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Ebooks (Sách điện tử)

Liquidity, Markets and Trading in Action: An Interdisciplinary Perspective

Authors : Ozenbas, Deniz (2022)

This book addresses four standard business school subjects: microeconomics, finance, macroeconomics, and information systems as they relate to trading, liquidity, transaction costs, and market structure. It also presents an interactive simulation model of equity market trading. What does our treatment of these different subjects have in common? In each, we consider the impact of trading costs and other impediments (that we call “frictions”) on&...

Journal article

Price formation and optimal trading in intraday electricity markets with a major player

Authors : Olivier, Féron (2020)

We study price formation in intraday electricity markets in the presence of intermittent renewable generation. We consider the setting where a major producer may interact strategically with a large number of small producers. Using stochastic control theory, we identify the optimal strategies of agents with market impact and exhibit the Nash equilibrium in a closed form in the asymptotic framework of mean field games with a major p...