… Biais, Hillion, and Spatt gratefully acknowledge the financial support of the Institute for … Biais,
Hillion, and Spatt gratefully acknowledge the financial support of the Institute for Quantitative …

Statistical model selection criteria provide an informed choice of the model with best external
(ie, out-of-sample) validity. Therefore they guard against overfitting (“data snooping”). We …

… This is the way of functioning of the stock exchanges’’ (1874, p. 48).The present paper …
The p-values are 6 percent for the 9:40–9:50 period and 3 percent for the 9:30–9:40 period. …

We analyze the introduction of a nonredundant option, which completes the markets, and
the effects of this on information revelation and risk sharing. The option alters the interaction …

… A period t trader's objective is to maximize his expected utility (3.2) by choosing his demand
schedule for the risky asset, z t (P:P=P t ), conditional on his period t information set, Ω t . …

… equal to P s , with P 0 ⩾P s ⩾P m . Under the assumption that the reference price is equal
to the current stock price, the reference price is P m and the conversion price is equal to P c =…

… Formally, if p i c is the price of asset i measured in the reference currency c, then the nominal
rate of return on the asset is described by the following expression:(1) R i c d t≡ d p i c p i c …

We examine the relative importance of country, industry, world market and currency risk
factors for international stock returns. Our approach focuses on testing the mean-variance …

An asymmetric information model of the bid–ask spread is developed for a foreign
exchange market subject to occasional government interventions. Traditional tests of the …

The Bateman transformations which generate many new solutions from a particular solution
of the scalar wave equation in a homogeneous medium are discussed. The Bateman …