Asset prices in segmented and integrated markets

DOI10.1007/S00780-020-00433-4zbMATH Open1452.91317OpenAlexW3121570857MaRDI QIDQ2211344FDOQ2211344

Authors: Paolo Guasoni, K. C. Wong 

Publication date: 11 November 2020

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-020-00433-4

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zbMATH Keywords

equilibriumintegrationasset pricingfinancialisation

Mathematics Subject Classification ID

Financial markets (91G15) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• A dynamic equilibrium model of imperfectly integrated financial markets
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• Rare Disasters and Exchange Rates *
• Polynomial jump-diffusion models
• Cross-sectional asset pricing with heterogeneous preferences and beliefs
• Polynomial processes in stochastic portfolio theory
• Institutional investors and the dependence structure of asset returns
• A feedback model for the financialization of commodity markets

Cited In (4)

• MARKET SEGMENTATION AND NOISE TRADER RISK
• Matrix calculations for moments of Markov processes
• Financial integration, savings gluts, and asset price booms
• Integration of Trans-Atlantic Capital Markets, 1790–1845*

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