Articles

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

B. BIAIS, P. HILLION, C. SPATT

The Journal of Finance

décembre 1995, vol. 50, n°5, pp.1655-1689

Départements : Finance


As a centralized, computerized, limit order market, the Paris Bourse is particularly appropriate for studying the interaction between the order book and order flow. Descriptive methods capture the richness of the data and distinctive aspects of the market structure. Order flow is concentrated near the quote, while the depth of the book is somewhat larger at nearby valuations. We analyze the supply and demand of liquidity. For example, thin books elicit orders and thick books result in trades. To gain price and time priority, investors quickly place orders within the quotes when the depth at the quotes or the spread is large. Consistent with information effects, downward (upward) shifts in both bid and ask quotes occur after large sales (purchases)

Arbitrage Trading and Index Option Trading at Soffex: an Empirical Study Using Daily and Intradaily Data

R. Gibson, H. Loubergé, M. CHESNEY

Finanzmarkt und Portfolio Management, Bern

1995

Départements : Finance


Control Modes in International Service Operations: The Propensity to Franchise

L. JACQUE

Management Science

juillet-août 1995

Départements : Finance


Estimating the Instantaneous Volatility and Covariance of Risky Assets

R. Elliott, M. CHESNEY

Applied Stochastic Models and Data Analysis

1995, vol. 11, pp.51-58

Départements : Finance


Generic Existence of Competitive Equilibria When the Asset Market is Incomplete: A Symmetric Argument

P. Siconolfi, H. M. POLEMARCHAKIS

Economic Theory

1995, n°5

Départements : Finance


Global Optimization for Swiss Pension Funds

O. Odier, B. SOLNIK, S. Zucchinetti

Finanzmarkt und Portfolio Management, Bern

9 janvier 1995, n°2, pp.210-231

Départements : Finance


Is the Correlation in International Equity Returns Constant: 1960-1990 ?

F. Longin, B. SOLNIK

Journal of International Money and Finance

février 1995, vol. 14, n°1, pp.3-26

Départements : Finance


We study the correlation of monthly excess returns for seven major countries over the period 1960-90. We find that the international covariance and correlation matrices are unstable over time. A multivariate GARCH(1,1) model with constant conditional correlation helps to capture some of the evolution in the conditional covariance structure. However tests of specific deviations lead to a rejection of the hypothesis of a constant conditional correlation. An explicit modelling of the conditional correlation indicates an increase of the international correlation between markets over the past thirty years. We also find that the correlation rises in periods of high volatility. There is some preliminary evidence that economic variables such as the dividend yield and interest rates contain information about future volatility and correlation that is not contained in past returns alone

La structure financière des entreprises : une investigation empirique sur données françaises

B. BIAIS, P. HILLION, J-F. MALECOT

Économie & prévision

1995, vol. 120, n°4, pp.15-28

Départements : Finance


Cet article propose un test empirique, dans le cas de la France, de différentes théories de la structure financière des entreprises. Une originalité de notre spécificaton est que nous considérons deux variables endogènes : la dette bancaire et le crédit fournisseur, dans un modèle d'équations simultanées. Le recours au crédit fournisseur est plus important pour les entreprises de petite taille, le recours à la dette bancaire est plus important pour les entreprises moyennes. En accord avec les théories mettant l'accent sur les asymétries d'information entre prêteurs et emprunteurs, l'endettement est croissant avec les actifs immobilisés

Le marché obligataire de l'eurofranc

B. Barache, B. MAROIS

Revue Banque

juillet-août 1995, n°561, pp.70-72

Départements : Finance


Modèles d'évaluation des entreprises et modèles stratégiques

D. PENE

Analyse Financière

1995, n°hors série, pp.178-185

Départements : Finance



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