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Testing for Market Efficiency with Transactions Costs: An Application to Convergence Bidding in Wholesale Electricity Markets
Market Efficiency Transactions Cost
2015/7/31
With risk neutral traders and zero transactions costs, the expected value of the
di erence between the current forward price and the spot price of a commodity at the
delivery date of the forward con...
Symmetric Treatment of Load and Generation: A Necessary Condition for Demand Response to Benefit Wholesale Market Efficiency and Manage Market Efficiency and Manage Intermittency
Load and Generation Manage Intermittency
2015/7/31
Outline of Talk • Dynamic Pricing
versus
Time-of-Use Pricing
• Symmetric treatment of load and generation
• A necessary condition for realizing
the benefits of dynamic pricin...
华中科技大学投资学课件Chapter11 Market Efficiency。
Measuring capital market efficiency: Global and local correlations structure
capital market eciency long-range dependence short-range dependence fractal dimension
2012/9/14
We introduce a new measure for the capital market eciency. The measure takes into considera-tion the correlation structure of the returns (long-term and short-term memory) and local herding behavior ...
Capital Market Efficiency and the Effects of Dividend Announcements on Share Prices in Nigeria
efficient market price adjustments stock market available information
2011/9/12
An efficient market is one in which prices fully reflect available information. An implication of an efficient market is that no excess returns can be made from this information because current prices...
Market efficiency, anticipation and the formation of bubbles-crashes
renormalization group sociophysics opinion dynamic finance
2011/7/5
A dynamical model is introduced for the formation of a bullish or
bearish trends driving an asset price in a given market. Initially, each
agent decides to buy or sell according to its personal opin...
Market efficiency, anticipation and the formation of bubbles-crashes
renormalization group, sociophysics, opinion dynamic, finance
2011/8/31
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinio...
We propose to study market efficiency from a computational viewpoint. Borrowing from
theoretical computer science, we define a market to be efficient with respect to resources S
(e.g., time, memory)...
U.S. Mergers and Acquisitions: A Test of Market Efficiency
Mergers Acquisitions Market Efficiency Strong Semi-Strong Weak
2010/10/18
The purpose of this study is to test market efficiency with respect to merger and
acquisition announcements using standard event study methodology. Specifically, this study
analyzes the effects of U...
Increasing Returns and Market Efficiency in Agricultural Trade
returns market efficiency agriculture trade
2009/4/28
Using detailed trader surveys in Benin, Madagascar, and Malawi, this paper
investigates the presence of increasing returns in agricultural trade. After analyzing
margins, costs, and value added, w...
CAPITAL CONTROLS: MUD IN THE WHEELS OF MARKET EFFICIENCY
CAPITAL CONTROLS MARKET EFFICIENCY capital account
2008/11/6
In the early and mid-1990s, most economists and policymakers
supported rapid capital account liberalization for emerging markets.
Liberalization was expected to have widespread benefits. It was pred...
Labor Market Efficiency, Wages and Employment when Search Frictions Interact with Intrafirm Bargaining
Unemployment wage bargaining matching
2013/10/18
In search of a macroeconomic theory of wage determination, the agnostic reader should be puzzled by the apparent contradiction between two influential theories. On one hand, in the standard search-mat...