Publications related to Grey market

Predicting the stressed expected loss of large US banks

Eric Jondeau, Amir Hossein Khalilzadeh Naghneh

We develop a methodology to measure the expected loss of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the b ...

ELSEVIER2022

Optimization and equilibrium problems with discrete choice models

Stefano Bortolomiol

Many transportation markets are characterized by oligopolistic competition. In these markets customers, suppliers and regulators make decisions that are influenced by the preferences and the decisions of all other agents. In particular, capturing and under ...

EPFL2022

Informational frictions in financial markets

Erik Hapnes

This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource ...

EPFL2021

Price-based regulation of oligopolistic markets under discrete choice models of demand

Michel Bierlaire, Virginie Janine Camille Lurkin, Stefano Bortolomiol

We propose a framework to find optimal price-based policies to regulate markets characterized by oligopolistic competition and in which consumers make a discrete choice among a finite set of alternatives. The framework accommodates general discrete choice ...

2022

High-Frequency Jump Analysis of the Bitcoin Market

Christopher Trevisan, Adrien Treccani

We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identi ...

OXFORD UNIV PRESS2020

Trading mechanisms in over-the-counter markets

Sebastian Vogel

In the chapter ``When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?'' An equilibrium in a market is determined in which traders have the choice between using an electronic platform with a request-for-quote protocol or calling a dea ...

EPFL2020

Frictional Intermediation in Over-the-Counter Markets

Julien Hugonnier

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 ...

OXFORD UNIV PRESS2020

Managing inventory with proportional transaction costs

Semyon Malamud

We solve the problem of optimal inventory management for a CARA market-maker who faces proportional transaction costs and marking to market. Our model accommodates inventory shocks following an arbitrary compound Poisson process. We show that the no-tradin ...

SPRINGER HEIDELBERG2020

The Who, Where, What, How and When of Market Entry

Christopher Tucci

This introductory, along with the eight articles contained within this Special Issue, highlights and brings greater clarity to entrant-incumbent interactions and to firm movement - when entrants traverse market territories for the creation and/or delivery ...

WILEY2019

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

Competitive Pressure on the Rate and Scope of Innovation

Kenneth Younge

While executives play an important role in leading firm innovation, they may economize on efforts to innovate when protected from takeover threat. Middle managers may curtail the rate and scope of innovation when executives are expected to reduce their inn ...

2018

Einsatz von Nichtmarktstrategien durch oeffentliche Unternehmen gegenueber dem Staat : Untersuchung am Beispiel der Schweizerischen Post AG

Carole Juliane Isabelle Rentsch

Public enterprises operate in the area between the opposing poles of state and market. On the one hand they must meet a wide range of political expectations, and on the other they must fulfil commercial efficiency criteria. This dissertation addresses how ...

EPFL2017

Rental housing and the urban poor: understanding the growth and production of rental housing in Brazilian favelas

Jean-Claude Bolay

Rental housing is increasingly becoming the key shelter option for the poor living in and moving into cities, including those living in informal settlements. The paper revisits the production of rental housing in informal settlements within the new contour ...

2016

The Euro Interbank Repo Market

Loriano Mancini, Angelo Ranaldo

The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and compre ...

Oxford University Press2016

Informational Efficiency under Short Sale Constraints

Martin Larsson

A constrained informationally efficient market is defined as one in which the price process arises as the outcome of some equilibrium where agents face restrictions on trade. This paper investigates the case of short sale constraints, a setting which, desp ...

Siam Publications2015

Intermediation in a Sharing Economy: Insurance, Moral Hazard, and Rent Extraction

Thomas Alois Weber

Electronic intermediaries have become pervasive in sales transactions for many durables, such as cars, power tools, and apartments. Yet only recently have they successfully tackled the challenge of enabling parties to share such goods. A key impediment to ...

Routledge Journals, Taylor & Francis Ltd2014

Towards Integrated Land Use and Transportation: A Dynamic Disequilibrium based Microsimulation Framework for Built Space Markets

Bilal Farooq

Investigating the factors and processes that influence the spatiotemporal distribution of built space and population in an urban area, plays an extremely important role in our greater understanding of the urban travel behaviour. Existing location of activi ...

2012

Discrete choice and microsimulation methods for agent-based land use modeling

Ricardo Daniel Hurtubia González

This thesis describes methods to model the land use component of an urban system. Specifi- cally, it proposes methods to model and simulate the location choice of agents (households or firms) and the formation of prices for real estate goods in a city. The ...

EPFL2012

Do Firms Know the Scope of their R&D Network? An Empirical Investigation of the Determinants of Network Awareness on French Survey Data

Stéphane Lhuillery

Although research and development (R&D) networks influence the innovation performance of their members, firms may not be fully aware of the scope of their network. In particular, due to cost reasons, they may not be fully informed of their “indirect ties”, ...

Taylor & Francis2011

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