Articles

A Case Study in Securization: Value Creation in the Chargeurs Wool December 1998 Issue

A. HYAFIL

The Securitization Conduit

1999, vol. 2, n°4

Départements : Finance


Proceedings of the Conference on Financial Innovations and the Welfare of Nations, The Fletcher School

Book Review : Asia Falling: Making Sense of the Asian Currency Crisis and its Aftermath, Callum Henderson

J. OLIVIER

Asia-Pacific Journal of Management

avril 1999, vol. 16, n°1, pp.173-175

Départements : Finance, GREGHEC (CNRS)


Choisir son Organisation dans un Environnement Instable : une Perspective Macro-économique

M. Thoenig, D. THESMAR

Revue Economique

mai 1999

Départements : Finance, GREGHEC (CNRS)


Comparaison de méthodes d'extraction d'information à partir d'options de change : le cas du Franc-Deutschemark

E. Jondeau, M. ROCKINGER

Finance

juin 1999, vol. 20, n°1, pp.23-60

Départements : Finance


Convergence of aspirations and (partial) cooperation in the prisoner's dilemma

F. Vega Redondo, F. PALOMINO

International Journal of Game Theory

1999, vol. 28, n°4, pp.465-488

Départements : Finance


This paper proposes an aspiration-based dynamic model for cooperation where a large population of agents are matched afresh every period to playa Prisoner's Dilemma. At each point in time, agents hold a common aspiration level which is updated on the basis of some "population statistic". i.e. a certain scalar summary (e.g. average payoff) associated to the current state. On the other hand, those agents who feel "dissatisfied" (relative to-current aspiration) switch actions at a rate which is increasing in the magnitude:of the dissatisfaction. The resulting process is shown to converge in the long run under quite general conditions. Moreover, if agents are responsive enough, the long-run social state displays some extent of cooperation, with a constant positive fraction of the population (always less than half) choosing to cooperate in every period.

Default Risk in Asset Pricing

P. MELLA-BARRAL, P. Tychon

Finance

1999, vol. 20, n°1

Départements : Finance


Earnings Management to Exceed Thresholds

J. Patel, F. DEGEORGE, R. Zeckhauser

Journal of Business

janvier 1999, vol. 72, n°1, pp.1-33

Départements : Finance


Immigration, Unemployment and Welfare

M. CHESNEY, B. Hazari, P. Sgro

Columbia Journal of World Business

été 1999, vol. 13, n°2, pp.59-74

Départements : Finance


Le rachat d'actions : un instrument de gestion des capitaux propres

B. MAROIS

La Revue du Financier

1999, n°121, pp.2-5

Départements : Finance


Minimum Price Variations, Time Priority and Quote Dynamics

T. Cordella, T. FOUCAULT

Journal of Financial Intermediation

1999, n°8, pp.141-173

Départements : Finance, GREGHEC (CNRS)


We analyze price competition between dealers in a security market where the bidding process is sequential. The model provides an interpretation for the evolution of the best ash and bid prices, in between transactions. We find that convergence to the competitive ask and bid prices can take time. The speed of convergence is determined by the frequency with which dealers check their offers and by the rick size. This creates a relationship between the exceed trading cost and the timing of offers posted by the dealers. We also find that a zero minimum price variation never minimizes the expected trading cost. Finally, we study the role of time priority.


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