搜索结果: 1-15 共查到“经济学 spread”相关记录17条 . 查询时间(0.046 秒)
Trade and Geography in the Origins and Spread of Islam
Geography Religion Trade
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2015/4/28
This study examines the spatial distribution of Muslim societies shedding light on its geographic origins. The empirical analysis conducted across countries, virtual countries, and ethnicities establi...
Trade and Geography in the Origins and Spread of Islam
Geography Religion Trade
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2015/4/27
This study examines the spatial distribution of Muslim societies shedding light on its geographic origins. The empirical analysis conducted across countries, virtual countries, and ethnicities establi...
A Dynamic Theory of Fidelity Networks with an Application to the Spread of HIV/AIDS
Fidelity networks female discrimination stochastic stability HIV/AIDS union formation
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2014/12/26
We study the dynamic stability of (in)Ödelity networks, which are networks that form in a mating system of agents of two types (say men and women), where each agent desires direct links with oppo...
Large tick assets: implicit spread and optimal tick size
Microstructure of nancial markets high frequency data large tick assets implicit spread market making limit orders market orders optimal tick size.
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2012/9/14
In this work, we bring to light a quantity, referred to as implicit spread, playing the role of spread for large tick assets, for which the e ective spread is almost always equal to one tick. The rele...
The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels
Valuation of Clean Spread Options Linking Electricity Emissions Fuels Pricing of Securities
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2012/6/4
The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The nove...
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS:: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
contingent credit default swaps copula functions Counterparty risk Credit Default Swaps
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2011/8/30
We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation between default of the counterparty and default of the CDS reference credit. Our approach is innovative in that,...
On Credit-Spread Slopes and Predicting Bank Risk
constructing credit-spread curves credit-spread slopes bank risk
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2011/8/28
We examine whether bank credit-spread curves, engendered by subordinated debt, would help predict bank risk. We extract credit-spread curves for each bank each quarter and analyze the predictive prope...
Collateral Spread and Financial Development
financial development collateral spread acceptable collateral stronger institutions
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2011/8/21
We show that institutions that promote financial development ease borrowing constraints by lowering the collateral spread and shifting the composition of acceptable collateral towards firm-specific as...
"Market making" behaviour in an order book model and its impact on the bid-ask spread
Market making behaviour order book model impact bid-ask spread
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2010/10/19
It has been suggested that marked point processes might be good candidates for the modelling of financial high-frequency data. A special class of point processes, Hawkes processes, has been the subje...
GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries
GDP Deviations Yield Spread E.U. Countries
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2010/10/20
Several studies have established the predictive power of the yield curve in terms of real economic activity. In this paper we use data for a variety of E.U. countries: both EMU (Germany, France, Italy...
A Fourier transform method for spread option pricing
Spread options multivariate spread options jump-diffusions fast Fourier transform gamma function
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2010/10/29
Spread options are a fundamental class of derivative contract written on multiple assets,
and are widely used in a range of financial markets. There is a long history of approximation
methods for co...
The Spread of the Credit Crisis: View from a Stock Correlation Network
networks econophysics equities stock market correlation credit crisis
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2010/10/29
The credit crisis roiling the world’s financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however,demons...
Professionalization and the Spread of Marginalist Economics in the United States
J. B. Clark I. Fisher professionalization of economics
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2010/12/7
This paper examines the manner in which the professionalization of economics in the United States, which intensified in the late nineteenth century, affected the spread of marginal economics. Focusing...
Response of double-auction markets to instantaneous Selling-Buying signals with stochastic Bid-Ask spread
double-auction markets stochastic Bid-Ask spread
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2010/12/13
Statistical properties of double-auction markets with Bid-Ask spread in market order are investigated through the response function. We first attempt to utilize the so-called Madhavan-Richardson-Room...
BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
Markovian Bivariate Spread-Loss Model Portfolio Credit Derivatives
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2010/10/29
BSLP is a two-dimensional dynamic model of interacting portfolio-level loss and loss intensity
processes. It is constructed as a Markovian, short-rate intensity model, which facilitates fast lattice ...