On Transaction-Cost Models in Continuous-Time Markets

Testing Continuous Time Models in Financial Markets

The aim of the thesis is to provide a wide range of statistical methods designed to test parametric assumptions about the evolution of continuous time processes in financial markets. The main focus is on the statistical methodology and the investigation of the properties of the proposed methods when applied to finite samples. The latter aspect is particularly important for empirical application...

transaction cost and Time inconsistency in consumption- Savings behavior(experimental approach)

Empirical and experimental studies demonstrate that the rates of time preferences are smaller in long run in comparison with that of short run. In other word individuals are present bias; and it is one of the reasons that the saving is less than its optimal level. The aim of this study is to examine if the dearth of sufficient information results in time inconsistency in individual decisions fo...

The long memory and the transaction cost in financial markets

In the present work, we investigate the fractal dimensions of 30 important stock markets from 2006 to 2013; the analysis indicates that the Hurst exponent of emerging markets shifts significantly away from the standard Brownian motion. We propose a model based on the Hurst exponent to explore the considerable profits from the predictable long-term memory. We take the transaction cost into accou...

Transmission loss allocation in bilateral or multilateral transaction-based markets

In this paper, the problem of transmission loss allocation has been studied and a new method for loss allocation in transaction-based markets has been proposed. To further this end, first transmission line loss equations were used with respect to bus injected currents. The share of each bus from the mentioned transmission line losses was determined. Then, this method was applied to the total ne...

Transaction-cost Economics in Real Time