Rozprawy doktorskie: „Markets”

1

Löbler, Helge, Hans Kjellberg, Kaj Storbacka, Melissa Akaka, Jennifer Chandler, John Finch, Sara Lindeman, Katy Mason, Janet McColl-Kennedy i Suvi Nenonen. "Market futures, future markets". Universitätsbibliothek Leipzig, 2017. http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-218378.

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What do marketing scholars need to know about markets? The quote above places markets at the heart of marketing theory. Yet many commentators have lamented the scant attention paid to markets in marketing and argued for the need to better understand this central facet of the subject (Araujo et al., 2008; Vargo, 2007; Venkatesh et al., 2006). We share this view and outline issues and research opportunities against the backdrop of recent contributions proposing a practice approach to markets (Araujo et al., 2010; Kjellberg and Helgesson, 2007; Storbacka and Nenonen, 2011; Vargo and Lusch, 2011). A central tenet in this tradition is the idea that working markets are always in the making; that they are the continuous results of market practices. Paraphrasing Vargo and Lusch (2004): markets are not, they become. In this process of becoming, markets take on multiple forms as a result of practical efforts by many different actors to shape economic exchanges, establish rules for their performance, and represent such exchanges as markets. The observation that economic theories (including marketing) contribute to shape markets by influencing these practical efforts (Callon, 1998) introduces a complication in our study of markets and presents a reflexive challenge for marketers studying the shaping of markets.

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2

Löbler, Helge, Hans Kjellberg, Kaj Storbacka, Melissa Akaka, Jennifer Chandler, John Finch, Sara Lindeman, Katy Mason, Janet McColl-Kennedy i Suvi Nenonen. "Market futures, future markets: research directions in the study of markets". Sage, 2012. https://ul.qucosa.de/id/qucosa%3A15286.

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What do marketing scholars need to know about markets? The quote above places markets at the heart of marketing theory. Yet many commentators have lamented the scant attention paid to markets in marketing and argued for the need to better understand this central facet of the subject (Araujo et al., 2008; Vargo, 2007; Venkatesh et al., 2006). We share this view and outline issues and research opportunities against the backdrop of recent contributions proposing a practice approach to markets (Araujo et al., 2010; Kjellberg and Helgesson, 2007; Storbacka and Nenonen, 2011; Vargo and Lusch, 2011). A central tenet in this tradition is the idea that working markets are always in the making; that they are the continuous results of market practices. Paraphrasing Vargo and Lusch (2004): markets are not, they become. In this process of becoming, markets take on multiple forms as a result of practical efforts by many different actors to shape economic exchanges, establish rules for their performance, and represent such exchanges as markets. The observation that economic theories (including marketing) contribute to shape markets by influencing these practical efforts (Callon, 1998) introduces a complication in our study of markets and presents a reflexive challenge for marketers studying the shaping of markets.

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3

Børter, Martin. "Market Risk in Turbulent Markets". Thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2009. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-9871.

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In this thesis we study market risk in turbulent markets over different risk horizons. We construct portfolios which represent possible investments for a life assurance fund. The portfolios consist of equities, fixed income instruments, cash positions and interest rate derivatives. Today, the most commonly used metrics for market risk are Value-at-Risk (VaR) and Expected Shortfall (ES), and they will be central. We introduce necessary theory from quantitative finance related to asset price dynamics and security pricing. Further, interest rate related instruments are handled by the LIBOR Market Model (LMM), while equity prices are modeled as geometric Brownian motions. We use implied volatilities for instruments where they are available, and historical for the rest. We implement a risk model and make daily and quarterly market risk estimates between 2000-2008 for the portfolios. We choose some central events from the last quarter of 2008, a critical phase of the ongoing financial crisis, and analyze how the portfolios and the corresponding risk estimates are affected. Comparison of the portfolio losses against risk estimates allows us to evaluate the reliability of the broadly adopted model.

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4

Lorusso, Valentina. "Market making and dealer markets". Thesis, Imperial College London, 2016. http://hdl.handle.net/10044/1/49240.

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The thesis investigates information and liquidity provision in financial markets. I explore the implications of the strategic behaviour of market makers competing with high frequency traders and of dealers involved in long term relationships with clients in the foreign exchange markets. Additionally, I analyse the value of information from the liquidity order flow to market makers and dealers. Further, I reflect on regulatory implications of my findings. The first chapter presents a literature review to motivate the following chapters. First, I survey the main findings of the papers on market making most relevant to this thesis. Second, I discuss the regulatory and academic debate on high frequency traders, which are widely viewed as a new type of liquidity providers. Third, I discuss important differences between market makers and FX dealers, including specific features of foreign exchange markets and their informational structure. Lastly, I provide a brief overview of the recent regulatory debate on OTC markets. The second chapter analyses the effect of competition between a designated, traditional market maker and a High Frequency Trader providing liquidity. The market maker is risk neutral and the high frequency trader is risk averse, which creates differences in their inventory exposures. The market power of these two participants creates a bid ask spread, but the high frequency trader narrows the spread and improves liquidity. The chapter further investigates the liquidity provision by a monopolistic high frequency trader. I show that having agents with strong inventory concerns as market makers could hamper liquidity provision. I explain how ceteris paribus small changes in the reservation value of liquidity traders can trigger shifts in the equilibrium spread. The third chapter endogenizes the existence of intermediation in a two-tier market. Specifically, trading takes place sequentially in a client-dealer OTC market and in an interdealer market organised as a limit order book. A privately-informed client chooses between trading through dealers or paying an entry cost to join the interdealer market directly. Dealer rents from intermediation increase in the entry cost. I show that competitive dealers use the bid ask spread strategically to reward the client for the information conveyed by his order flow. Furthermore, I show that the client dealer relationship is affected by a commitment problem: clients who trade una tantum execute trades with multiple dealers. Ongoing client dealer relationships viewed as an infinitely repeated game can overcome this problem and the client may benefit from trading exclusively with one dealer. The fourth chapter analyses information sharing and collusion incentives of strategic liquidity providers and the impact of their cooperation on asset prices. Risk neutral liquidity providers operate in a market with risk-averse informed traders (fundamentalists) and noise traders. I consider four regimes: 1) pure market making; 2) dealership without information sharing; 3) dealership with information sharing but without collusion in trading; and 4) dealership with information sharing and collusion in trading. I show that information sharing substantially increases agents' profits, while colluding in trading has a relatively low additional impact on profits. This suggests that if there are penalties for collusion, dealers may choose to only share information, but not to collude. Furthermore, I investigate the effect of the four regimes on market depth, volatility of prices and information content of prices. I find that dealers sharing information and colluding increase market depth compared to dealership without information sharing. However, the market depth is lower compared to pure market making. Both volatility of prices and the information content of prices increase when liquidity providers act as dealers. The magnitude of these differences depends on the parameters of the model.

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5

Ball, Catherine. "Local Markets : Competition and Market Structure". Thesis, University of East Anglia, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.527635.

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This thesis examines competition in three local markets: homebuilding, estate agency and groceries. It uses and extends the methodology developed by Bresnahan and Reiss in their seminal work in the 1990s, whereby the relationship between market structure and market size is used to evaluate how competition varies with finn numbers. U sing data from the homebuilding market, the rationale for using the Ordered Probit rather than count data alternatives to estimate these models is explored. Contrary to the existing literature, it is shown that the choice of estimator can significantly affect the results. In addition, several extensions to the Bresnahan and Reiss methodology are proposed. Firstly, the model is generalised to allow analysis of the persistence of certain effects as the number of finns in the market increases. It is shown that estate agents are able to profit from price discrimination and market segmentation, even in relatively unconcentrated markets. Secondly, a methodology is proposed to analyse the effects of competition on market expansion by augmenting the model with sales data. It is shown that increased competition between estate agents leads to a transfer of surplus but no increase in the size of the market. Thirdly, the model is extended in two ways to allow for competition between differentiated finns. When finn level data on differentiation is not available, the effect of the scope for differentiation is analysed. It is shown that markets with greater scope for differentiation are more profitable for estate agents. However, as finns can be identified by type, a more strategic approach is used to analyse the competition between different grocery formats. It is shown that small supermarkets, when located near at least one specialist store (e.g. a butcher or baker), negatively affect the profits of large supermarkets; a result that differs from previous studies by competition authorities.

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6

Huang, Yao. "Market Sentiments and the Housing Markets". Diss., Virginia Tech, 2020. http://hdl.handle.net/10919/97518.

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This paper has three chapters. In the first chapter, we develop a measure of housing sentiment for 24 cities in China by parsing through newspaper articles from 2006 to 2017.We find that the sentiment index has strong predictive power for future house prices even after controlling for past price changes and macroeconomic fundamentals. The index leads price movements by nearly 9 months, and it is highly correlated with other survey expectations measures that come with a significant time lag. In the second chapter, we show that short term house price movement is predictable by solely using newspaper and historical price change. In the last chapter, using the sentiment index constructed from newspaper, we got empirical results to show that some people are forward-looking when deciding default and a positive sentiment (anticipated house price appreciation) will lower the Z score of probability of default by 0.028.
Doctor of Philosophy
This paper has three chapters. In the first chapter, we develop a measure of housing sentiment for 24 cities in China by parsing through newspaper articles from 2006 to 2017. Two sentiment index were created using text mining method based on keywords matching and machine learning respectively.We find that the sentiment index has strong predictive power for future house prices even after controlling for past price changes and macroeconomic fundamentals. The index leads price movements by nearly 9 months, and it is highly correlated with other survey expectations measures that come with a significant time lag. In contrast, we find much weaker feedback coming from past prices to current sentiment. In the second chapter, we show that short term house price movement is predictable by solely using newspaper and historical price change. The accuracy of the prediction could be up to 0.96 for out of sample prediction. We first use a text mining method to transfer all the text information into numerical vector space, which is able to represent the extracted full information contained in a text. Then by adopting machine learning models of Neural networks, SVM, and random forest, we classified the newspaper into 1 (up) and 0 (down) group and constructed an index as the mean label accordingly. In the last chapter, by merging the Fannie Mae loan performance data with the sentiment index constructed from newspaper as well as the macro variables about local market, we got empirical results to show that some people are forward-looking when deciding default and a positive sentiment ( anticipated house price appreciation) will lower the Z score of probability of default by 0.028. We found that during the recession period, people access more information when they try to default, on top of the traditional econ conditions and historical house price, they also consider the future house price change. Moreover, borrowers with high income, high home value, and high FICO scores tend to pay more attention to future price change. However, for those who are less experienced in this game (first time home buyer), they only pay attention to the historical price change during the recession period.

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7

Liu, Dongqing. "Market-making behavior in futures markets /". For electronic version search Digital dissertations database. Restricted to UC campuses. Access is free to UC campus dissertations, 2002. http://uclibs.org/PID/11984.

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8

Rahman, Rizwan Tanvir. "Market integrity issues in financial markets". Thesis, The University of Sydney, 2013. http://hdl.handle.net/2123/12552.

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This dissertation investigates market integrity issues across a range of financial markets. The essays investigate the leakage of information, information asymmetry, market manipulation, and off-market trading across the carbon, equity, and option markets. The study spans across the European Union Emissions Allowances (EUA) futures market, the Australian Securities Exchange (ASX) equity market, and the Australian Securities Exchange (ASX) option market (AOM). The first essay examines the impact of European Union emissions trading scheme (EU ETS) national allocation plan (NAP) announcements on carbon markets. The findings show that Phase II announcements have an influence on both Phase I & II front futures and sole Phase II futures carbon returns. In addition, the results indicate that the announcements have no significant impact on volatility. Together, the findings suggest a systematic leakage of information across all types of announcements. The second essay examines trade cancellations on the Australian Securities Exchange (ASX). Trade cancellations are trades that are determined to have been made in error by both parties, and are subsequently cancelled. Results indicate return reversal patterns consistent with manipulative activity following the initial trades. Findings on volume, return, and volatility around the trades are also consistent with the empirical findings on market manipulation in the literature. The final essay examines the impact of large off-market option trades on the Australian Options Market (AOM). The results reveal that large off-market option trades receive price improvement when compared to the quoted prices at the time of the trade. Further, although large off-market trades experience some temporary price effects there is no evidence of significant leakage or permanent price effects. Finally, cumulative abnormal returns in the days surrounding the trades reveal no significant price patterns.

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9

Baumann, Dominique Cristian. "Market coupling in the power markets". reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/12174.

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The thesis analyses the European Unions’ effort to create an integrated pan-European electricity market based on “market coupling” as the proposed allocation mechanism for interconnector transfer capacity. Thus, the thesis’ main focus is if market coupling leads to a price convergence in interlinked markets and how it affects the behavior of electricity price data. The applied research methods are a qualitative, structured literature review and a quantitative analysis of electricity price data. The quantitative analysis relies on descriptive statistics of absolute price differentials and on a Cointegration analysis according to Engle & Granger (1987)’s two step approach. Main findings are that implicit auction mechanisms such as market coupling are more efficient than explicit auctions. Especially the method of price coupling leads to a price convergence in involved markets, to social welfare gains and reduces market power of producers, as shown on the example of the TLC market coupling. The market coupling initiative between Germany and Denmark, on the other hand, is evaluated as less successful and illustrates the complexity and difficulties of implementing market coupling initiatives. The cointegration analysis shows that the time series were already before the coupling date cointegrated, but the statistical significance increased. The thesis suggests that market coupling leads to a price convergence of involved markets and thus functions as method to create a single, integrated European electricity market.
A dissertação analisa o esforço dos sindicatos europeus para criar um mercado pan- europeu de electricidade integrada baseada em 'mercados combinados', como o mecanismo de alocação de capacidade de transferência de energia entre diferentes sistemas. Assim, o foco principal do estudo é se a integração do mercado leva a uma convergência de preços nos mercados interligados, e como isso afeta o comportamento dos preços de energia elétrica. Os métodos de investigação são uma revisão bibliográfica estruturada qualitativa e uma análise quantitativa de dados de preços de energia elétrica. A análise quantitativa se baseia em estatísticas descritivas das diferenças de preços absolutos e em uma análise de cointegração de acordo com a abordagem de Engle e Granger (1987). As principais conclusões são que os mecanismos de leilões implícitos, tais como a integração de mercado são mais eficientes que os leilões explícitos. Especialmente, o método de acoplamento de preços leva a uma convergência de preços nos mercados envolvidos, a ganhos de bem-estar social e reduz a o poder dos produtores no mercado, como mostra o exemplo da integração mercado TLC. A iniciativa mercados combinados entre a Alemanha ea Dinamarca, por outro lado, é avaliada como de menor sucesso e ilustra a complexidade e as dificuldades de implementação de iniciativas de integração de mercado. A análise de cointegração mostra que as séries temporais já estavam cointegradas antes da data de integração, mas a significância estatística aumentou. A tese sugere que a integração do mercado leva a uma convergência dos preços dos mercados envolvidos e, portanto, funciona como método para criar um mercado de eletricidade único e integrado na Europa.

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10

Coronado, Saleh Francisco Javier. "Market structure and regulation in pharmaceutical markets". Doctoral thesis, Universitat Pompeu Fabra, 2010. http://hdl.handle.net/10803/7414.

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Esta tesis trata sobre la competencia y regulación en mercados farmacéuticos.El primer capítulo presenta un modelo de oligopolio donde se demuestra que la regulación de precios sólo aumenta los beneficios esperados de la entrada de un competidor genérico cuando el tamaño del mercado es pequeño en relación a la eficiencia de un productor incumbente. En el segundo capítulo se estudia empíricamente la interacción entre el efecto de redistribución del poder de mercado debido a los contactos multimercado y la regulación de precios. A bajos niveles de regulación el efecto se incrementa mientras que cuando la regulación es más estricta el efecto desaparece. En el tercer capítulo se estima un modelo estructural de oligopolio en el que se identifican los márgenes de precios de los productores. Se concluye que los márgenes simulados son consistentes con un escenario en el que los productores maximizan beneficios considerando a rivales con los que tienen contacto en otros mercados.

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11

Kang, Kyeong-Hoon. "Market structures and competition in system markets". College Park, Md. : University of Maryland, 2004. http://hdl.handle.net/1903/1698.

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Thesis (Ph. D.) -- University of Maryland, College Park, 2004.
Thesis research directed by: Economics. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.

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12

Das, Sanmay. "Intelligent Market-Making in Artificial Financial Markets". Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/5570.

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This thesis describes and evaluates a market-making algorithm for setting prices in financial markets with asymmetric information, and analyzes the properties of artificial markets in which the algorithm is used. The core of our algorithm is a technique for maintaining an online probability density estimate of the underlying value of a stock. Previous theoretical work on market-making has led to price-setting equations for which solutions cannot be achieved in practice, whereas empirical work on algorithms for market-making has focused on sets of heuristics and rules that lack theoretical justification. The algorithm presented in this thesis is theoretically justified by results in finance, and at the same time flexible enough to be easily extended by incorporating modules for dealing with considerations like portfolio risk and competition from other market-makers. We analyze the performance of our algorithm experimentally in artificial markets with different parameter settings and find that many reasonable real-world properties emerge. For example, the spread increases in response to uncertainty about the true value of a stock, average spreads tend to be higher in more volatile markets, and market-makers with lower average spreads perform better in environments with multiple competitive market-makers. In addition, the time series data generated by simple markets populated with market-makers using our algorithm replicate properties of real-world financial time series, such as volatility clustering and the fat-tailed nature of return distributions, without the need to specify explicit models for opinion propagation and herd behavior in the trading crowd.

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13

Stork, Christopher Oliver. "Microstructure of option markets without market makers". Thesis, London Metropolitan University, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.343195.

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14

Ishii, Ryosuke. "Optimal Trading in Markets with Market Impact". Kyoto University, 2010. http://hdl.handle.net/2433/120724.

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15

Pham, Thao. "Market power in power markets in Europe : the Cases in French and German woholesale electricity markets". Thesis, Paris 9, 2015. http://www.theses.fr/2015PA090019/document.

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Les deux derniers siècles ont connu une révolution exceptionnelle dans l'organisation des marchés électriques dans le monde entier. Ainsi, traditionnellement organisé autour de monopoles verticalement intégrés et soumis à la régulation, le secteur électrique connait un processus de réforme et évolue vers une organisation décentralisée qui favorise les mécanismes du marché. Le passage des tarifs régulés à des prix du marché, compte tenu des structures concentrées et les caractéristiques particulières de l'industrie électrique, accroît la possibilité que certaines entreprises puissent manipuler les prix du marché en exerçant leur pouvoir de marché. Les questions de "pouvoir de marché" dans un secteur donné ont été abondamment étudiées dans la littérature de l'économie Industrielle depuis la fin des années 1970, mais des études théoriques et empiriques de "pouvoir de marché dans les marchés électriques" n'ont été développées que récemment. Dans cette thèse, nous essayons de mener une recherche approfondie autour des questions de pouvoir de marché sur les marchés de gros de l'électricité en Europe. Nous conduisons des études empiriques dans deux des plus grands marchés européens: la France (sur des données 2009-2012) et l'Allemagne (sur des données de 2011), en utilisant des méthodes économétriques et des modèles de simulation des marchés électriques. Le sujet semble pertinent dans la période de transition énergétique en Europe
The two last centuries have witnessed an exceptional revolution in the organization of electric power markets worldwide. The industry's organization has changed from vertically integrated monopolies under regulation to unbundled structures that favor market mechanisms; known as reform process in Europe. The shift to reliance on market prices, given concentrated structures and particular characteristics of electricity industry, raises a possibility that some firms could influence the market prices by exercising their market power. The issues of "market power" in a given industry have been abundantly employed in the literatureof Industrial Organization since the late 1970s but theoretical and empirical studies of "market power in electricity markets" have only been developed recently. In this thesis, we attempt to carry out an insight research around market power questions in deregulated wholesale electricity markets in Europe, as regarding the way of defining and measuring it. We carry out empirical studies in two of the biggest liberalized electricity markets in Europe: France (2009-2012's data) and Germany (2011's data), using econometric regressions and electricity simulation models as main methodologies. The subject is particularly relevant inthe context of energy transition in Europe (transition energetique in France and Energiewende in Germany)

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16

Le, Coq Chloé. "Quantity choices and market power in electricity markets". Doctoral thesis, Handelshögskolan i Stockholm, Samhällsekonomi (S), 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-566.

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Competitive power markets from different countries exhibit a common market design, especially because of the nature of electricity (lack of storage, inelastic load, and strong seasonal effects on multiple time scales). For example, a majority of countries have created a spot market where electricity is traded hourly. The design of the spot markets reflected an ambition of providing strong incentives for efficient and least-cost production. Subsequently, the spot market price has been considered as a reference price for other existing electricity markets such as the contract market or the real-time market. However, empirical studies on electricity markets find some evidence of abnormally high markups. The literature on the electricity spot market mainly focuses on the producers' pricing decisions. The present thesis argues that quantity choices, both in terms of available as well as contracted quantities, are crucial for understanding market power in electricity markets.
Diss. Stockholm : Handelshögskolan, 2003 [4], iii, [1] s., s. 1-6: sammanfattning, s. 7-119, [5] s.: 4 uppsatser

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17

Hildebrandt, Kurtis. "Market dominance and innovation in computer software markets". Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0018/MQ47948.pdf.

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Le, Coq Chloé. "Quantity choices and market power in electricity markets /". Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2003. http://www.hhs.se/efi/summary/615.htm.

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Kabaca, Serdar. "Essays on labour market fluctuations in emerging markets". Thesis, University of British Columbia, 2013. http://hdl.handle.net/2429/45251.

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The goal of this dissertation is to compare and contrast labour market fluctuations in emerging and developed markets, and to explore the sources of differences in these fluctuations across country groups. Chapter 2 documents cyclical properties of labour share over the cycle for various countries and show that there is a close relationship between labour share and the cost of borrowing. Labour share tends to be more volatile and procyclical with output especially in countries with highly volatile and countercyclical interest rates. The results are driven neither by sectoral shifts over the cycle nor by the measurement errors in the labour compensation data. In Chapter 3, working capital requirements can predict the right sign of the labour share comovement with output and can partly account for the volatility of the labour share. It is also shown that imperfect financial markets in the form of credit restrictions not only amplify the results for the variability of labour share but also helps better explain some of the striking business cycle regularities in emerging markets, such as highly volatile consumption, strongly procyclical investment and consumption, and countercyclical net exports. Fluctuations in real wages are mostly responsible for the highly volatile labour share in emerging markets. Previous literature showed that search frictions with countercyclical interest rates can explain movements in wages in these economies. Chapter 4 shows that when agents are allowed to choose the amount of hours worked (intensive margin of the labour input), the effects of search frictions on wages are mitigated. Our motivation of introducing intensive margin comes from the fact that variations in hours per worker are at least as significant as those in the employment in emerging markets. They are also more cyclical with output in these economies than in developed ones. Search frictions fail to explain these cyclical properties of the intensive margin. On the other hand, by introducing financial frictions, the model can predict them together with movements in real wages. This suggests that frictions in both labour and financial markets go further in explaining emerging market business cycles.

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20

Wan, Hakman Alberick. "On the agent market model of stock markets". Thesis, University of Sunderland, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.288016.

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21

Davis, James E. (James Edward) 1962. "Airline market share modeling in originating city markets". Thesis, Massachusetts Institute of Technology, 1989. http://hdl.handle.net/1721.1/14176.

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Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Aeronautics and Astronautics, 1989 and Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1993.
Includes bibliographical references (leaves 129-130).
by James Edward Davis.
M.S.

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22

Aidov, Alexandre. "Three Essays on Market Depth in Futures Markets". FIU Digital Commons, 2013. http://digitalcommons.fiu.edu/etd/974.

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Liquidity is an important market characteristic for participants in every financial market. One of the three components of liquidity is market depth. Prior literature lacks a comprehensive analysis of depth in U.S. futures markets due to past limitations on the availability of data. However, recent innovations in data collection and dissemination provide new opportunities to investigate the depth dimension of liquidity. In this dissertation, the Chicago Mercantile Exchange (CME) Group proprietary database on depth is employed to study the dynamics of depth in the U.S. futures markets. This database allows for the analysis of depth along the entire limit order book rather than just at the first level. The first essay examines the characteristics of depth within the context of the five-deep limit order book. Results show that a large amount of depth is present in the book beyond the best level. Furthermore, the findings show that the characteristics of five-deep depth between day and night trading vary and that depth is unequal across levels within the limit order book. The second essay examines the link between the five-deep market depth and the bid-ask spread. The results suggest an inverse relation between the spread and the depth after adjusting for control factors. The third essay explores transitory volatility in relation to depth in the limit order book. Evidence supports the relation between an increase in volatility and a subsequent decrease in market depth. Overall, the results of this dissertation are consistent with limit order traders actively managing depth along the limit order book in electronic U.S. futures markets.

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23

Natanelov, Valeri. "Commodity futures markets: dynamic interrelationships between financial asset markets, energy markets and traditional agricultural commodity markets". Thesis, Ghent University, 2014. https://eprints.qut.edu.au/129692/1/129692.pdf.

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This doctoral thesis discerns the complicated dynamic interrelationships between financial asset markets, energy markets and traditional agricultural commodity markets. Recently, various factors have dramatically changed the economic relationships between these important markets which contributed to greater price volatility and complex price transmissions across these markets. Via the use of cointegration methodologies on stock and futures markets four price relationships have been scrutinized with respect to agricultural commodities and crude oil markets; crude oil and BRIC stock markets; crude oil, corn and ethanol markets; and Indian government sugar policy and global sugar and commodity futures indices. Crude oil futures are shown to be affecting mature commodity futures markets. Recently, policies encouraging biofuel production have changed the mechanisms of influence of crude oil futures prices on several agricultural commodity markets. It has been shown that co-movement is a dynamic concept and that some economic and policy development may change the relationship between commodities. Specifically, biofuel policy buffers the co-movement of crude oil and corn futures until the crude oil prices surpass a certain threshold. Consequently, the impact of crude oil price movements on heterogeneous BRIC economies is analyzed. Crude oil futures prices are found to have an impact on markets in two distinct manners. The first being the traditional impact of energy, being one of the main production factors, on the economies. In parallel, the information component of crude oil futures price fluctuations has an additional impact on the markets. In case of the complex relationships between crude oil, corn and ethanol futures markets, a strong relationship between crude oil and corn markets on one side, and crude oil and ethanol on the other has been found. In addition, corn futures market became more sensitive to volatility due to ethanol demand-sinks. Overall, the markets exhibit great dependency on information shifts. Consequent analysis of the Indian and global sugar and commodity indices futures offers additional insight on the bigger picture. The heterogeneous and complex Indian sugar policies, in combination of limited access and knowledge of futures markets, cause decoupling between the Indian sugar futures prices and the regional prices. Indian sugar futures markets are led by the information from global commodity markets. This division in price formation of Indian regional (spot) sugar markets and the futures markets indicates a distinct difference in the underlying price formation process. The main contributions of this research are: (i) novel use of threshold cointegration techniques to model policy interventions; (ii) inductive analytic design incorporates policy and regime changes that could affect price transmission; (iii) policy price interventions cause impaired functioning of the futures markets, and; (iv) agricultural commodities and commodity markets in general are more than ever responsive to information flows and experience price and volatility spillover effects among themselves. Finally, it is hinted to reconsider futures markets theory, from the perspective that the decision-making process in futures markets is based on a priori situation or information.

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Madestam, Andreas. "Developing credit markets". Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics, (EFI), 2005. http://www.hhs.se/efi/summary/685.htm.

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Ohnsorge, Franziska. "Self-selection, labour markets and capital markets". Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2001. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/NQ63648.pdf.

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Godby, Robert William. "The effect of market power in emission permit markets". Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk2/tape16/PQDD_0011/NQ30139.pdf.

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Neumann, Dirk Georg. "Market engineering a structured design process for electronic markets". Karlsruhe Univ.-Verl. Karlsruhe, 2004. http://d-nb.info/985794046/04.

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Jia, Haiying. "Market conditions and the functioning of metal futures markets". Thesis, City University London, 2006. http://openaccess.city.ac.uk/8467/.

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With the growth of alternative investment vehicles such as hedge funds and the resulting search for "new" asset classes, the interest in the commodity market has been growing within the financial sector. The commodity futures markets have been successfully providing a platform for investors and industrial participants as an alternative investment vehicle and a tool for risk management. The storable commodity futures markets are characterised by two distinct market conditions: backwardation and contango, which are directly linked to market fundamentals such as inventory levels and thus influence the price dynamics and functioning of the commodity futures market. While there exists a large body of research in the area of commodity derivatives, research on the linkage between market dynamics and the market conditions as determined by fundamentals is very limited. Accordingly, this thesis aims to investigate the different market dynamics of metal futures markets under these two conditions. The issues under examination include the futures price discovery function, the forecasting performance of the futures price, the long-run cost-of-carry equilibrium and short-run time-varying adjustment, and the price volatility and its relationship with inventory levels and trading volume. The empirical findings suggest, for the first time, that the price discovery function depends on the state of the storable commodity markets: futures prices are found to be upward biased predictors of the future spot prices when the market is in contango and are downward biased when the market is in backwardation. Nonparametric bootstrap simulations confirm that the forecast errors are negative in a backwardation market and are positive in a contango market, and moreover the forecast errors are larger under the former market condition than the latter. The empirical results also show that the price volatility is higher in a backwardation market than in a contango market as indicated by the negative relationship between price volatility and inventory levels. We also show that the spot volatility is generally higher than the futures price volatility and the difference is greater when the inventory level is low. Moreover, the impact of trading volume on the futures price volatility is found to be stronger when the market is in backwardation in some of the markets. In short, the empirical findings in this thesis suggest that the functioning of the metal spot and futures market is dependent on market conditions of which the inventory level is an important indictor as implied by the theory of storage. The empirical findings have strong implications for practitioners (particularly, trading houses, funds and banks) who could potentially form different trading strategies based on the distinct market behaviour under the two market conditions.

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Bastos, Paulo R. "Unionised labour markets, product market competition and economic integration". Thesis, University of Nottingham, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.444659.

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Carmo, João Pedro Rodrigues do. "Modeling stock markets through the reconstruction of market processes". Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/15048.

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Mestrado em Economia
Existem duas maneira possíveis de interpretar a aparente natureza estocástica dos mercados financeiros: a Hipótese do mercado eficiente (HME) e um conjunto de factos estilizados que conduzem o comportamento dos mercados. Apresentamos evidência para alguns dos factos estilizados como a existência de um fenómeno de memória na volatilidade dos preços a curto prazo, um comportamento em lei de potência e dependências não lineares nos retornos. Considerando isto, construímos um modelo do mercado através de cadeias de Markov. Em seguida, desenvolvemos um algoritmo que pode ser generalizado para qualquer alfabeto de N símbolos e cadeia de Markov de comprimento K. Com esta ferramenta, somos capazes de mostrar que é, pelo menos, sempre melhor que um modelo completamente aleatório como o Passeio Aleatório. O código está escrito em MATLAB e é mantido no GitHub.
There are two possible ways of interpreting the seemingly stochastic nature of financial markets: the Efficient Market Hypothesis (EMH) and a set of stylized facts that drive the behavior of the markets. We show evidence for some of the stylized facts such as memory-like phenomena in price volatility in the short term, a power-law behavior and non-linear dependencies on the returns. Given this, we construct a model of the market using Markov chains. Then, we develop an algorithm that can be generalized for any N-symbol alphabet and K-length Markov chain. Using this tool, we are able to show that it's, at least, always better than a completely random model such as a Random Walk. The code is written in MATLAB and maintained in GitHub.
info:eu-repo/semantics/publishedVersion

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31

Pavelson, Brit. "Market values : Lessons in decoration from post-Soviet markets". Thesis, Konstfack, Institutionen för design, inredningsarkitektur och visuell kommunikation (DIV), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:konstfack:diva-7711.

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32

Schmidt, David E. "Capital markets and the market structure of foreign investments". Thesis, Aston University, 2010. http://publications.aston.ac.uk/15787/.

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Contrary to the long-received theory of FDI, interest rates or rates of return can motivate foreign direct investment (FDI) in concert with the benefits of direct ownership. Thus, access to investor capital and capital markets is a vital component of the multinational’s competitive market structure. Moreover, multinationals can use their superior financial capacity as a competitive advantage in exploiting FDI opportunities in dynamic markets. They can also mitigate higher levels of foreign business risks under dynamic conditions by shifting more financial risk to creditors in the host economy. Furthermore, the investor’s expectation of foreign business risk necessarily commands a risk premium for exposing their equity to foreign market risk. Multinationals can modify the profit maximization strategy of their foreign subsidiaries to maximize growth or profits to generate this risk premium. In this context, we investigate how foreign subsidiaries manage their capital funding, business risk, and profit strategies with a diverse sample of 8,000 matched parents and foreign subsidiary accounts from multiple industries in 38 countries.We find that interest rates, asset prices, and expectations in capital markets have a significant effect on the capital movements of foreign subsidiaries. We also find that foreign subsidiaries mitigate their exposure to foreign business risk by modifying their capital structure and debt maturity. Further, we show how the operating strategy of foreign subsidiaries affects their preference for growth or profit maximization. We further show that superior shareholder value, which is a vital link for access to capital for funding foreign expansion in open market economies, is achieved through maintaining stability in the rate of growth and good asset utilization.

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33

Neumann, Dirk Georg. "Market engineering a structured design process for electronic markets /". Karlsruhe : Universitätsverlag, 2007. http://www.uvka.de/univerlag/volltexte/2007/265/.

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Cho, Young-Hye. "Time-varying betas and market microstructures in option markets /". Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2000. http://wwwlib.umi.com/cr/ucsd/fullcit?p9981964.

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Mahoney, Daniel. "Demand, Market Structure, Entry, and Exit in Airline Markets". Thesis, University of Oregon, 2014. http://hdl.handle.net/1794/18338.

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The airline industry is a major driver of economic activity in the United States, accounting for over $1 trillion annually. In this work, I study the airline industry and analyze several key economic issues facing the industry. I examine the industry from several different angles, looking at consumer behavior, firm behavior, and market performance. The body of the dissertation comprises three essays, with each essay focusing on one of the aforementioned facets of the industry. The first essay is a study of consumer demand, using aggregate data to estimate consumer utility functions and identify preferences for airports in large, multi-airport markets. Using these utility functions, I produce tables of cross-airline and cross-airport elasticities, measuring how consumers would be expected to substitute between airports in response to airline price increases and substitute between airlines in response to airport price increases. The second essay is a study of market structure and pricing. I look at changes in market structure over a 20 year time period, focusing on the price effects of entry, exit, and mergers. By looking at both the direct effects as well as the subsequent effects on market concentration, I find that there is tremendous heterogeneity in the effects of these events across markets. The final essay is a model of firm entry and exit decisions in a network environment. I use this model to analyze firm decisions in the airline industry. I find that the size and geographic distribution of firms' networks plays an important role in their decision to further expand or contract, as firms with larger networks are more likely to expand, while firms with smaller networks are more likely to contract. Together, this body of work presents an in-depth analysis of the economic issues surrounding the airline industry. This dissertation includes both previously published and co-authored material.

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36

Wong, Amy Sau Kwun. "Derivatives in dynamic markets = Derivaten in dynamische markten /". [Amsterdam] : Thela Thesis, 2009. http://opac.nebis.ch/cgi-bin/showAbstract.pl?u20=9789036101035.

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Whelan, Paul. "Bond markets". Thesis, Imperial College London, 2014. http://hdl.handle.net/10044/1/24909.

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I study questions related to risk premia in real bond markets. First, I document novel evidence that factors explaining excess returns for nominal Treasuries are also common to the real term structure. This suggests that sources of bond predictability should be interpreted in the context of the real consumption risks as opposed to the dynamics of inflation. Next, I investigate the role of monetary policy as a source of time-varying priced risk. I use both high-frequency and low-frequency approaches to show that monetary policy is non-neutral in the sense of affecting bond risk premia. I conclude by studying a general equilibrium term structure model with multiple agents who disagree about the unobservable model for the economy. These agents are induced to engage in speculative trading because of their beliefs, which in turn generates endogenously time-varying risk premia. My results show that speculation can help explain low short term interest rates, time-varying expected returns, and path-dependence in the cross-section of yields.

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38

Rost, Christian, i Erik Ydrén. "Profit for the poor : Sustainable Market Development in BOP Markets". Thesis, Jönköping University, JIBS, Business Administration, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-361.

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There are 4 billion poor living on 2 dollars or less per day that make up the bottom of the economic pyramid (BOP). If a company calculates their aggregated purchasing power they could be a huge and profitable market.

By studying the roles of the different actors and their preconditions in BOP markets the purpose with this thesis is to find out how the private sector can pursue a sustainable market development strategy at the bottom of the economic pyramid and if it really will help to reduce poverty.

By using a qualitative study, this thesis interviews each actor in the Mexican market except the government. Also a resume from a case study presents Unilever’s operations in Indonesia.

The theory suggests that the actors in the markets should create partnerships that lead to a social transformation and improvement in the lives of the poor. Therefore this thesis concentrates on sustainable development the entrepreneurs, government, customers and the private enterprises role in a BOP-strategy.

From the field study it is clear that it exists a huge informal system in Mexico which makes it hard for an efficient market to work. Our interviews with the NGOs shows that they have access to huge networks, work with marketbased solutions but are dependant on financial contributions from government and private sector. Both private enterprises show that they are working with both process and product innovations for the BOP-market. For example they both sell small sachets of shampoo that are affordable for the poor and they are also cooperating with local distributors to access all the small supermarkets across the country they are present in.

Essential for pursuing a BOP-strategy is that a company innovates for satisfying a need at a lower cost. They should also work with partners to get the local knowledge that they do not have themselves. The study can not come to a conclusion if the strategy under study will reduce poverty although there is a clear link between sustainability and poverty reduction. The point with sustainability in the consumer markets is that the products and services offered increases the disposable income, the choices, and the self identity of the per-son living in poverty. Only then can a BOP-strategy develop together with its market, resulting in a sustainable market development strategy, which, when pursued responsibly can lead to a triple-win situation for the poor, private enterprises and the environment.

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Rost, Christian, i Erik Ydrén. "Profir for the poor : Sustainable market development in BOP-markets". Thesis, Jönköping University, JIBS, EMM (Entrepreneurship, Marketing, Management), 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-549.

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There are 4 billion poor living on 2 dollars or less per day that make up the bottom of the economic pyramid (BOP). If a company calculates their aggregated purchasing power they could be a huge and profitable market.

By studying the roles of the different actors and their pre-conditions in BOP-markets the purpose with this thesis is to find out how the private sector can pursue a sustainable market development strategy at the bottom of the economic pyramid and if it really will help to reduce poverty.

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40

Constantatos, Christos. "Barriers to entry and market coverage in vertically-differentiated markets". Thesis, University of Ottawa (Canada), 1991. http://hdl.handle.net/10393/7803.

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We first derive the optimal price-quality choice of a protected multi-product monopolist operating in a market that could otherwise sustain two or more firms. The main results of this analysis is that in many instances the monopolist will choose not to serve the entire market even when the fixed entry cost is very low and the corresponding number of qualities marketed by the monopolist is very large. Next, we turn our attention to natural duopolies with single-product firms and we examine the implications of entry threats when entry is sequential. Neither is maximal differentiation a general outcome of such competition in the absence of entry threats, nor is minimal differentiation the necessary outcome when entry is contested. When the incumbent firms are facing entry threats, we show that the nature of the fixed cost can confer first mover advantages to the incumbent firms. Next we combine our previous results to examine whether an entry threat will induce a multiproduct monopolist to cover any parts of the market he/she would choose to leave unserved in the absence of such threat. We find that there are many cases where the uncovered market result is robust to the threat of entry. Our next concern is whether a strategic quality choice can protect the monopolist from entry without an increase in the number of qualities as well as whether such a choice can be superior, in terms of profits, to product proliferation. The answer to both questions is positive and the last issue of this thesis is how market coverage is affected by such a strategy. (Abstract shortened by UMI.)

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Karam, Philippe Doumit. "Dynamic asset pricing models with incomplete markets and market frictions". Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq22471.pdf.

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Ortez, Amador Mario Amado. "Forecasting volatility in agricultural commodities markets considering market structural breaks". Thesis, Kansas State University, 2015. http://hdl.handle.net/2097/18995.

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Master of Science
Department of Agricultural Economics
Glynn Tonsor
This decade has seen movements in commodity futures markets never seen before. There are many factors that have intensified price movements and volatility behavior. Those factors likely altering supply and demand include governmental policy within and outside of the U.S, weather shocks, geopolitical conflicts, food safety concerns etc. Whatever the reasons are for price movements it is clear that the volatility behavior in commodity markets constantly change, and risk managers need to use current and efficient tools to mitigate price risk. This study identified market structural breaks of realized volatility in corn, wheat, soybeans, live cattle, feeder cattle and lean hogs futures markets. Furthermore, this study analyzes the forecasting performance of implied volatility, historical volatility, a composite approach and a naïve approach as forecasters of realized volatility. The forecasting performance of these methods was analyzed in the full period of time of our weekly data from January 1995 to April 2014 and in each identified market regime for each commodity. Previous research has analyzed forecasting performance of implied volatility, a time series alternative and a composite method. However, to the best of my knowledge, they have not worried about market structural breaks in the data that might influence the performance of the mentioned forecasting methods in different periods of time. Overall, results indicate that indeed there are multiple market structural breaks present in the volatility datasets across all six commodities. We found differences in the forecasting performance of the analyzed methods when individual market regimes were analyzed. There seems to be evidence that corroborates the idea in the literature about the superiority of implied volatility over a historical volatility, a composite approach and a naïve approach. Additionally, implied volatility encompassed all the information contained in the historical volatility and the naïve measure across each identified market regime in all six commodities. Our results show that when both implied volatility and historical volatility are available, the benefit of combining those measures into a composite forecasting approach is very limited. Our results hold true for a short term 1 week ahead realized volatility forecast. It would be of interest to see how results vary for longer forecasting time horizons.

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Moye, Ashley. "Market Orientation in Government Markets and Veteran-Owned Small Businesses". Thesis, Walden University, 2016. http://pqdtopen.proquest.com/#viewpdf?dispub=10125164.

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Inadequate resources, poor market strategy, competition, contract regulation, and disparate performance outcomes are issues small business owners face while competing for government contracts. The purpose of this correlational study was to examine the market orientation-business performance relationship and the influence of market factors among veteran-owned small businesses competing for government contracts in the United States. A survey with adapted MARKOR and Government Regulation Lassez-Faire scales was administered to 203 veteran-owned small business owners. Resource-advantage theory served as the theoretical foundation for this study. The results of the multiple linear regression were significant, suggesting that market orientation relates to firm performance and total contract revenue. However, the regression models had a poor fit, with R² values ranging from .019 to .094, suggesting that significant results of this study lacked the power to conclude predictive accuracy. Market orientation did not significantly relate to contract bid to win rate and number of years in the government market. The PROCESS moderation analysis provided mixed results for market factors’ influence on the market orientation relationship with business performance outcomes. Study participants were market-oriented, with few seeing corresponding success. The introduction of new variables is necessary to make future models useful. Implications for positive social change include guidance for better-fitting models, ones that will inform the efforts to improve the survivability of small businesses in the B2G market. Veteran-owned small business owners should not waste resources on market orientation as a sole strategic focus for capturing and winning government contracts.

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Hatcher, Aaron. "Individual transferable quota markets with non-compliance and market power". Thesis, University of Surrey, 2008. http://epubs.surrey.ac.uk/843978/.

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This thesis presents a theoretical study of the impact of non-compliance and market power in a fishery regulated using individual transferable quotas (ITQs). The study analyses individual firm quota demands in the presence of non-compliance and/or market power and the resultant properties of the ITQ market. The analysis is static and set in a single-species fishery. The implications of non-compliance for a fishery composed entirely of competitive firms are examined first. Here the analysis departs from the convention in the literature on analogous pollution permit markets in that firms' expected penalties are modelled as a function of their relative violations of quotas. This has a significant effect upon the results, including the possibility of quota prices which are higher with non-compliance. The research then focuses on market power in the setting of a single dominant firm faced by a fringe of competitive firms. The dominant firm is allowed market power in the quota market alone and then in both quota and output markets simultaneously. In the latter case the results differ from those previously reported in the literature, including the possibility that the firm may be freely compliant, or if cheating, may have a positive quota demand even with a zero initial quota allocation. Finally, the effects of non-compliance by the dominant firm and the competitive fringe are explored.

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45

Peredriy, Sergiy Black Stanley W. "Endogenous credit market incompleteness RBC approach to emerging markets crises /". Chapel Hill, N.C. : University of North Carolina at Chapel Hill, 2008. http://dc.lib.unc.edu/u?/etd,1921.

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Thesis (Ph. D.)--University of North Carolina at Chapel Hill, 2008.
Title from electronic title page (viewed Dec. 11, 2008). "... in partial fulfillment of the requirements for the degree of Doctor of Philosophy in the Department of Economics." Discipline: Economics; Department/School: Economics.

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46

Schneider, Michael Thomas. "Market microstructure, price impact and liquidity in fixed income markets". Doctoral thesis, Scuola Normale Superiore, 2018. http://hdl.handle.net/11384/85739.

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47

Monjoie, Léopold. "Securing Investments in Electricity Markets. Three Essays on Market Design". Electronic Thesis or Diss., Université Paris sciences et lettres, 2024. http://www.theses.fr/2024UPSLD005.

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L’électricité est au cœur du fonctionnement de notre économie moderne, par conséquent un défi majeur pour les économistes est de s'assurer d’avoir suffisamment d’investissement. Actuellement dans la plupart des pays développés, ce sont majoritairement des acteurs privés qui prennent les décisions à la fois d’investir et de consommer. C’est dans ce contexte que cette thèse s’intéresse à comprendre comment déterminer des architectures de marché permettant de donner des incitations vertueuses aux acteurs. L’objectif est alors qu’ils prennent des décisions d’investissement et de consommation efficaces. La méthodologie employée dans cette thèse repose sur une représentation théorique des comportements d’acteur dans l’ensemble des marchés électriques et s’attèle à étudier comment ces comportements interagissent avec les règles édictées sur ces mêmes marchés. Le premier chapitre examine le comportement des producteurs sur les marchés de capacité. Un marché de capacité permet aux producteurs de générer des revenus à l’avance en échange de leur engagement à être disponible, ce qui doit les inciter à suffisamment investir. Le premier chapitre propose une nouvelle approche pour conceptualiser les offres sur ces marches en utilisant la théorie des options réelles. Ce modèle décrit notamment l’interaction entre les caractéristiques du contrat vendu sur le marché de capacité, notamment sa durée, et les offres faites par les producteurs. Ainsi, le chapitre apporte un nouvel éclairage sur la formation des prix sur ces marchés. Le second chapitre souligne l’importance de bien choisir comment la demande sur les marchés de capacité est mise en place. En effet, il démontre qu’en fonction des caractéristiques des marchés et des acteurs, certaines façons de prendre en compte la demande dans ces marchés peuvent avoir des effets inattendus sur le surplus. Ces effets peuvent à la fois être positifs ou négatifs. Enfin, le dernier chapitre pose la question de savoir comment s’assurer d’avoir suffisamment d’investissement lorsque l’on ne connait pas la demande des consommateurs. Il décrit ainsi l’arbitrage entre financer des investissements et maximiser la consommation d’électricité. Le chapitre souligne notamment que la mise en place de marchés permettant d’atteindre un niveau d’investissement peut poser des questions de redistribution, avec certains consommateurs se retrouvant lésés même si le bien-être global est maximisé
Because electricity is at the heart of our modern economy, a significant challenge for economists is to ensure sufficient investment. Currently, in most developed countries, it is predominantly private actors who make both investment and consumption decisions. It is in this context that this thesis is concerned with understanding how to design markets that provide virtuous incentives to a diverse set of actors. The aim is then to induce efficient investment and consumption decisions. The methodology employed in this thesis is based on a theoretical representation of actor behavior in electricity markets and studies how this behavior interacts with the rules enacted in these same markets. The first chapter examines the behavior of producers in capacity markets. A capacity market allows generators to generate income in advance in exchange for their commitment to availability, which should provide incentives to invest sufficiently. The first chapter proposes a new approach to conceptualizing offers on these markets, using real options theory. In particular, this model describes the interaction between the characteristics of the contract sold on the capacity market, notably its duration, and the bids made by producers. In this way, the chapter sheds new light on price formation in these markets. The second chapter highlights the importance of choosing the right way to choose the demand on capacity markets. Indeed, it shows that, depending on the characteristics of the markets and the players involved, certain ways of taking demand into account in these markets can have unexpected effects on surplus. These effects can be both positive and negative. Finally, the last chapter raises the question of how to ensure sufficient investment when consumer demand is unknown. It describes the trade-off between financing investment and maximizing welfare. In particular, the chapter points out that setting up markets to achieve a certain level of investment can raise questions of redistribution, with some consumers being harmed even if overall welfare is maximized

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48

Swift, Jonathan Stuart. "The relationship between market culture and market language : British executives in overseas markets". Thesis, University of Liverpool, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.266310.

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49

Werner, Axel, i Daniel Mårtensson. "Option markets impact on stock markets : An event study". Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18649.

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In this study we examine the stock price response around interim reports and the differ-ence between companies with listed stock options and companies without is measured. The focus of the study is OMX Nordic large cap list during the years 2010 and 2011 which gave us a sample of 1096 interim reports. A conventional event study were per-formed where the abnormal return around the release of the interim report were meas-ured. The abnormal returns were not different from zero at the 95% confidence level for the pre and post-announcement period. Abnormal returns on the event day were differ-ent from zero at the 95% confidence level in all cases and companies with listed stock options had a significantly higher abnormal return. We found a difference around one percent in stock price response between the two types of companies. The size and the systematic risks of the companies had a significant correlation to abnormal returns but none of them fully explained the differences between the two types of firms. Either the option market causes this difference or an untested systematic difference does.

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50

Staudt, Joseph M. "Economics of Science: Labor Markets, Journal Markets, and Policy". The Ohio State University, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=osu1460104223.

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