley +1 more source
Recursive Smooth Ambiguity Preferences [PDF]
This paper axiomatizes an intertemporal version of the Smooth Ambiguity decision model developed in Klibanoff, Marinacci, and Mukerji (2005). A key feature of the model is that it achieves a separation between ambiguity, identified as a characteristic of
Massimo Marinacci +2 more
core
Oil Futures Prices, Inflation Expectations, and Bond Risk Premiums
Journal of Futures Markets, EarlyView.ABSTRACT By decomposing West Texas Intermediate futures price changes into structural supply and demand shocks, this paper shows that dissecting the oil price significantly improves inflation forecasts. Empirically, demand‐driven shocks predict a negative real bond risk premium but a positive inflation risk premium; these opposing effects result in an ...
Haibo Jiang
wiley +1 more source
Rejecting Small Gambles Under Expected Utility [PDF]
This paper contributes to an important recent debate around expected utility and risk aversion. Rejecting a gamble over a given range of wealth levels imposes a lower bound on risk aversion.
Ignacio Palacios-Huerta +2 more
core
Impact of Price–Quantity Uncertainties and Risk Aversion on Energy Retailer’s Pricing and Hedging Behaviors [PDF]
, 2019 Haitao Xiang +3 more
openalex +1 more source
Asymmetric Information With Multiple Risks: The Case of the Chilean Private Health Insurance Market
Health Economics, EarlyView.ABSTRACT We extend the Rothshild and Stiglitz (1976) model to two sources of risk –inpatient and outpatient risk– to better proxy real‐world health insurance markets. We uncover an interesting theoretical possibility: Take individuals A and B, who are low risks in, say, the inpatient dimension but A is riskier in the outpatient dimension.
Dolores de la Mata +3 more
wiley +1 more source
Uncertainty aversion and equilibrium in extensive games. [PDF]
This paper formulates a rationality concept for extensive games in which deviations from rational play are interpreted as evidence of irrationality.
Rothe, Jorn
core +1 more source
Uncertainty, Bewilderment Aversion, and the Problem of Physician Suicide
Elizabeth Bromley
openalex +1 more source