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Testing the Markov property with ultra high frequency financial data
(Fundação Getulio Vargas, 2001-03-01)
This paper develops a framework to test whether discrete-valued irregularly-spaced financial transactions data follow a subordinated Markov process. For that purpose, we consider a specific optional sampling in which a ...
Proyecto regional de interconexión eléctrica del Istmo Centroamericano: actualización de los estudios de mercado: informe final
(Montreal Engineering Company, Limited, 2015)
Calidad de mercado y reformas al sistema transaccional. El Caso de X-Stream en el Mercado accionario colombiano
(Universidad EAFITEscuela de Economía y Finanzas, 2013-03-15)
We estimate the effect of the new trading system, X-Stream, on the market quality of the Colombian Stock Exchange on February 2009. We test the effect on liquidity measures (bid-ask margin and price impact), daily and ...
Medidas intradiarias de liquidez y de costos de transacción asociados en la Bolsa de Valores de Colombia
(Universidad EAFITEscuela de Economía y Finanzas, 2011-12-15)
The two main transaction costs associated to liquidity on a exchange are the bid-ask spread
and the price impact. The former measure is deemed relevant only for small transactions,
whereas the second is relevant for ...
The deterrence effect of linear versus convex penalties in environmental policy: laboratory evidence
(Universidad de Montevideo, Facultad de Ciencias Empresariales y Economía, Departamento de Economía, 2017)
We study the individual compliance behavior of polluting firms in an experimental setting under two different penalty functions (a linear and a strictly convex) and two different regulatory ...
Noticias de la CEPAL Año 1967 N° 7
(CEPAL, 2015)