Trading mechanisms in over-the-counter markets

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Traditional competitive markets do not account for negative externalities; indirect costs that some participants impose on others, such as the cost of over-appropriating a common-pool resource (which diminishes future stock, and thus harvest, for everyone) ...

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Despite regulatory efforts to promote all-to-all trading, the post-Dodd-Frank index credit default swap market remains two-tiered. Transaction costs are higher for dealer-to-client than interdealer trades, but the difference is explained by the higher, lar ...

We extend Duffie et al.'s (2005) search-theoretic model of over-the-counter (OTC) asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers' valuations (or, equivalently, inventory costs). We develop a solution ...

We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...

Central to the aims of the Paris Agreement, a multilateral coordinated action through integrated carbon markets has been a practical bottom up option for effective and efficient mitigation. This paper quantifies the welfare effects of potential integration ...

A financial data analysis using the time series method has been performed. At the same time a correct interpretation of daily exchange rates fluctuations, for Eur foreign currencies is presented. The fractal dimension evaluation has been performed using th ...

We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and VWAP slippage ...

Trading mechanisms in over-the-counter markets

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Are green bonds priced lower than their conventional peers?

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